2.6 Exercises

2.01 Modeling interest rates.

2.02 Forecast for NASDAQ.

2.03 Resistance/support levels.

2.04 Dividend yield.

2.05 Vertical spread, cash-or-nothing.

2.06 Straddle options.

2.07 Butterfly spead options.

2.08 Delta-hedging.

2.09 Credit market fundamentals.

2.10 Interest rate swap.

2.11 Call on discount bond is a floorlet.

All these problems can be edited and submitted for correction by selecting WORK:assignments on the course main page. They generally open with a template that provides useful advice and guidance to derive the solution. The color coding corresponds to the expected level of difficulty:

Easy.

The problem is a direct application of the theory in a situation of practical interest: solutions typically combine text without formulas, ASCII plots and parameters of the VMARKET applet without any programming.

Moderate. generally be solved with a short analytical derivation, a discussion of the result, a plot parametric dependencies.

Difficult. The problem is an extension of the material discussed in the syllabus and requires a good command of the mathematical language, which can be expected for university graduates from quantitative fields.