The gain from a project is equally likely to have any value between -$0.15 million and
+$0.85 million. What is the 99% value at risk?
A. $0.145 million
B. $0.14 million
C. $0.13 million
D. $0.10 million
Which of the following is true?
A. The delta of a European put equals minus the delta of a European call
B. The delta of a European put equals the delta of a European call
C. The gamma of a European put equals minus the gamma of a European call
D. The gamma of a European put equals the gamma of a European call
Which of the following defines an Ito process?
A. A process where the drift is non-constant and can be stochastic
B. A process where the coefficient of dz is non-constant and can be stochastic
C. A process where either the drift or the coefficient of dz or both are non-constant and
can be stochastic
D. A process where proportional changes follow a generalized Wiener process
As a bank’s borrowing rate increases, which of the following is true if a bank calculates
FVA
A. FVA increases
B. FVA declines
C. FVA stays the same
D. FVA may increase or decline.
Which of the following describes the S&P/Case-Shiller index?
A. A stock market index
B. An index of interest rates on mortgages
C. An index of house prices
D. An index showing the dollar amount of mortgages granted each month
Which of the following creates a bull spread?
A. Buy a low strike price put and sell a high strike price put
B. Buy a high strike price put and sell a low strike price put
C. Buy a high strike price call and sell a low strike price put
D. Buy a high strike price put and sell a low strike price call
Which of the following is true?
A. The convenience yield is always positive or zero.
B. The convenience yield is always positive for an investment asset.
C. The convenience yield is always negative for a consumption asset.
D. The convenience yield measures the average return earned by holding futures
contracts.
An investor shorts 100 shares when the share price is $50 and closes out the position six
months later when the share price is $43. The shares pay a dividend of $3 per share
during the six months. How much does the investor gain?
A. $1,000
B. $400
C. $700
D. $300
A portfolio of derivatives on a stock has a delta of 2400 and a gamma of -10. An option
on the stock with a delta of 0.5 and a gamma of 0.04 can be traded. What position in the
option is necessary to make the portfolio gamma neutral?
A. Long position in 250 options
B. Short position in 250 options
C. Long position in 20 options
D. Short position in 20 options
Which of the following is NOT true
A. Futures contracts nearly always last longer than forward contracts
B. Futures contracts are standardized; forward contracts are not.
C. Delivery or final cash settlement usually takes place with forward contracts; the
same is not true of futures contracts.
D. Forward contracts usually have one specified delivery date; futures contract often
have a range of delivery dates.
CVA stands for
A. Collateral value adjustment
B. Credit value adjustment
C. Credit value agreement
D. Collateral value agreement
A tree is constructed to value an option on an index which is currently worth 100 and
has a volatility of 25%. The index provides a dividend yield of 2%. Another tree is
constructed to value an option on a non-dividend-paying stock which is currently worth
100 and has a volatility of 25%. Which of the following are true?
A. The parameters p and u are the same for both trees
B. The parameter p is the same for both trees but u is not
C. The parameter u is the same for both trees but p is not
D. None of the above