Which of the following best describes the term ‘spot price”
A. The price for immediate delivery
B. The price for delivery at a future time
C. The price of an asset that has been damaged
D. The price of renting an asset
Which of the following is true
A. CVA and DVA can be calculated deal by deal
B. CVA and DVA must both be calculated for the whole portfolio a bank has with a
counterparty
C. CVA can be calculated deal by deal but DVA must be calculated for a portfolio
D. DVA can be calculated deal by deal but CVA must be calculated for a portfolio
How can a straddle be created?
A. Buy one call and one put with the same strike price and same expiration date
B. Buy one call and one put with different strike prices and same expiration date
C. Buy one call and two puts with the same strike price and expiration date
D. Buy two calls and one put with the same strike price and expiration date
If the risk-free rate is and price of a nondividend paying stock grows at rate m€with
volatility , at what rate does a forward price of the stock grow for a forward contract
maturing at a future time T.
A. m
B. m–2/2
C. m–
D. –2/2
Which of the following is true?
A. Gold producers should always hedge the price they will receive for their production
of gold over the next three years
B. Gold producers should always hedge the price they will receive for their production
of gold over the next one year
C. The hedging strategies of a gold producer should depend on whether it shareholders
want exposure to the price of gold
D. Gold producers can hedge by buying gold in the forward market
How many different paths are there through a Cox-Ross-Rubinstein tree with
four-steps?
A. 5
B. 9
C. 12
D. 16
Which of the following describes the way the futures price of a foreign currency is
quoted by the CME group?
A. The number of U.S. dollars per unit of the foreign currency
B. The number of the foreign currency per U.S. dollar
C. Some futures prices are always quoted as the number of U.S. dollars per unit of the
foreign currency and some are always quoted the other way round
D. There are no quotation conventions for futures prices
Consider a position in options on a particular stock. The position has a delta of 12 and
the stock price is 10. Which of the following is the approximate relation between the
change in the portfolio value in one day, dP, and the return on the stock during the day,
dx
A. dP=12dx
B. dP=1.2dx
C. dP=120dx
D. dP=22dx
Which of the following is approximately true when size is measured in terms of the
underlying principal amounts or value of the underlying assets
A. The exchange-traded market is twice as big as the over-the-counter market.
B. The over-the-counter market is twice as big as the exchange-traded market.
C. The exchange-traded market is ten times as big as the over-the-counter market.
D. The over-the-counter market is ten times as big as the exchange-traded market.
Which of the following is true about employee stock options after they have been
issued?
A. They have to be revalued every year
B. They have to be revalued every quarter
C. They have to be revalued every day like other derivatives
D. They never have to be revalued
An investor sells a futures contract an asset when the futures price is $1,500. Each
contract is on 100 units of the asset. The contract is closed out when the futures price is
$1,540. Which of the following is true
A. The investor has made a gain of $4,000
B. The investor has made a loss of $4,000
C. The investor has made a gain of $2,000
D. The investor has made a loss of $2,000
Which of the following can be used to create a long position in a European put option
on a stock?
A. Buy a call option on the stock and buy the stock
B. Buy a call on the stock and short the stock
C. Sell a call option on the stock and buy the stock
D. Sell a call option on the stock and sell the stock