Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
17 shown
M07 Forwards and futures 17
- P1 Discrete dividends, law of one price ★
- P2 The Nifty term structure on 5 Nov 2026 ★ Check
- P3 No-arbitrage band ★★ Check
- P4 Value of an existing forward ★ Check
- P5 MTM and margin calls on Bank Nifty ★★ Check
- P6 Futures = forward, general deterministic rates ★★
- P7 The futures–forward gap under Vasicek rates ★★★ Check
- P8 Minimum-variance hedging, properties ★★ Check
- P9 Beta hedging and what is left ★★ Check
- P10 Basis risk ★★ Check
- P11 Open interest accounting ★★ Check
- P12 Leverage and tails ★★ Check
- P13 Futures as financed stock ★★ Check
- P14 Storage and convenience yield ★★ Check
- P15 Metallgesellschaft: stack-and-roll hedge ratio ★★★ Check
- P16 March 2020: was there an arbitrage? ★★ Check
- P17 Negative prices and storage ★★ Check