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
M09 Volatility and option trading 17
- P1 Realised volatility from OHLC ★ Check
- P2 The fourth moment of the range and Parkinson's efficiency ★★ Check
- P3 Unbiasedness of Garman–Klass and Rogers–Satchell ★★★
- P4 A day in the life of a hedged option seller ★ Check
- P5 Expected P&L and drift ★★★
- P6 Robustness and its limits ★★
- P7 The variance risk premium in a two-state economy ★★ Check
- P8 Variance-swap replication and discretisation ★★ Check
- P9 Variance notional and convexity ★ Check
- P10 Iron condor arithmetic ★★ Check
- P11 Expiry-day gamma ★★ Check
- P12 Kelly with a fat left tail ★★ Check
- P13 Sticky delta ★★ Check
- P14 Case analysis: leveraged volatility products ★★★ Check
- P15 Case analysis: expiry-day leverage in the Jane Street interim order ★★ Check
- P16 Costs and margin for an Indian short strangle ★★ Check
- P17 Reading India VIX ★ Check