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    FD Internal Assessment Paper

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    AAKIB HAMDANI
    This document appears to be an exam for a Financial Derivatives course. It contains 4 questions related to risk classification and management, types of exchange traded derivative contracts, uses of Greek letters in options, and a comparison of American and European options. It also includes a question about hedging foreign exchange risk using forward contracts and calculating theoretical forward rates to identify arbitrage opportunities.

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    FD Internal Assessment Paper

    Uploaded by

    AAKIB HAMDANI
    15 views2 pages
    This document appears to be an exam for a Financial Derivatives course. It contains 4 questions related to risk classification and management, types of exchange traded derivative contracts, uses of Greek letters in options, and a comparison of American and European options. It also includes a question about hedging foreign exchange risk using forward contracts and calculating theoretical forward rates to identify arbitrage opportunities.

    Original Title

    FD INTERNAL ASSESSMENT PAPER (1)

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    This document appears to be an exam for a Financial Derivatives course. It contains 4 questions related to risk classification and management, types of exchange traded derivative contracts, uses of Greek letters in options, and a comparison of American and European options. It also includes a question about hedging foreign exchange risk using forward contracts and calculating theoretical forward rates to identify arbitrage opportunities.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    15 views2 pages

    FD Internal Assessment Paper

    Uploaded by

    AAKIB HAMDANI
    This document appears to be an exam for a Financial Derivatives course. It contains 4 questions related to risk classification and management, types of exchange traded derivative contracts, uses of Greek letters in options, and a comparison of American and European options. It also includes a question about hedging foreign exchange risk using forward contracts and calculating theoretical forward rates to identify arbitrage opportunities.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 2

    DR .V .

    R GODHANIA COLLEGE OF ENGINEERING AND


    TECHNOLOGY, PORBANDAR.
    DEPARMENT OF MANAGEMENT (SEMESTER- )

    INTERNAL EXAMINATION
    ACADEMIC YEAR: 2021-2022
    SUBJECT: Financial Derivatives DATE: 06/01/2022
    SUBJECT CODE: 4539222 TOTAL MARKS: 30
    TIME: 90MINS
    __________________________________________________________________________________
    1) What do you understand by risk? What are the different ways of classifying and managing
    them? (7)
    OR
    What are derivatives? Explain major types of exchange traded derivative contract.

    2) Uses of Greek words in Options. (7)


    OR
    What is Swaps? Explain the types of Swaps in Detail.

    3) An Investor sales 5 future contracts on gold. Future Price is Rs. 15500. The Initial Margin is
    4% and Minimum Margin is 90% of Initial Margin. The contract size is 100. From the following
    information prepare margin account for short position. (GTU-2018)
    Day – 1 1552 Day – 6 1534
    Day – 2 1530 Day – 7 1560
    Day – 3 1541 Day – 8 1563
    Day – 4 1522 Day – 9 1567
    Day - 5 1544 Day - 10 1587

    4) Discuss American Options Vs. European Options. (GTU 2018) (7)


    OR
    4) Hyundai motors exports cars to Germany, and every three months, it receives EUR 500,000
    from car shipments. On March 1, the exchange rate between the Indian rupee and euro is EUR 1 =
    INR 70.7242. the euro interest rate is 6% per annum, while the interest rate in India is 9% per
    annum. Hyundai wants to hedge its euro receipt through forward contracts for the next 6 months.
    The 180-days forward rate is EUR 1 = 71.5642. (GTU-2019)
    (1) What type of hedging strategy could be suitable for Hyundai?
    (2) Calculate the 90 days and 180 days theoretical forward rate.
    (3) Identify whether there is any arbitrage opportunity.
    (4) If there is an arbitrage opportunity, calculate the arbitrage profit for EUR 500,000.
    (02)
    5) Define terms (any 2)

    1) Arbitrage

    2) Gama

    3) Swaptions

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