MT 8 - Forwards and Futures

Question 1

Definition of derivative assets

Answer 1

Question 2

Vanilla derivatives definitions:

1) Forward and futures contracts
2) Call options
3) Put options
4) Swaps

Answer 2

Question 3

Uses of derivatives

Answer 3

Question 4

Definitions and characteristics of forwards contracts

Answer 4

Question 5

Long and short positions of forwards and futures contracts

Answer 5

Question 6

Long forward payoff graph

Answer 6

Question 7

Short forward payoff graph

Answer 7

Question 8

Futures vs forward contracts

Answer 8

Question 9

Tools of future contracts:

1) Margin account
2) Initial margin
3) Variation
4) Maintenance margin

Answer 9

Question 10

Definition: Pricing by absence of arbitrage

Answer 10

Question 11

Implications of absence of arbitrage

Answer 11

Question 12

Replicating Portfolio and its payoff

Answer 12

Question 13

No-arbitrage forwards price for non-dividend paying asset

Answer 13

Question 14

Forward prices for dividend paying assets

Answer 14

Question 15

Commodity futures/forwards price

Answer 15

Question 16

Convenience yield of commodity forwards/futures

Answer 16

Question 17

Continuous time forward pricing of bonds and stocks

Answer 17

Question 18

Continuous time forwarding price - currency forward

Answer 18