SAMPLE PAPER
End Semester (IVth Sem.)Examination, June, 2017
Course: MBA Full Marks: 70
Subject: Financial Derivative Time: 3hrs
Subject Code: 11.671.4
GROUP A
UNIT-I
1. What are derivatives? Write it various types.
2. What is difference between forward and future?
3. What do you mean by OTC derivatives?
4. What are benefits of derivatives?
5. Difference between warrants and convertibles.
6. What are the uses of derivatives?
7. What are demerits of financial derivatives?
UNIT II
8. What do you mean by systematics risk?
9. What is difference between risk and uncertainty?
10. What do you mean by credit and default risk?
11. Differentiate between business risk and financial risk?
12. What do you understand by purchasing power risk?
13. What are risk? What are causes for the risk?
14. Differentiate between market risk and interest rate risk.
UNIT III
15. What are various types of financial futures contracts?
16. Who are operators in futures market?
17. What are various functions of futures market?
18. What do you mean buy forward market? What are features of forward market?
19. Differentiate between forward contract and future contract?
UNIT IV
20. What do you mean by swap market? Write the name of major types of financial swaps.
21. What are the various types of interest rate swaps?
22. What are the currency swaps?
23. What is an option contract?
24. What are the important term used in an option contract?
25.What do you mean by option positions?
GROUP B
UNIT-I
1. Explain the different types of financial derivatives along with their features in brief.
2. Bring out the historical development of financial derivatives.
3. Explain the term ‘financial derivative’. What are its important features?
4. Write a detailed note on uses of financial derivatives.
5. Write shot notes on:
(a) Hedging
(b) Speculators
UNIT-II
6. What is risk? How risk can be classified?
7. Distinguish between systematic risk and unsystematic risk?
8. What do you mean by systematic risk? Explain it various types of risk?
UNIT-III
9. What are the different types of order in the futures market? Explain with examples.
10. Define the term margins? Discuss the various types of margin with example.
11. Write a detail note on growth of futures markets worldwide.
12. Write a detailed note on classification of forward contract with example.
UNIT-IV
13. What are major types of financial swaps? Explain with example.
14. Write a note on various types of interest swaps with example.
15. Write a short note on briefly history of options contract in Indian stock market.
GROUP C
1. Current market price of:
X Y
Option 16.12 10.62
Stock Rs 80 Rs 80
Exercise price Rs 70 Rs 80
Time to expiration 3 months 3 months
Risk free return 12% pa 12 P.a
Expected dividend 0 0
Standard deviation of
Stock return 60% 60%
Calculate the option value for X and Y.
2. Consider the following data:
Stock price Rs 50
Months to expiration 3 months
Risk free rate of interest 10% p.a
Standard deviation of stock 40%
Exercise price Rs 55
Option type’s European call
Calculate value of call option as per black scholes model.
3. consider a European option on the standard and poor 500 that is two months from maturity
current value of the index is 930, the exercise price is 900, the risk free interest rate is 8% per
annum, votality of the index is 20% per annum. Dividends yield of 0.2% and 0.3% per month are
expected in the first and second months respectively. Calculate the option pricing value using B-
S model.
4. A speculator predicts a price increase in the gold futures market from current futures price of
Rs 5000 per 10 gram. The market lot is 100 gram. Speculator buys one lot of futures gold of Rs
(5000x10) assume the margin is 10%. What amount of margin money is required if prices of
gold increase by 20%? What will be profit to speculator?
5. Suppose that on January 1, prices of reliance share is Rs 450 and two parties enter into a
forward contract for the delivery of 1000 shares of reliance on April 15 at a price of Rs 460. Find
out the profit loss of seller (short position) if the price of reliance share turn out to be (a) Rs 470
(b) Rs 100 on April 15.
6. Apply the Black scholes model to value a call option under the following circumstances:
Stock price Rs 10
Exercise price Rs 95
Risk free interest rate 0.10p.a
Time to expiration 3 months
Standard deviation 0.5
7. Discuss the salient features of index future contract at the BSE and the NSE
8. Discuss the growth and development of derivatives market in India.
9. Explain the emerging structure of financial derivatives markets in India with suitable
examples.
10. Write short note on
(a) Bullish call option spread
(b) Bearish call option spread
(c) Straddles strategies
(d) Horizontal spread
Prepared by: Prof. Roshan Kumar Reviewed by:
Disclaimer:- This is a Sample Question Paper. The Question in End term examination
will differ from the sample Question paper. This sample paper is meant for practice only.
