Al (a) Give the mathematical expression of the gamma and vega of a portfolio of derivatives. Explain briefly the meaning of these two quantities. [3] (b) A portfolio consists of stocks in the Asian markets. It is known that the portfolio has a negative delta. Suppose there is a small increase in the value of the stocks. Explain briefly the effect of this increase in the total value of the portfolio. [2] (c) Find the value of delta of a 9-month European call option on a stock with a strike price equal to the current stock price (t = 0). The interest rate is 8%. The volatility is o=0.10. [41