期货期权及其他衍生产品第九版课后答案

期货期权及其他衍生产品第九版课后答案Tag内容描述：<p>1、CHAPTER 23 Estimating Volatilities and Correlations Practice Questions Problem 23 1 Explain the exponentially weighted moving average EWMA model for estimating volatility from historical data Define。</p><p>2、CHAPTER 29 Interest Rate Derivatives: The Standard Market Models Practice Questions Problem 29.1. A company caps three-month LIBOR at 10% per annum. The principal amount is $20 million. On a reset da。</p><p>3、CHAPTER 30 Convexity, Timing, and Quanto Adjustments Practice Questions Problem 30.1. Explain how you would value a derivative that pays off 100R in five years where R is the one-year interest rate (annually compounded) observed in four years. What difference would it make if the payoff were in (a) 4 years and (b) 6 years? The value of the derivative is 4 5 100(0 5)R P where (0 )Pt is the value of a t-year zero-coupon bond today and 12 t t R is the forward rate for the period between 1。</p><p>4、CHAPTER 29 Interest Rate Derivatives: The Standard Market Models Practice Questions Problem 29.1. A company caps three-month LIBOR at 10% per annum. The principal amount is $20 million. On a reset date, three-month LIBOR is 12% per annum. What payment would this lead to under the cap? When would the payment be made? An amount 20 000 000 0 02 0 25100 000$ would be paid out 3 months later. Problem 29.2. Explain why a swap option can be regarded as a type of bond option. A swap opti。</p><p>5、CHAPTER 25 Credit Derivatives Practice Questions Problem 25.1. Explain the difference between a regular credit default swap and a binary credit default swap. Both provide insurance against a particular company defaulting during a period of time. In a credit default swap the payoff is the notional principal amount multiplied by one minus the recovery rate. In a binary swap the payoff is the notional principal. Problem 25.2. A credit default swap requires a semiannual payment at the rate of 60。</p><p>6、CHAPTER 15 The Black-Scholes-Merton Model Practice Questions Problem 15.1. What does the BlackScholesMerton stock option pricing model assume about the probability distribution of the stock price in one year? What does it assume about the probability distribution of the continuously compounded rate of return on the stock during the year? The BlackScholesMerton option pricing model assumes that the probability distribution of the stock price in 1 year (or at any other future time) is lognor。</p><p>7、CHAPTER 1 Introduction Practice Questions Problem 1.1. What is the difference between a long forward position and a short forward position? When a trader enters into a long forward contract, she is agreeing to buy the underlying asset for a certain price at a certain time in the future. When a trader enters into a short forward contract, she is agreeing to sell the underlying asset for a certain price at a certain time in the future. Problem 1.2. Explain carefully the difference between hedgi。</p>