衍生产品第9版课后题答案

衍生产品第9版课后题答案Tag内容描述：<p>1、CHAPTER 26 Exotic Options Practice Questions Problem 26.1. Explain the difference between a forward start option and a chooser option. A forward start option is an option that is paid for now but wi。</p><p>2、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。</p><p>3、CHAPTER 22 Value at Risk Practice Questions Problem 22.1. Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of。</p><p>4、CHAPTER 24 Credit Risk Practice Questions Problem 24.1. The spread between the yield on a three-year corporate bond and the yield on a similar risk-free bond is 50 basis points. The recovery rate is 3。</p><p>5、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>6、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>7、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>8、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>9、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>10、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>