金融工程学第二版吴冲锋课后答案

《金融工程学》作业参考答案一、选择题1.C2.B3.A4.C5.D6.C7. D 8. B 9. A 10.B 11.A 12.B二、填空题1.系统性风险2.资本市场3.多头4.风险5.股票价格指数6.美式期权7.信息 8.融资方式 9.创造价值10.期权 11.可转换债券12. 公司债券三、判断题（T代表正确，F代表错误）1.T2.F3.T4.F5.T6.F7.F 8. T 9. T 10.T 11.T 12.F四、简答题1.答：狭义的金融工程主要是指利用先进的数学及通讯工具，在各种现有基本金融产品的基础上，进行不同形式的组合分解，以设计出符合客户需要并具有特定风险和收益性的新的金融产品.广义的金融工程则是指一切利用工程化手段来解决金融问题的技术开发，它不仅包括金融产品设计，还包括金融产品定价、交易策略设计、金融风险管理等各个方面.（3分，注重设计新的金融产品进行套利和风险管理等，点到即可酌情给分）金融工程技术可以用于：①公司理财：设计适当的融资方案为公司经营活动筹措资金.②金融交易工具：开发具有套利性质的交易工具和交易策略.③投资管理④风险管理.（2分）2.场外交易市场之利：①按需定制，满足特殊需要；②适合大型投资者，降低交易成本；③避免暴露交易动身.弊：①在交易双方互不信任情况下，会出现信用风险；②流动性差；③合约在规定日期之前完成有难度.交易所交易市场之利：①交易效率高，流动性强；②市场信誉好，可减少金融风险；③交易公开，特别关注一些大交易商的交易活动及动向.弊：①交易品种缺乏灵活性；②政府管制会提高交易成本；③公开性时常受到异议.（每小点0.5分，酌情扣分）3.答：期权的要素包括，①敲定价，即敲定价格（标的物的执行价格），期权合同规定的购入或售出某种资产的价格；②到期日，期权合同规定的期权的最后有效日期为期权的到期日，③标的资产，期权合同规定的双方买入或卖出的资产为期权的标的资产；④权利金，买卖双方购买或出售期权的价格称为权利金或期权的价格.（3分）功能：①套期保值功能；②发现价格功能.（每小点1分，共2分）4.答：CAPM 模型的假设条件：资本市场没有摩擦；所有投资者依据期望和方差来评价证券组合的收益和风险水平；每个投资者对预期收益率及其标准差、证券之间的协方差有相同的预期.（3分，每小点1分）表达式： )][(][f m im f i R R E R R E -+=β其中m R 为市场组合的收益，f R 为无风险资产的收益或无风险利率.（2分）5.答：债券是债务人在筹集资金时，依照法律手续发行，向债权人承诺按约定利率和日期支付利息，并在特定日期偿还本金，从而明确债权债务关系的有价证券.(2分)债券包含的因素有：（1）债券的面值；（2）债券利率；（3）债券的偿还期限；（4）债券发行者名称. (3分，酌情扣分)6.答: 影响期权价格（期权费）的因素有：(1)标的物的市场价格；(2)标的物的协定价格；(3)期权的有效期；(4)标的物价格的波动率；(5)无风险利率；(6)标的物的收益.（每小点1分，酌情扣分）7.答：期货与远期很类似，但期货是在交易所进行标准化交易的远期，主要区别如下：（1）远期在场外柜台市场交易，而期货在期货交易所交易，这使得期货的流动性更好；（2）远期合约的条款由双方在签定时协商确定，而期货的所有条款都高度标准化，由期货交易所规定，如每一份期货合约的交易单位，交易金额，交割日等都是由期货交易所事先规定好的；（3）远期合约是由一方对另一方直接负责，信用风险很大，而期货交易则全部经过交易所，信用风险有交易所承担；（4）远期合约只在交割日结算，而期货合约则采用逐日盯市的方式，要求每日进行盈亏的保证金结算，从而保证各方都不违约.（每小点1分，酌情扣分）8.答：金融工程运作的六个步骤为（1）诊断:识别遇到的金融问题的本质和根源;（2）分析:分析寻找解决问题的最佳方案,这种方案一般是一种（一系列）新的金融工具,也可以是一个新的金融中介;（3）开发:根据分析运用工程技术方法开发新的金融产品;（4）定价:确定所开发的金融产品的价格；（5）修正:依据不同客户的需求进行修正；（6）商品化：将方案标准化，面向市场推广.（前四点每点1分，后两点每点0.5分）9．答：股指期货的功能有：①套期保值功能；②发现价格功能；③投机功能；④套利功能.（每小点0.5分）影响股指期货的因素：①股票指数值本身的高低；（1分）②成份股股票的股息率或红利收益率；（0.5分）③市场利率水平；（1分）④距期货合约到期时间等（0.5分）.10．答：（一）标的物不同期货交易的标的物是商品或期货合约，而期权交易的标的物则是一种商品或期货合约选择权的买卖权利.（二）投资者权利与义务的对称性不同期权是单向合约，期权的买方在支付保险金后即取得履行或不履行买卖期权合约的权利，而不必承担义务；期货合同则是双向合约，交易双方都要承担期货合约到期交割的义务.如果不愿实际交割，则必须在有效期内对冲.（三）履约保证不同期货合约的买卖双方都要交纳一定数额的履约保证金；而在期权交易中，买方不需交纳履约保证金，只要求卖方交纳履约保证金，以表明他具有相应的履行期权合约的财力.（四）现金流转不同在期权交易中，买方要向卖方支付保险费，这是期权的价格，大约为交易商品或期货合约价格的5％～10％；期权合约可以流通，其保险费则要根据交易商品或期货合约市场价格的变化而变化.在期货交易中，买卖双方都要交纳期货合约面值5％～10%的初始保证金，在交易期间还要根据价格变动对亏损方收取追加保证金；盈利方则可提取多余保证金.（五）盈亏的特点不同期权买方的收益随市场价格的变化而波动，是不固定的，其亏损则只限于购买期权的保险费；卖方的收益只是出售期权的保险费，其亏损则是不固定的.期货的交易双方则都面临着无限的盈利和无止境的亏损.（六）套期保值的作用与效果不同期货的套期保值不是对期货而是对期货合约的标的金融工具的实物（现货）进行保值，由于期货和现货价格的运动方向会最终趋同，故套期保值能收到保护现货价格和边际利润的效果.期权也能套期保值，对买方来说，即使放弃履约，也只损失保险费，对其购买资金保了值；对卖方来说，要么按原价出售商品，要么得到保险费也同样保了值.（每小点1分，酌情扣分）五、计算题1.解：买入1亿日元远期合约，该交易商支付0.008亿美元；若到期时汇率为0.0074美元/日元，则该交易商的1亿日元价值1×0.0074=0.0074亿美元，交易商亏损=0.008-0.0074=0.0006美元；若到期时汇率为0.0090美元/日元，则该交易商的1亿日元价值1×0.0090=0.0090亿美元，交易商盈利=0.0090-0.0080=0.001美元.2.解：到期时，投资者有三种选择：①不执行看跌期权且不履行看涨期权，就意味着到期时黄金价格为430美元/盎司.这时，投资者的期货合约盈利=430-428.5-5.5+4.5=0.5美元/盎司.②执行看跌期权，就意味着到期日黄金价格下跌，期货和约多头头寸用于执行看跌期权.这时总盈利=430-428.5-5.5+4.5=0.5美元/盎司.③履行看涨期权，意味着到期日期权价格上涨，期货合约多头用以履行看涨期权.这时总盈利=430-428.5-5.5+4.5=0.5美元/盎司.可见，在任何情况下，投资者的净收益均为0.5美元/盎司.3.解：首先，根据股票现金流估价模型中的不变增长模型，得出Ａ公司股票当前的合理价格P 为：Ｐ＝0.5／（ｋ－0.10），其中ｋ为必要收益率，其次，根据CAPM 模型有：ｋ＝f R ＋β（Ｅ（mR ）－f R ）＝0.03＋0.08*1.5＝0.15 （5分） 最后，得出Ａ公司股票的当前价格：Ｐ＝0.5／（ｋ－0.10）＝0.5／（0.15－0.10）＝10元 (5分)4.解：贴现债券的发行价格为：Ｐ＝1000×（１－10.5％×180／360）＝947.5元（5分）到期收益率为：Ｙ＝（1000－947.5）／947.5×180／360×100％＝11.24％（5分）5．解：首先，根据股票现金流估价模型中的不变增长模型，得出Ａ公司股票当前的合理价格Ｐ为：Ｐ＝0.9／（ｋ－0.10），其中ｋ为必要收益率，其次，根据ＣＡＰＭ模型有：ｋ＝f R ＋β（Ｅ（m R ）－f R ）＝0.04＋0.12＊1.5＝0.22最后，得出Ａ公司股票的当前价格：Ｐ＝0.9／（ｋ－0.10）＝0.9／（0.22－0.10）＝7.5元6．解：组合P 的期望收益率为E(Rp)=Xa*Ra+ Xb*Rb =10%*30%+5%*70%=6.5%（5分）组合P 方差为：Var(P)= Xa^2 * Sa^2+ Xb^2 * Sb^2+ Xa * Xb * Sa * Sb *=0.3^2 * 0.06^2 + 0.02^2 * 0.7^2 + 0.3 * 0.7 * 0.06 * 0.02 * 0.12=0.0327（5分）．7.解：题中，在到期日，甲方以6.80元人民币/美元的价格买入美元，然后在市场上以6.85元人民币/美元的价格卖出美元，则甲方是获利的（2分），且获利为：100000*（6.85—6.80）=5000元人民币（3分）乙方以6.80元人民币/美元的价格卖出美元，再以6.85元人民币/美元的价格在市场上买入美元，则乙方是亏损的（2分），且损失为5000元人民币（3分）.六、论述题（一）投资人可以通过下述三种方式来表达看好该项资产的“多方头寸”：（1） 买入该资产或者远期合同；（2） 买入该资产的买方期权（多头买权）；（3） 卖出该资产的卖方期权（空头卖权）.图4—3（a ）表示投资人直接买入某项资产，这是我们最常见的表达“多方寸头”的方式.比如：买入股票、房产和其他具有不确定性的资产.因为我们“看好”其升值前景.这是三种做多方式中最保守、最安全的一种“做多”方式.因为投资人直接买入某项资产后，即使该资产价格下跌一定幅度，投资人手中的实际资产仍然有一定的价值.买入该资产(a) 多头买权 (b)空头卖权 (c)买图4—3（b ）表示投资人买入该资产的卖方期权（或称看涨期权），设施一项多头买权，这项买方期权允许投资人在该项资产升值的情况下，按照事先固定的低价买入该资产，进而抛售获利.如果该资产在未来一段时间内不仅没升值，反而价值缩水，那么，投资人就要承担相当于这个买方期权价格的损失.在图4—3（a ）中表示为低于水平线以下的黑色粗线.这种做法的风险是预先可见的，即便该项资产价格下跌很多，投资人的损失也就是期权价格而已，不会有更大的损失.图4—3（c ）表示投资人卖出该资产的卖方期权（称看跌期权）,或称设施一项空头卖权.在这种情况下，投资人确信该项资产未来必然升值，故而向其他投资人出售了一项权力：当该项资产的价格跌破某一事先协议价格时，允许其他投资人有权将该项资产按照该协议价出售该投资人.投资人事先不需要任何资金的投资人，只要该项资产的价格上升，投资人就可以获得相当于卖方期权价格的利润.但是，这种做法在三种做多方式中，风险最大，因为投资人事先承诺在资产价格下跌时，要按照原先的价格收购那些已经缩水的资产.这种做法的收益是事先可见的（就相当于卖方期权的价格），而损失却是无法预见的，因此，具有最大的风险.（二）投资人也有三种方法来实现对某项资产的空方头寸：（1）卖出该资产或者远期合约；（2）卖出该资产的买方期权（空头买权）.（3图4—4（a ）表示投资人直接卖出某项资产，或者出售某项资产的远期合约，这是我们最常见的表达“空方寸头”的方式.比如：卖出股票、房产和其他具有不确定性的资产.因为我们“看空”其升值前景，判断该项资产未来价值有可能下跌.这是三种做空方式中最保守、最安全的一种“做空”方式.因为投资人直接卖出某项资产后，即使该资产价格上升，投资人手中已经握有现金，损失的只是该项资产的升值部分的价值.图4—4（b ）表示投资人卖出该资产的买方期权或称实施一项空头买权，这项买方期权允许其购买者在该项资产升值的情况下，按照事先固定的低价从该投资人手中买入该资产，进而抛售获利.如果该资产在未来一段时间内不仅没升值，反而价值缩水，那么，投资人就赚取了这个买方期权价格的部分.在图4—4（b ）中表示为高于水平线部分的黑色粗线.这种做法的收益是预先可见的，就是该资产的买方期权的价格，而其损失确实是不可预见的.如果该项资产的价格大幅上升，投资人就必须承担该资产上涨之后的价格和其买方期权价格的差价，因而有可能卖出该资产(a) 空头买权 (b) 多头卖权 (c)承担比较大的损失.这是三种做空方式中，风险最大的一种，一般不推荐普通投资人采用，而是往往被机构投资者中的套利交易商大量采用.这些套利交易商确定自己对某项资产价格的判断是正确的，从而采用这种方式以便获得高额的收益.图4—4（c）表示投资人买入该资产的卖方期权或称设施一项多头卖权.该项卖方期权允许投资人在未来该项资产价格下跌时，按照事先固定的比较好的价格出售该资产.在这种安排下，如果该项资产未来价格下跌，那么投资人就获利.而如果该资产价格上涨，投资人的损失也是预先确定的：就等于是损失了原先购买卖方期权的价格.普通投资人往往采用这种方法配合其对该资产的多方头寸，以锁定该项资产的价格风险.（三）金融工程是金融深化和金融创新发展到相当程度的产物，金融工程的迅猛发展是一系列因素综合作用的结果。

金融学第二版课后习题答案
金融学第二版课后习题答案：深入理解金融学知识
金融学是一个涉及广泛的领域，涵盖了货币、银行、投资、风险管理等多个方面。

对于学习金融学的学生来说，课后习题是巩固知识、提高理解的重要途径。

本文将以金融学第二版课后习题答案为标题，深入探讨金融学知识的重要性和
应用。

首先，金融学知识对于个人和企业来说都是非常重要的。

对于个人来说，理解
金融学知识可以帮助他们更好地管理个人财务，进行投资和理财规划。

而对于
企业来说，金融学知识可以帮助他们进行资金管理、风险管理和投资决策，从
而更好地实现经营目标。

其次，金融学知识的应用范围非常广泛。

无论是在银行、证券公司、保险公司
等金融机构，还是在企业、政府和非营利组织，金融学知识都有着重要的应用
价值。

只有深入理解金融学知识，才能更好地应对各种金融风险和挑战，实现
财务目标。

金融学第二版课后习题答案提供了学生们检验自己掌握程度的重要途径。

通过
仔细分析和思考课后习题答案，学生们可以更好地理解金融学知识，发现自己
的不足之处，并及时进行补充和提高。

这对于他们将来在金融领域的发展和应
用都是非常有益的。

总之，金融学知识对于个人和企业来说都是非常重要的，它的应用范围也非常
广泛。

通过深入理解金融学知识，我们可以更好地管理个人和企业财务，更好
地应对各种金融风险和挑战。

金融学第二版课后习题答案为我们提供了一个重
要的学习工具，帮助我们更好地掌握金融学知识，实现个人和企业的财务目标。

金融工程学第3章金融产品创新原理一、金融产品创新链与价值（增值）链1 、为什么要进行创新2 、股权创新中的价值链3 、债权创新中的价值链4 、创新的价值变化（增值或减值）因素金融创新分类•金融制度的创新•金融组织的创新•金融业务的创新1 为什么要进行创新‐‐‐‐(1) 基金产品中创新（封闭式基金？开放式基金？复制基金? 分拆基金? 分级基金？分离交易基金？多次分红基金？伞型基金？）(2) 银行产品中创新（各种理财产品？各种存款产品？各种贷款产品？）(3) 股票市场中（发红利？送红股? 送权证？股票回购？融资融券？）(4) 债券产品中创新（可转换债券? 可转换可回售债券？可转换可赎回债券？可转换可回售可回售债券？可分离交易转债？）(5) 衍生产品创新（股票指数期货？外汇期权？权证？）2、股权创新中的价值链……创新过程企业股票期权开放基金股权（帐面价值BV ）债务创新过程股票（市场价格P ）指数一组资产…………指数基金（ETF ）指数期货期货期权封闭基金（共同、私募基金等）可回售其它收益凭证创新过程创新过程创新过程创新过程创新过程创新过程创新过程创新过程债务贷款债券发行债券可转换可回售可赎回可转换债券（可转换价值）可回售债券（可回售价值）可回售可赎回债券（可回售可赎回价值）可转换可回售债券（可转换可回售价值）可赎回债券（可赎回价值）+++3、债权创新中的价值链可转换回售可赎回债券（可转换可回售可赎回价值）4、创新的价值变化（增值或减值）因素1）流动性增加？2）风险减少？3）税收减少？4）减少代理成本？5）减低交易成本？6）规避管制？7）满足投资者偏好？8）提高交易方便性和便捷性？二、金融产品创新与设计方法1、金融创新的两个轮子2、金融创新目标3、需求因素驱动的金融创新（8大因素）4、金融产品创新的方法和技术（六种方法，十个“可”）1 金融创新的两个轮子•需求拉动型：常常是被动式创新，是零星的，随机的，案例型的创新，倾向于经验性的创新实践活动•供给推动型（方法和技术驱动）：常常是主动式创新，是系统的，功能型的创新，倾向于理论指导的创新实践活动2 金融创新目标纵观金融创新历史，可以说，金融创新活动的结果，从其实质来看，或是能以更低的成本达到其它方式能达到的经营目标，或是能够实现已有的工具和技术无法实现的目标，前者使市场更有效率，后者使市场更加完全。

CHAPTER 8VALUATION OF KNOWN CASH FLOWS: BONDSObjectives«To show how to value con tracts and securities that promise a stream of cash flows that areknown with certa inty.«To un dersta nd the shape of the yield curve .«To un dersta nd how bond prices and yields cha nge over time.Outline8.1 Us ing Prese nt Value Formulas to Value Known Cash Flows8.2 The Basic Build ing Blocks: Pure Discou nt Bonds8.3 Coupon Bo nds, Curre nt Yield, and Yield to Maturity8.4 Readi ng Bond Listi ngs8.5 Why Yields for the Same Maturity Differ8.6 The Behavior of Bond Prices over TimeSummary* A cha nge in market in terest rates causes a cha nge in the opposite directi on in the market values of all exist ing con tracts promisi ng fixed payme nts in the future.* The market prices of $1 to be received at every possible date in the future are the basic building blocks for valuing all other streams of known cash flows. These prices are inferred from the observed market prices of traded bonds and the n applied to other streams of known cash flows to value them.* An equivale nt valuati on can be carried out by appl ying a discou nted cash flow formula with a differe nt discou nt rate for each future time period.* Differe nces in the prices of fixed-i ncome securities of a give n maturity arise from differe nces in coup on rates, default risk, tax treatme nt, callability, con vertibility, and other features.* Over time the prices of bonds con verge towards their face value. Before maturity, however, bond prices can fluctuatea great deal as a result of cha nges in market in terest rates.Solutions to Problems at End of ChapterBond Valuation with a Flat Term Structure1. Suppose you want to know the price of a 10-year 7% coupon Treasury bond that pays interest annually. a. You have been told that the yield to maturity is 8%. What is the price?b. What is the price if coupons are paid semiannually, and the yield to maturity is 8% per year?c. Now you have been told that the yield to maturity is 7% per year. What is the price? Could you have guessedthe answer without calculating it? What if coupons are paid semiannually?c. Price = 100. When the coup on rate and yield to maturity are the same, the bond sells at par value (i.e. the price equalsthe face value of the bon d).2. Assume six months ago the US Treasury yield curve was flat at a rate of 4% per year (with annualcompounding) and you bought a 30-year US Treasury bond. Today it is flat at a rate of 5% per year. What rate of return did you earn on your initial investment: a. If the bond was a 4% coupon bond? b. If the bond was a zero coupon bond?c. How do your answer change if compounding is semiannual? SOLUTION: a and b.Coupon = 4% 30 4 ? 100 4 PV =100 Zero coupon30 4 ? 100 0 PV =30.83Step 2: Find prices of the bonds today: Coupon = 4% 29.5 5?100 4 84.74 Zero coupon29.5 5 ? 100 0 23.71Step 3: Find rates of retur n:Rate of retur n = (coup on + cha nge in price)/in itial price4% coupon bond: r = (4 + 84.74 —100)/100 = -0.1126 or —11.26%Zero-coupon bon d: r = (0 + 23.71 —30.83)/30.83 = -0.2309 or -23.09%. Note that the zero-coupon bo nd is more sen sitive to yield cha nges tha n the 4% coup on bond. c.Step 1: Find prices of the bonds six mon ths ago:Coup on=4% 60 2 ?100 2 PV =100 Zero coupon 60 2 ? 100 0 PV =30.48 Step 2: Find prices of the bonds today:Coup on=4% 59 2.5? 100 2 84.66 Zero coupon59 2.5 ?10023.30SOLUTION:a. With coup ons paid once a year:Price = 93.29b. With coup ons paid twice a year:Price = 93.20Step 3: Find rates of retur n:Rate of return = (coupon + change in price) / initial price4% coupon bond: r = (2 + 84.66 -100)/100 = -0.1334 or -13.34%Zero coupon bond: r = (0 + 23.30 - 30.48)/30.48 = -0.2356 or -23.56%. Note that the zero-coupon bond is more sen sitive to yield cha nges tha n the 4% coup on bond.Bond Valuatio n With a Non-Flat Term Structure3. Suppose you observe the following prices for zero-coupon bonds (pure discount bonds) that have no risk of default:a. What should be the price of a 2-year coupon bond that pays a 6% coupon rate, assuming coupon paymentsare made once a year starting one year from now?b. Find the missing entry in the table.c. What should be the yield to maturity of the 2-year coupon bond in Part a?d. Why are your answers to parts b and c of this question different?SOLUTION:a. Present value of first year's cash flow = 6 x .97 = 5.82Prese nt value of sec ond year's cash flow = 106 x .90 = 95.4Total prese nt value = 101.22 b^Th^y^^tomaturityon^^^^arzerocoupo^bon^wrt^pr^eof9^an^facevalu^of1^3i^5^^^^^^^^2 I ? I -90 I 100 I 0 1 i = 5.41%c. The yield to maturity on a 2-year 6% coup on bond with price of 101.22 isd. The two bonds are differe nt because they have differe nt coup on rates. Thus they have differe nt yields to maturity.Coupon Stripping4. You would like to create a 2-year synthetic zero-coupon bond. Assume you are aware of the following information: 1-year zero- coupon bonds are trading for $0.93 per dollar of face value and 2-year 7% coupon bonds (annual payments) are selling at $985.30 (Face value = $1,000).a. What are the two cash flows from the 2-year coupon bond?b. Assume you can purchase the 2-year coupon bond and unbundle the two cash flows and sell them.i. How much will you receive from the sale of the first payment?ii. How much do you need to receive from the sale of the 2-year Treasury strip to break even?SOLUTION:a. $70 at the end of the first year and $1070 at the end of year 2.b. i. I would receive .93 x $70 = $65.10 from the sale of the first payment.ii. To break even, I would need to receive $985.30- $65.10 = $920.20 from the sale of the 2-year strip.The Law of One price and Bond Pricing5. Assume that all of the bonds listed in the following table are the same except for their pattern of promised cash flows over time. Prices are quoted per $1 of face value. Use the information in the table and the Law of One Price to infer the values of the missing entries. Assume that coupon payments are annual.6% 2 years 5.5%0 2 years7% 2 years0 1 year $0.95From Bond 1 and Bond 4, we can get the miss ing en tries for the 2-year zero-coup on bond. We know from bond 1 that:2 21.0092 = 0.06/1.055 +1.06/(1.055) . This is also equal to 0.06/(1+z 1) + 1.06/(1+z 2) where z 1 and Z2 are the yields to maturity on on e-year zero-coup on and two-year zero-coup on bonds respectively. From bond 4 , we have z 1, we can find z2.1.0092 -0.06/1.0526 = 1.06/(1+z 2)2, hence z = 5.51%.To get the price P per $1 face value of the 2-year zero-coup on bond, using the same reasoning:1.0092 -0.06x0.95 = 1.06xP, he nee P = 0.8983To find the entries for bond 3: first find the price, then the yield to maturity. To find the price, we can use z 1 and Z2 found earlier: PV of coupon payment in year 1: 0.07 x 0.95 = 0.0665PV of coupon + pri ncipal payme nts in year 2: 1.07 x 0.8983 =0.9612「otal prese nt value of bond 3 二 1.02772 ? 0.07 -1.0277 1 i = 5.50%Hence the table becomes:6% 2 years $1.0092 5.5%0 2 years $0.8983 5.51%SOLUTION:Bond 1:Bond 4:Bond Features and Bond Valuation6. What effect would adding the following features have on the market price of a similar bond which does not have this feature?a. 10-year bond is callable by the company after 5 years (compare to a 10-year non-callable bond);b. bond is convertible into 10 shares of common stock at any time (compare to a non-convertible bond);c. 10-year bond can be “ put back ” to the company after 3 years at par (puttable boiumipare to a 10year non-puttablebond)d. 25-year bond has tax-exempt coupon paymentsSOLUTION:a. The callable bond would have a lower price tha n the non-callable bond to compe nsate the bon dholders for gra nti ng theissuer the right to call the bon ds.b. The con vertible bond would have a higher price because it gives the bon dholders the right to con vert their bonds intoshares of stock.c. The puttable bond would have a higher price because it gives the bondholders the right to sell their bonds back to the issuerat par.d. The bond with the tax-exempt coup on has a higher price because the bon dholder is exempted from pay ing taxes on thecoup ons. (Coup ons are usually con sidered and taxed as pers onal in come).Inferring the Value of a Bond Guarantee7. Suppose that the yield curve on dollar bonds that are free of the risk of default is flat at 6% per year. A 2-year 10% coupon bond (with annual coupons and $1,000 face value) issued by Dafolto Corporation is rates B, and it is currently trading at a market price of $918. Aside from its risk of default, the Dafolto bond has no other financially significant features. How much should an investor be willing to pay for a guarantee against Dafolto ' s defaulting on this bond?The difference between the price of the bond if it were free of default and its actual price (with risk of default) is the value of a guarantee against default: 1073.3-918 = $155.3The implied Value of a Call Provision and Convertibility8. Suppose that the yield curve on bonds that are free of the risk of default is flat at 5% per year. A 20-year default-free coupon bond (with annual coupons and $1,000 face value) that becomes callable after 10 years is trading at par and has a coupon rate of 5.5%.a. What is the implied value of the call provision?b. A Safeco Corporation bond which is otherwise identical to the callable 5.5% coupon bond describedabove, is also convertible into 10 shares of Safeco stock at any time up to the bond ' s maturity. If its yield to maturity is currently 3.5% per year, what is the implied value of the conversion feature?SOLUTION:a. We have to find the price of the bond if it were only free of the risk of default.The bond is traded at par value, hence the differe nee betwee n the value calculated above and the actual traded value is the implied value of the call provisio n: 1062.3 T000 = $62.3Note that the call provisi on decreases the value of the bond.b. We have to find the price of the Safeco Corporati on:This bond has the same features as the 5.5% default free callable bond described above, plus an additional feature: it is con vertible into stocks. Hence the implied value of the con versi on feature is the differe nee betwee n the values of both bonds: 1284.2-1000 = $284.25. Note that the con version feature in creases the value of the bond.Changes in Interest Rates and Bond Prices9. All else being equal, if interest rates rise along the entire yield curve, you should expect that:i. Bond prices will fallii. Bond prices will riseiii. Prices on long-term bonds will fall more than prices on short-term bonds.iv. Prices on long-term bonds will rise more than prices on short-term bondsa. ii and iv are correctb. We can ' t be certain that prices will changec. Only i is correctd. Only ii is correcte. i and iii are correctSOLUTION:The correct an swer is e.Bond prices are in versely proporti onal to yields hence whe n yields in crease, bond prices fall. Lon g-term bonds are more sen sitive to yield cha nges tha n short-term bon ds.。

金融工程学吴冲锋答案【篇一：2014年省培在线课程列表】培在线学习先是选课环节，每位老师可以选2门课程，请把课程对应的序号私聊发到我qq上，我汇总后激活课程，学习流程于8月4号-6号发至群共享，请届时查看并自行开展在线学习。

【篇二：第五届2014春季中国量化投资国际峰会26日下午金融工程学科建设专场速记稿】xt>时间：2014年04月26日地点：上海主持人：尊敬的各位领导、各位来宾、女士们、先生们大家下午好，我们今天下午的金融工程专场论坛马上开始，今天非常荣幸邀请到国泰安高级副总裁仇旭东先生担任本场论坛的专场主席，我是上海交通大学安泰经济与管理学院的董姗姗博士。

下面请允许我介绍一下仇旭东先生：毕业于复旦大学emba，高级职业经理人，兼任安徽大学简直教授、硕士生导师。

担任集团公司高管30年之久，曾担任国内某大型家电集团公司董事长ceo，主持某中外合资公司上市并担任董事长。

曾任美国和国内多家公司的战略管理、市场营销和项目投资顾问专家。

仇旭东先生阅历丰富，领导和组织能力强，既有公司ceo的领导驾驭能力，也有传媒单位一把手的掌控经验，精通企业并购、战略、投资、法务方面的能力知识，善于探索品牌发展新思路。

接下来让我们以热烈的掌声欢迎仇旭东先生主持。

仇旭东：大家好，很高兴担任今天下午论坛的主持人。

首先，我对参加我们今天下午论坛的各位来宾表示热烈的欢迎。

今天下午，我们要进行的论坛是量化投资行业发展人才需求及金融工程学科建设思路，主要的议题有量化投资行业特殊的要求，基于量化投资行业发展的金融工程学科人才培养探讨，量化投资行业发展展望。

我们非常荣幸的邀请到了中国量化投资研究员常务副院长清华大学深圳研究生院教授林建武先生。

邀请到了北京大学数学学院教授博士生导师，金融数学系副主任杨静平先生，我们还邀请到了同济大学风险管理研究所金融工程特聘教授博士生导师袁先智先生，他们将给我们带来精彩的演讲。

林建武先生，是毕业于清华大学，获得双学士及硕士学位，并获得美国宾夕法尼亚大学数学工程博士和数学工程和网络工程双学士。

第1章7、讨论以下观点是否正确：看涨期权空头可以被视为其他条件都相同的看跌期权空头与标的资产现货空头（其出售价格等于期权执行价格）的组合。

(1)9、如果连续复利年利率为5%，10000元现值在4.82年后的终值是多少？ (1)10、每季度记一次复利年利率为14%，请计算与之等价的每年记一年复利的年利率和连续复利年利率。

(1)11、每月记一次复利的年利率为15%，请计算与之等价的连续复利年利率。

(1)12、某笔存款的连续复利年利率为12%，但实际上利息是每季度支付一次。

请问1万元存款每季度能得到多少利息？ (1)7.该说法是正确的。

从图1.3中可以看出，如果将等式左边的标的资产多头移至等式右边，整个等式左边就是看涨期权空头，右边则是看跌期权空头和标的资产空头的组合。

9.()5%4.821000012725.21e ××=元10.每年计一次复利的年利率=（1+0.14/4）4-1=14.75%连续复利年利率=4ln(1+0.14/4)=13.76%。

11.连续复利年利率=12ln(1+0.15/12)=14.91%。

12.12%连续复利利率等价的每季度支付一次利息的年利率=4（e 0.03-1）=12.18%。

因此每个季度可得的利息=10000×12.8%/4=304.55元。

第2章1、2007年4月16日，中国某公司签订了一份跨国订单，预计半年后将支付1000000美元，为规避汇率风险，该公司于当天向中国工商银行买入了半年期的10000000美元远期，起息日为2007年10月8日，工商银行的实际美元现汇买入价与卖出价分别为749.63和752.63。

请问该公司在远期合同上的盈亏如何？ (1)2、设投资者在2007年9月25日以1530点（每点250美元）的价格买入一笔2007年12月到期的S^P500指数期货，按CME 的规定，S^P500指数期货的初始保证金为19688美元，维持保证金为15750美元。

CHAPTER 10AN OVERVIEW OF RISK MANAGEMENTObjectives« To explore how risk affects finan cial decisi on-mak ing.« To provide a con ceptual framework for the man ageme nt of risk.«To explain how the financial system facilitates the efficient allocation of risk-bearing.Outline10.1 What Is Risk?10.2 Risk and Econo mic Decisi ons10.3 The Risk Ma nageme nt Process10.4 The Three Dime nsions of Risk Tran sfer10.5 Risk Tran sfer and Econo mic Efficie ncy10.6 In stituti ons for Risk Man ageme nt10.7 Portfolio Theory: Quan titative An alysis for Optimal Risk Man ageme nt10.8 Probability Distributions of ReturnsSummary* Risk is defined as uncertainty that matters to people. Risk management is the process of formulating the benefit- cost trade-offs of risk-reduction and deciding on a course of action to take. Portfolio theory is the quantitative analysis of those trade-offs to find an optimal course of action.* All risks are ultimately borne by people in their capacity as consumers, stakeholders of firms and other econo mic orga ni zati ons, or taxpayers.* The risk in ess of an asset or a tra nsacti on cannot be assessed in isolati on or in the abstract; it depe nds on the specific frame of refere nee. In on e con text, the purchase or sale of a particular asset may add to one ' s risk exposure; in another, the same transaction may be risk-reducing.* Speculators are in vestors who take positi ons that in crease their exposure to certa in risks in the hope of in creas ing their wealth. In con trast, hedgers take positi ons to reduce their exposures. The same pers on can be a speculator on some exposures and a hedger on others.* Many resource-allocation decisions, such as saving, investment, and financing decisions, are significantly in flue need by the prese nee of risk and therefore are partly risk-ma nageme nt decisi ons.* We disti nguish among five major categories of risk exposures for households: sick ness, disability, and death job loss; consumer-durable asset risk ; liability risk ; and financial asset risk .* Firms face several categories of risks: production risk , price risk of outputs , and price risk of in puts .* There are five steps in the risk-management process: risk identification, risk assessment, selection of riskman ageme nt tech ni ques, impleme ntati on, review.* There are four techniques of risk management: r isk avoidanee, loss prevention and control, risk retention, risk tra nsfer.* There are three dimensions of risk transfer: hedging , insuring , and diversifying .* Diversificati on improves welfare by spread ing risks among many people, so that the existi ng un certa inty matters less. * From society ' s perspective-n^ageme nt in stituti ons con tribute to econo mic efficie ncy in two importa nt ways. First, they shift risk away from those who are least willing or able to bear it to those who are most willing to bear it. Second, they cause a reallocation of resources to production and consumption in accordance with the new distribution of risk-bearing.By allowing people to reduce their exposure to the risk of undertaking certain bus in ess ven tures, they may en courage en trepre neurial behavior that can have a ben efit to society.* Over the cen turies, various econo mic orga ni zati ons and con tractual arra ngeme nts have evolved to facilitate a more efficient allocation of risk-bearing by expanding the scope of diversification and the types of risk that are shifted.* Among the factors limit ing the efficie nt allocati on of risks are tra nsacti ons costs and problems of adverse selecti on and moral hazard.Solutions to Problems at End of ChapterOn the Nature of Risk and Risk Management1. Suppose that you and a friend have decided to go to a movie together next Saturday. You will select any movie for which tickets are available when you get to the theater. Is this a risky situation for you? Explain. Now suppose that your friend has already purchased a ticket for a movie that is going to be released this Saturday. Why is this a risky situation? How would you deal with the risk?SOLUTION:No, the uncertainty doesn ' t represienncteriysokusdo not care which movie you see. However, if your friend has a ticket already, and if you wait till Saturday to buy yours, the show may be sold out. To eliminate the risk that you may not be able to sit with your friend and see the same movie, you might buy your ticket in advance.2. Suppose you are aware of the following investment opportunity: You could open a coffee shop around the corner from your home for $25,000. If business is strong, you could net $15,000 in after-tax cash flows each year over the next 5 years.a. If you knew for certain the business would be a success, would this be a risky investment?b. Now assume this is a risky venture and that there is a 50% chance it is a success and a 50% chance you gobankrupt within 2 years. You decide to go ahead and invest. If the business subsequently goes bankrupt, did you make the wrong decision based on the information you had at the time? Why or why not?SOLUTION:a. No, this investment would not be risky.b. No, you did not make a “ wrong ” decision. When you made your decision, you did not know for certain that thecompany would go bankrupt. You decided to invest for many reasons, including the possibility of making a lot of money.Given your tolerance for risk and the fact that you based our decision on the information available at the time, your decision was not wrong and may have been optimal at the time.3. Suppose you are a pension fund manager and you know today that you need to make a $100,000 payment in 3 months.a. What would be a risk-free investment for you?b. If you had to make that payment in 20 years instead, what would be a risk free investment?c. What do you conclude from your answers to Parts a and b of this question?SOLUTION:a. A risk-free investment for you would be a Treasury Bill (default risk free) which matures in exactly 3 months.b. A risk-free investment would be a zero coupon U.S. Treasury security maturing in 20 years and which would have thesame single payment of $100,000.c. Because risk is dependent upon circumstances, what is risk-free for one individual may be risky for another too. There canbe any number of risk-free investments depending upon circumstances. Your investment time horizon is critical tochoosing the best risk-free investment (so payments in can exactly match payments out so that you are left with no risk).4. Is it riskier to make a loan denominated in dollars or in yen?SOLUTION:It depends on the context. For people whose income and expenses are denominated in dollars (perhaps because they live in the U.S), denominating a loan in yen would be riskier than denominating it in dollars. But for someone whose income and expenses are denominated in yen, denominating the loan in yen would be less risky than in dollars.5. Which risk management technique has been chosen in each of the following situations?« Installing a smoke detector in your home« Investing savings in T-bills rather than in stocks« Deciding not to purchase collision insurance on your car« Purchasing a life insurance policy for yourselfSOLUTION:« Loss preve nti on and con trol.・Risk avoida nee« Risk rete nti on・Risk tran sfer6. You are considering a choice between investing $1,000 in a conventional one-year T-Bill offering an interest rate of 8% and a one-year Index 丄inked Inflation Plus T-Bill offering 3% plus the rate of inflation.a. Which is the safer investment?b. Which offers the higher expected return?c. What is the real return on the Index 丄inked Bond?SOLUTION:a. The inflation-indexed T-Bill offers a fixed real rate of return of 3% over the life of the investment. The realreturn on the conventional T- Bill ' s real return depends upon the expected rate of inflation over the life of thein vestme nt. The safer in vestme nt is the In flati on Plus T-Bill.b. The real rate of return on the conventional T-Bill depends upon the expected rate of inflation over the life of thein vestme nt. You do not know which expected retur n is higher unl ess you know what in flati on is expected to be.c. The real retur n on the in dex-l in ked T-Bill is 3%.Hedging and Insurance7. Suppose you are interested in financing your new home purchase. You have your choice of a myriad financing options. You could enter into any one of the following agreements: 8% fixed rate for 7 years, 8.5% fixed rate for 15 years, 9% fixed for 30 years. In addition, you could finance with a 30-year variable rate that begins at 5% and increases and decreases with the prime rate, or you could finance with a 30year variable rate that begins at 6% with ceilings of 2% per year to a maximum of 12% and no minimum.a. Suppose you believe that interest rates are on the rise. If you want to completely eliminate your risk of risinginterest rates for the longest period of time, which option should you choose?b. Would you consider that hedging or insuring? Why?c. What does you r risk management decision “ cost ” you in terms of quoted interest rates during the firstyear?SOLUTION:a. You would choose the 30-year fixed rate at 9%.b. That would be a hedge because you have elim in ated both the upside (decli ning rates) or dow nside ( rising rates).c. This costs me at least 4% since I could get a variable rate loa n at 5%.8. Referring to the information in problem 7, answer the following:a. Suppose you believe interest rates are going to fall, which option should you choose?b. What risk do you face in that transaction?c. How might you insure against that risk? What does that cost you (in terms of quoted interest rates?). SOLUTION:a. You would want one of the variable rate options, in particular the variable loan tied to the prime rate, currently equal to5%.b. You face the risk of rising rates.c. You could in sure aga inst that risk by purchas ing the opti on to have a 12% ceil ing on the rate (2% in crease per year.This option cost you 1% (the difference between 6% and 5%).9. Suppose you are thinking of investing in real estate. How might you achieve a diversified real estate investment?SOLUTION:« You could own several differe nt build ings in the same gen eral area.« You could own several differe nt build ings in differe nt geographic areas.« You could sell some of your equity own ership to other owners to lower your own in dividual exposure to decli ning market values.10. Suppose the following represents the historical returns for Microsoft and Lotus Development Corporation:Historical ReturnsYear MSFT LOTS110%9%215%12%3-12%-7%420%18%57%5%a. What is the mean return for Microsoft? For Lotus?b. What is the standard deviation of returns for Microsoft? For Lotus?c. Suppose the returns for Microsoft and Lotus have normally distributed returns with means and standarddeviations calculated above. For each stock, determine the range of returns within one expected standard deviation of the mean and within two standard deviations of the mean.SOLUTION:a. Mea n return Microsoft: 8.0%; Lotus: 7.4%b. If you use the formula for the sta ndard deviati on based on a sample of size n:You find that the standard deviations are: MSFT: 10.94%; Lotus: 8.357%.However, if you use the formula for the population standard deviation:You find that the standard deviations are: MSFT 12.23% and LOTS 9.34%.c. Range of returns within 1 standard deviation Microsoft: -2.94% to +18.94% Range of returns within 1 standarddeviation Lotus: -0.957% to + 15.76% Range of returns within 2 standard deviations Microsoft: -13.88% to+29.88% Range of returns within 1 standard deviation Lotus: -9.31% to + 24.11%。

金融工程学各章习题及答案第一章综合远期外汇协议（SAFE交易）1.请简述金融衍生产品的功能。

2.金融工程的应用领域。

3.金融远期合约有哪些优点？又有哪些缺点？4.请简述远期外汇市场的卖出者包括那些人。

5.请简述远期外汇市场的买入者包括那些人。

6.常见的远期合约有哪几种?7.远期交易主要应用在哪些领域?8.某交易商拥有1亿日元远期空头,远期汇率为0.008美元/日元.如果合约到期时汇率分别为0.0074美元/日元和0.0090美元/日元,请计算该交易商的盈亏状况。

9.某日美元对瑞郎即期汇率为USD/CHF1.2200－1.2210，若l个月美元对瑞郎远期汇率点数为20－30，l个月美元对瑞郎远期汇率点数为45－40，分别求l 个月和3个月美元对瑞郎远期汇率。

10．有些学者认为，远期汇率是对未来汇率的无偏预测。

请问在什么情况下这种观点是正确的？11.请简述影响期货汇率波动的主要因素。

12.请简述有效的外汇风险管理步骤。

第一章答案1.答：1.规避市场风险2.套利3.投机4.提高效率5.促进金融市场的完善2.答：1.公司理财方面2.金融工具及其交易策略3.投资与货币管理方面4.风险管理技术与手段3.答：优点主要是具有较大的灵活性；缺点是市场效率较低、流动性较差、违约风险较高。

4.答：1.有远期外汇收入的出口商2.持有未到期外汇的债权人3.输出短期资本的牟利者4.对远期外汇看跌的投机者5.答：1.有远期外汇支出的进口商2.负有未到期外汇的债务人3.输入短期资本的牟利者4.对远期外汇看涨的投机者6.常见的远期合约主要包括远期利率协议和远期外汇协议。

7.主要应用于利率风险和外汇风险防范。

8.若合约到期时汇率为0.0075美元/日元，则他赢利1亿（0.008-0.0074）=6万美元。

若合约到期时汇率为0.0090美元/日元，则他赢利1亿（0.008-0.009）=-10万美元。

9. l个月美元对瑞郎远期汇率为USD/CHF：（1.2200+0.0020）－（1.2210+30）=1.2220－1.2240。