衍生品市场课后习题答案带教材第三版

android · 发表于 20-1-3 16:55:48

You cannot understand modern finance and financial markets without understanding derivatives.
This book will help you to understand the derivative instruments that exist, how they are used, how they are priced, and how the tools and concepts underlying derivatives are useful more broadly in finance.
Derivatives are necessarily an analytical subject, but I have tried throughout to emphasize intuition and to provide a common sense way to think about the formulas. I do assume that a reader of this book already understands basic financial concepts such as present value, and elementary statistical concepts such as mean and standard deviation. In order to make the book accessible to readers with widely varying backgrounds and experiences, I use a “tiered” approach to the mathematics. Chapters 1–9 emphasize present value calculations,and there is almost no calculus until Chapter 18.
The last part of the book develops the Black-Scholes-Merton approach to pricing derivatives and presents some of the standard mathematical tools used in option pricing, such as Itˆo’s Lemma. There are also chapters dealing with applications to corporate finance, financial engineering, and real options.
Most of the calculations in this book can be replicated using Excel spreadsheets on the CD-ROM that comes with the book.1 These allow you to experiment with the pricing models and build your own spreadsheets. The spreadsheets on the CD-ROM contain option pricing functions written in Visual Basic for Applications, the macro language in Excel.
You can incorporate these functions into your own spreadsheets. You can also examine and modify the Visual Basic code for the functions. Appendix D explains how to write such functions in Excel, and documentation on the CD-ROM lists the option pricing functions that come with the book. Relevant Excel functions are also mentioned throughout the book.

Chapter 1
Introduction to Derivatives
Question 1.1.
This problem offers different scenarios in which some companies may have an interest to hedge their exposure to temperatures that are detrimental to their business. In answering the problem, it is useful to ask the question: Which scenario hurts the company, and how can it protect itself?
a) Asoft drink manufacturer probably sells more drinks when it is abnormally hot. She dislikes days at which it is abnormally cold, because people are likely to drink less, and her business suffers. She will be interested in a cooling degree-day futures contract, because it will make payments when her usual business is slow. She hedges her business risk.
b) Aski-resort operator may fear large losses if it is warmer than usual. It is detrimental to her business if it does not snow in the beginning of the season, or if the snow is melting too fast at the end of the season. She will be interested in a heating degree-day futures contract, because it will make payments when her usual business suffers, thus compensating the losses.
c) During the summer month, an electric utility company, such as one in the South of the United States, will sell a lot of energy during days of excessive heat, because people will use their air conditioners, refrigerators and fans more often, thus consuming a lot of energy and increasing profits for the utility company. In this scenario, the utility company will have less business during relatively colder days, and the cooling degree-day futures offers a possibility to hedge such risk. Alternatively, we may think of a utility provider in the North-East during the winter months, in a region where people use many additional electric heaters. This utility provider will make more money during unusually cold days, and may be interested in a heating degree-day contract, because that contract pays off if the primary business suffers.
d) An amusement park operator fears bad weather and cold days, because people will abstain from going to the amusement park during cold days. She will buy a cooling-degree futures to offset her losses from ticket sales with gains from the futures contract.

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衍生品市场课后习题答案带教材 第三版

衍生品市场课后习题答案带教材第三版