- 1、本文档共319页,可阅读全部内容。
- 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
金融衍生工具讲义(香港中文大学 何佳)
·??? Replication and arbitrage Two of the most basic concepts of modern finance are replication and arbitrage. Replication refers to the possibility of constructing combinations of assets that reproduce or replicate the cash flow of another asset. The cash flows of a coupon bond, for example, can be a combination of zeros. Arbitrage refers to the process of buying an asset at a low price and selling an equivalent asset for a higher price, to make a profit. ·????Zeros and Coupon Bonds Bond Maturity Coupon Rate Price($) (Years) A 0.5 none 96.00 B 1.0 none 91.00 C 0.5 8 99.84 D 1.0 6 98.00 Consider the possibility of replicating the cash flows of D from the two zeros. We buy(say) na units of A and nb units of B, generating cash flows of na*100 in 0.5 year and nb*100 in a year. For these to equal the cash flows of bond D, we need 3= na*100, 103=nb*100, implying na=0.03 and nb=1.03. Thus we have replicated D with a combination of A and B. The next question is whether the cost of the synthetic version of D sells the same price as D. The cost is na*96.00+nb*91.00=96.61. Since this is lower then the quoted price of D, we would buy the synthetic and sell short D pocketing the profit of 1.39. ·?? Linear Programming Problem Consider a collection of bonds, indexed by i =1,…I. Each bond i can be described in terms of its price, pi, and its cash flow over T periods, (c-1i, c2i, …,cTi), with T set at the maximum maturity of I bonds. Problem: min sum(n*p, i=1,..T) (by choosing ni, i=1,…,I) subject to sum(ni*cti,i=1,..I) =0, for each t=1,…T If this problem has a minimum zero, then these bonds are immune to arbitrage. But if the answer has negative cost, we have found a pure arbitrage opportunity: we sell the overpriced bonds(ni0) and buy the under priced ones. ·????Common yield fallacies Yiel
您可能关注的文档
最近下载
- 全国重点高中黄冈中学2021年自主招生理科实验班预录考试语文模拟.pdf VIP
- 意念高尔夫之技术篇(一)体能与力道之锻炼.doc
- 课件:危重新生儿监护.ppt
- 在线网课学习课堂《智能制造与数字化工厂( 陕西工业职业技术学)》单元测试考核答案.docx
- 国开电大传感器与测试技术实验 2:位移测量.doc VIP
- ACS880卷曲机控制程序(选件 N5000)固件手册revA.pdf VIP
- 2023年湖南省娄底市中考物理试题(含答案解析).doc
- 河北石家庄新华区2022--2023学年五年级下学期期末数学试题(有答案).pdf VIP
- 全自动超声波清洗机作业指导书.docx VIP
- 重庆市九龙坡区、綦江区2022-2023学年八年级下学期期末质量监测语文试题.docx VIP
文档评论(0)