JohnHull《期货、期权和衍生证券》13章习题解答.pdfVIP

JohnHull《期货、期权和衍生证券》13章习题解答--第1页 CHAPTER 13 Wiener Processes and It’s Lemma Practice Questions Problem . What would it mean to assert that the temperature at a certain place follows a Markov process? Do you think that temperatures do, in fact, follow a Markov process? Imagine that you have to forecast the future temperature from a) the current temperature, b) the history of the temperature in the last week, and c) a knowledge o seasonal averages and seasonal trends. I temperature followed a Markov process, the history of the temperature in the last week would be irrelevant. To answer the second part of the question you might like to consider the following scenario for the first week in May: (i) Monday to Thursday are warm days; today, Friday, is a very cold day. (ii) Monday to Friday are all very cold days. What is your forecast for the weekend? If you are more pessimistic in the case of the second scenario, temperatures do not follow a Markov process. Problem . Can a trading rule based on the past history of a stock’s price ever produce returns that are consistently above average? Discuss. The first point to make is that any trading strategy can, just because of good luck, produce above average returns. The key question is whether a trading strategy consistentlyoutperforms the market when adjustments are made for risk. It iscertainly possible that a trading strategy could do this. However, when enough investors know about the strategy and trade on the basis of the strategy, the profit will disappear. As an illustration o this, consider a phenomenon known as the small firm e ect. Portfolios of stocks in small firms appear to have outperformed portfolios of stocks in large firms w