【正文】 to infinite nRA )1( ?mnmRA )1( ?Shanghai University of Financeamp。Economics 138 Continuous pounding ? RnRnRmmmnmAemRAmRA ????????)1(lim)1(limShanghai University of Financeamp。Economics 139 Conversion ? Known pounding rate ? mnnRmRAAe c )1( ??)1l n (mRmRc ??Shanghai University of Financeamp。Economics 140 When m=1 ? ? when continuous pounding rate is known )1ln ( RR c ??)1( ?? mR cemRShanghai University of Financeamp。Economics 141 The effect of a known dividend yield ? For an investment asset providing a continuous dividend yield rate @ q is: TqreSF )(00??Shanghai University of Financeamp。Economics 142 Proof ? Consider an investor adopting the following strategy: 1. Buy spot eqt of the asset and reinvest ine from the asset in the asset 2. Short a forward contract on one unit of the asset Shanghai University of Financeamp。Economics 143 Result ? Initial cash out flow: ? Final inflow: F0 ? No arbitrage opportunity require that the PV of inflow equal to the PV of outflow ? So, or, qTeS ?0rTqT eFeS ?? ? 00TqreSF )(00??Shanghai University of Financeamp。Economics 144 Example1 ? 6 month long forward contract on a nondividendpaying stock. The riskfree rate is 10% per annum, the stock price is $25, and the delivery price is $24. ? What is the value of the forward contract? Shanghai University of Financeamp。Economics 145 discrete dividend yield ? If discrete dividends of q1,q2,….q n are expected between time zero and time T, we define: We can get the equivalent continuous dividend yield,q: 1)1) . . . (1)(1( 21 ????? nqqqe qT ?? 1Shanghai University of Financeamp。Economics 146 Practice ? 某股票的遠(yuǎn)期合約 ,合約期限 6個(gè)月 . ? 股票現(xiàn)貨價(jià)格為 $80 ? 該股票在第一個(gè)月和第四個(gè)支付紅利 ,紅利率分別為股票價(jià)格的 4%和 5% ? 無(wú)風(fēng)險(xiǎn)利率 (年連續(xù)復(fù)利 )為 6% 求 : 該遠(yuǎn)期合約的理論價(jià)格 Shanghai University of Financeamp。Economics 147 蒙特卡羅模擬 ? 股票價(jià)格指數(shù)的行為特征 ? 蒙特卡羅模擬的基本方法 Shanghai University of Financeamp。Economics 148 Geometric Browning motion ? Discrete form tStSS????????() ),(~ ttSS ??? ???Shanghai University of Financeamp。Economics 149 幾個(gè)變量的估算 : 以上證指數(shù)為例 ? 方法 EWMA（ 指數(shù)加權(quán)移動(dòng)平均） GARCH(1,1) ? 漂移率 ? 波動(dòng)率 ? 隨機(jī)數(shù) excel 或其他軟件可以自動(dòng)產(chǎn)生 ? 時(shí)間段： Shanghai University of Financeamp。Economics 150 模擬 6個(gè)月后的股價(jià)指數(shù) ? 經(jīng)過(guò) 50步運(yùn)算 tStSS ????? ???SSS ? ?????Shanghai University of Financeamp。Economics 151 上證指數(shù)模擬 ? 模擬結(jié)果 Shanghai University of Financeamp。Economics 152 二叉樹(shù)模擬 ? 一般用于為期權(quán)定價(jià) ? 如果推出指數(shù)期權(quán)，可以得到應(yīng)用 Shanghai University of Financeamp。Economics 153 技術(shù)分析與基礎(chǔ)分析 ? 技術(shù)分析＝算命？ ? 優(yōu)劣比較 Shanghai University of Financeamp。Economics 154 Underlying assumptions of technical analysis ? Values, and thus prices, are determined by supply and demand ? Supply and demand is driven by both rational and irrational behavior ? Security prices move in trends that persist for long periods of time ? While the cause for changes in supply and demand are difficult to determine ,the actual shifts in supply and demand can be observed in market price behavior Shanghai University of Financeamp。Economics 155 fundamental, technical, and the efficient market analysis ? Fundamental analysts: believe that a security’s price is determined by the supply and demand for the underlying security based on its economic fundamentals such as expected return and risk. ? Fundamentalists believe they can forecast value changes by analyzing earnings data and publicly available data Shanghai University of Financeamp。Economics 156 Challenge to technicians ? The major challenge is the EMH. EMH thinks that all available information is impounded in the current security price. Thus , any new information will cause instantaneous price adjustments. ? Also, past technical relationship may not be repeated, technical rules required too much subjective interpretation, and decision variables change over time . Shanghai University of Financeamp。Economics 157 Main differences among the three approaches ? The speed at which these analysts believe news is impounded into prices. Technicians believe the reaction is slow, fundamentalists feel prices adjust quickly, and efficient market hypothesis analysts feel it happens almost instantaneous. Shanghai University of Financeamp。Economics 158 ? Fundamentalists look for changes in the basis of value, which eventually leads to changes in the supply and demand for the stock. ? Technicians look for evidence of changes in supply and demand through market signals and indicators. ? EMH says all this looking is a hopeless and profitless exercise since prices will change instantaneously to information changes. value time Old intrinsic value Point4:EMH Point1:start Point2:fundamentalists Point3:technician New intrinsic value Support level Resistance level Shanghai University of Financeamp。Economics 160 Advantages of technical analysis ? It’s quick and easy ? It does not involve messing with data and adjusting for accounting problems ? It incorporates psychological as well as economic reasons behind price changes ? It tells when to buy。 not why investors are buying Shanghai University of Financeamp。Economics 161 Challenges to technical trading rules ? Prices do not move in trends based on statistical tests of autocorrelation and runs. That is , past price patterns may not be repeated in the future.. ? If technical trading rules worked, the market would selfdestruct. This is called the selffulfilling prophecy. Shanghai University of Financeamp。Economics 162 ? If a technical trading proved to be successful, others would copy it. As more traders implement the strategy, its value will be ne