金融工程學(xué)-全英文ppt38-國際金融-文庫吧資料
2024-08-22 16:33本頁面
【正文】 instruments used to replicate securities equals the number of states so that we can attain any payoff of securities in future , in such a circumstance, the market is a plete one. Otherwise, the market is inplete. Completeness is a c o r e c o n c e p t of finance theories ! 34 P=E(mx) ? In plete market, there is a unique m that is consistent with market observable security prices ? In inplete market, there are many m’s that are consistent with the market observable security prices. 35 Summary of Chapter One 1. No Arbitrage Equilibrium 2. Replication Methodology 3. State Prices Technology: P=E[mX] 36 CHAPTER TWO: Time Value of Money and Term Structure of Interest — Discounted Cash Flow Formula Yes ! is the expected rate of return, ., the mean of the discount rates for different terms rLet No ! is the discount rate that cannot be used for so long period ? 01 )1(PrCPVntttt ??? ?????? ???nttttntttrCrC11 )1()1( 0)1(10 ????? ??ntttrCPN P Vr37 — Determination of Interest 1. Capital production ability —— the more the capital’s expected return, the higher the interest rates and vice versa. 2. Uncertainty of capital production ability —— the more the uncertainty, the higher the risk premium required and the higher the interest rates and vice versa. 3. Time preference of consumption —— the stronger preference to current consumption, the higher the risk premium required and the higher the interest rates and vice versa. 4. Risk aversion —— the more the risk aversion, the higher the risk premium required and the lower the riskfree interest rates. ? Four basic factors 38 ? The Benchmark of Interest — Yield to Maturity (YTM) YTM varies with different financial instruments, because the exposure of financial instruments are quite different and the required risk premiums differ from each other. Riskfree interest varies with terms . It’s called the term structure of interests. — Riskfree interests ? ? No! Yes! 。M Proposition 2: The cost of equity of a firm equals the cost of capital of the firm without liability and the risk premium of
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