mm理論和無套利ppt課件-文庫吧資料
2024-10-25 04:57本頁面
【正文】 ecurities in the market? Answers : 1. Find some equivalent instruments instead of basic securities. 2. It involves in market pleteness. 21 ? Replication via equivalent instruments Portfolio { Bond A, market value riskfree security} ? L??BP103$$replicating Bond B ?????????????LL,21 ??? L 0 0 ????? LPB22 ? Market Completeness Whenever the number of different 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 ! 23 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. 24 Summary of Chapter One 1. No Arbitrage Equilibrium 2. Replication Methodology 3. State Prices Technology: P=E[mX] 25 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 Vr26 — 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.
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