貨幣時(shí)間價(jià)值與利率期限結(jié)構(gòu)清華大學(xué)絕版金融工程-文庫(kù)吧資料
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【正文】 risk aversion coefficient Thus, the real interest rate is given by 10 Nonlinear technology Time 0 Time 1 01( , )cc2u1u0e1e(1+RC) Investment opportunity set 21uu? b b(1+r) 11 Linear technology Time 0 Time 1 01( , )ccb (1+r)b 2u1u0e1e21uu?(1+RC) 12 ? More generally, consider consumption grow at random rate. Investors maximize their expected utility over many periods. ? Where is his holdings of discount bonds, is future endowments, is future consumption, both can be uncertain. 00 0 1 2m a x [ ( ) ]. . .. .( 1 ) 1 .. ..TtttTtt t tE u cs t c e b b bc e r b t T??? ? ? ? ?? ? ? ??1( , ...... )Tbb1( , ...... )Tee1( , ...... )Tcc13 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! 14 ? Nominal and real interest rates — nominal interest rate = real interest rate+ inflation — real interest rate = pure time value+ risk premium ? Compound interest — interest earned on interest already earned )1ln (* rr ??— Continuously pounding r — simple rate of return annually m — times of interest payments annually rm1— pounding rate of interest payments annually mrrmmm? ??????????? ?1 11m ? ?Let r rm emmr? ??????? ? ? ?? ???lim 1 1 1Continuously pounding 15 Financial Risks and Riskfree Security — Default risk — Liquidity risk — Purchase power risk — Interest risk — Foreign exchange risk — Other market risks ? Basic financial risks: — Riskfree security: ? Substitute in reality: Treasury 16 — Treasury Yield Curve ? Treasury yield curve usually has three forms: upward, flat and downward. ? ?ntrt ,1, ???????? Zerocoupon rates set — Bills are zero coupon while notes and bonds have coupons. — Zerocoupon rates set can be obtained by conversion. 17 ? Conver
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