《金融学教学》bodie2e_cha(1)

1、整理课件1ObjectiveExplain market mechanisms for implementing hedges and insurance整理课件2整理课件3整理课件4整理课件5整理课件6整理课件7整理课件8整理课件9整理课件10整理课件11整理课件12整理课件13整理课件14整理课件15整理课件16整理课件17整理课件18整理课件19整理课件20整理课件21整理课件22整理课件23整理课件24整理课件25Value of 30-Year Mortgage 5-Years Out (6%)02,000,0004,000,0006,000,0008,000,00010,000,0

2、0012,000,00014,000,00016,000,0001%3%5%7%9%11%Market Interest RateMarket Value of MortgageMarket Value of MortgagesBook Value of MortgagesniipmtPV111*整理课件26整理课件27整理课件28整理课件29整理课件30Hedging v. Insuring05000010000015000020000025000030000035000040000045000000.511.522.533.54Price of WheatRevenue from Whea

3、tHedgedInsured整理课件31整理课件32整理课件33整理课件34整理课件35整理课件36整理课件37整理课件38整理课件39Hedging with a Put-200002000400060008000100001200014000160005060708090100110120130140150Share PriceShare HoldingValue PutsFV PremiumTotal Wealth整理课件40整理课件41整理课件42整理课件43整理课件44整理课件45整理课件46整理课件47State of the World ProbabilityPayoffMean

4、DeviationDev SQR- * ProbOne Failure0.50200000-2000004E+102E+10One Success0.54000002000002000004E+102E+10Sum =4E+10Sqrt |200000The Standard Deviation is $200,000整理课件48State of the World ProbabilityPayoffMeanDeviationDev SQR- * ProbOne Failure0.250200000-2000004E+101E+10One Success0.5200000200000000Tw

5、o Successes0.254000002000002000004E+101E+10Sum =2E+10Sqrt |141421.356The Standard Deviation is about $141,000 (c.f. $200,000)整理课件49整理课件502 , 121212222212122wwwwp整理课件51整理课件52Standard Deviations of Portfolios, rho = 0.2, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfol

6、io Size Standare Deviation 整理课件53Standard Deviations of Portfolios, rho = 0.5, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation 整理课件54Standard Deviations of Portfolios, rho = 0.8, sig = 0.2 0.000.020.040.060.000510152

7、0253035404550Portfolio Size Standare Deviation 整理课件55Standard Deviations of Portfolios, rho = 0.2, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation Diversifiable Security Risk Nondiversifiable Security Risk整理课件56Standard Deviations of Portfolios, rho = 0.0, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation All risk is diversifiable All risk is diversifiable 整理课件57整理课件58Standard Deviations of Portfolios, rho = 1/(1-50) = -0.0204, sig = 0.2 0.000.020.