金融工程相關(guān)習(xí)題及答案

1、Chapter1MarketganizationStructurePRACTICEPROBLEMSFCHAPTER11.AkihikoTakabehasdesignedasophisticatedfecastingmodelwhichpredictsthemovementsintheoverallstockmarketinthehopeofearningareturninexcessofafairreturnftheriskinvolv

2、ed.Heusesthepredictionsofthemodeltodecidewhethertobuyholdsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbeacterizedasa(n):A.hedger.B.invest.C.infmationmotivatedtrader.2.JamesBeac

3、hisyounghassubstantialwealth.Asignificantproptionofhisstockptfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpectedreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappro

4、priatefhimgivenhisabilitywillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeachA.Hedger.B.Invest.C.Infmationmotivatedtrader.3.LisaSmithownsamanufacturingcompanyintheUnitedStates.Hercompanyhassoldg

5、oodstoacustomerinBrazilwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmethanexpectedagainsttheU.S.dollar(USD).TherefesheisplanningtosellthreemonthfuturescontractsontheB

6、RL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD.IfSmithweretosellthesefuturecontractsshewouldmostappropriatelybedescribedasa(n):A.hedger.B.invest.C.infmationmotivatedtrader.4.Whichofthefollowi

7、ngisnotafunctionofthefinancialsystemA.Toregulatearbitrageurs’profits(excessreturns).B.Tohelptheeconomyachieveallocationalefficiency.C.Tofacilitatebrowingbybusinessestofundcurrentoperations.5.Aninvestprimarilyinvestsinsto

8、cksofpubliclytradedcompanies.Theinvestwantstoincreasethediversificationofhisptfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbe211.TonyHarrisisplanningtostarttradingincommoditi

9、es.Hehasheardabouttheuseoffuturescontractsoncommoditiesislearningmeaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontractA.Existenceofcounterpartyrisk.B.Stardizedcontractualterms.C.Paymentof

10、aninitialmargintoenterintoacontract.12.AGermancompanythatexptsmachineryisexpectingtoreceive$10millioninthreemonths.Thefirmconvertsallitsfeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinami

11、nimumfixedratefconvertingthe$10milliontoeurobutalsowantstokeeptheflexibilitytousethefuturespotrateifitisfavable.WhathedgingtransactionismostlikelytoachievethisobjectiveA.Sellingdollarsfward.B.Buyingputoptionsonthedollar.

12、C.Sellingfuturescontractsondollars.13.Abookpublisherrequiressubstantialquantitiesofpaper.Thepublisherapaperproducerhaveenteredintoanagreementfthepublishertobuytheproducertosupplyagivenquantityofpaperfourmonthslateratapri

13、ceagreedupontoday.Thisagreementisa:A.futurescontract.B.fwardcontract.C.commodityswap.14.TheStard&Po’sDepositaryReceipts(SPDRs)isaninvestmentthattrackstheS&P500stockmarketindex.PurchasessalesofSPDRsduringanaveragetradingd

14、ayarebestdescribedas:A.primarymarkettransactionsinapooledinvestment.B.secondarymarkettransactionsinapooledinvestment.C.secondarymarkettransactionsinanactivelymanagedinvestment.15.TheStard&Po’sDepositaryReceipts(SPDRs)isa

15、nexchangetradedfundintheUnitedStatesthatisdesignedtotracktheS&P500stockmarketindex.ThecurrentpriceofashareofSPDRsis$113.AtraderhasjustboughtcalloptionsonsharesofSPDRsfapremiumof$3pershare.Thecalloptionsexpireinfivemonths

16、haveanexercisepriceof$120pershare.Ontheexpirationdatethetraderwillexercisethecalloptions(igneanytransactioncosts)ifonlyifthesharesofSPDRsaretrading:A.below$120pershare.B.above$120pershare.C.above$123pershare.16.Whichofth