PartUnit 4 Unit 5 Unit 6

1. 116005191 .94380943802. 200914.571.185215.3331.457411.193. 4. 5. 6. 2009169

12 ST6007111 .794639712. 200810.1720.3830.03840.673. 4. 5. 6. 20095

2. 21 081260181. 6800682. 1003. 14. 2008.9.2285. 2008.10.10

221259601. 650650002. 1003. t12.61t22.91t33.21t43.51t53.814. 2007.5.1455. 2008.5.296. 2007.11.142012.5.137. 29.308. 24.33

Unit 4 1 2k 3 1 2 3

1. 2. 3. 4. 5. 6.

Unit 4.1 1.

tptP0r4.1

Ptr15r10r5r3t41

2. Pt

pv--- Pt--- k--- n--- 124.2

k3k5k10k15Pvt42

3. 14.3A

24.4

34.5tAPv0PvPv00rkrkrk

4. kkk

4.6 rs rl rg rb rc W1...50.20.350.250.10.1

412.255.43.832.21.64k 4.9

k3.68k

Unit 4.2 1. 12344.74.84.94.10PbtPb0rTt

2. Pbv1

n=(T-t)2

4.114.12

3

4

4.134.14

3. 1

24.154.16

3

44.174.18PbmRyb

4. 1

24.194.20

42 200892208126018100189222008102865.18k3.91 Pbm65.18r1Pb0100T8nTt80.17.91360k3.91 14.9

24.13

4.19

34.20

4.17NPbvPbvPbm

41

6765.1867

65.1810879.7780.626.218.333.91

5. 1 2

3 k 4

Unit 4.3 1. PPne

PPn+e

2.

D--- P--- k--- t---

1DDMS DDMS4.214.22

2CAPM 4.24 4.23

3. 1 2

Ps--- Ee--- ---- 4.25 4.26

3

4. 1234

5. 1 Net Present Value 4.27 NPsvPsvPsm

2 Internal Rate of ReturnNPsv0PsvPsm Rsirrk 4.28 Rsirr

NPsv0 NPsvk Rsirr

43 60000420090.4711.44/2009k3.91BO00.47k3.91Psm11.44 4.24

4.27

NPsv>0 4.28

Rsirr>k

Unit 4.4 1.

Pz--- C--- L--- Q--- P--- 4.29

2. 123

Unit 4.5 1. 1 1 PPFmwPmw 4.30 PPFmwPmw 2

2 1 2

2. 1 1 Pcw---Pt---Px--- Pcw=PtPx 4.31 2 Ppw---Px--- Ppw=PxPt 4.32

2 1 2

3 1 2 3

3. 1 1 Pz---P0--- E--- Pz=P0+E 4.33 PsPx Pk=Pz1kn 4.34 Pk--- n--- k---

2 Pg=rPs 4.35 r=P0Px 4.36 Pg--- Px--- Ps--- r--- 3 Pq=rPsPx 4.37

3 1

2

3 4 5

Unit 4.6 1. 2. 3. 4. 5.

Unit 4.6.1 1. 1Pt

24.37

PT3

2. 1 1 2 3

2 1 2 3 4 5

3 Pm=Pn+Pe+PwPs 4.39

Pm Pn Pe Pw Ps

4PPabW2W1cW3WP---W--S---PaacBcC---

3. 1 1 24.40

2 1 PP2P0P1OBAFDECSWd2Ws1W0Ws2Wd1W

2

3

4. 1 35

2 1

2

Unit 4.6.2 1. 1 2 3 Pm=Pn+PePs 4.41

2. 1Pm

3. 1 Pm>P Pm=P Pmyl(n) ym=yl(n) ymk k

Unit 4.6.3 1. 1 2 3 4 Pm=Pn+Pe+PwPs

2. 1

2

3

4

3. 1NPV NPV=P-Pm 4.42

NPV>0 NPV=0 NPV

2IRR Pm=D0/k* 4.43 k*=D0/Pm 4.44

k*>k k*

3 0=1/k 4.45 > 0 < 0 --- 0 ---

4 1 Pa=PT/CT 4.46 PT--- CT--- Pa---/

Pav=Ea/k 4.47 Pav--- Ea--- Pa>Pav Pa

2 PTM2 4.48 PT M2 0.1 0.7

200620072008

20052006200720080970.150.110.710.260.485.424.7418.935.6811.14

Unit 4.6.4 1. 12

Pm=Pn 4.49 Pm=Pn+Ps 4.50

2. 1 2 33. Pn 1Pm>Pn 2Pm

4. 1 2 3

5. 1 2 3 4 5

Unit 4.6.5 1. 1 PmPcPrPs 4.51 PcPr Ps2 PmPTPs 4.52 PT Ps

Introduction to Futures and Options Markets3thEition3 FSerT 4.53 F S R T

4 1 2 3 4

TP

2. 1 PmPcwPtvPs 4.54

Pcw Ptv 2 PmPpwPtvPs 4.55

Ppw

Introduction to Futures and Options Markets3thEition 3Black-Scholes

c T P X Nx--S r 4.564.574.584.59

4 12

PxP0+P0P

PPx0+P0P

3. 1PsPx Pk=Pz1kn 4.60 Pk--- n--- k--- 2 Ps>Px Pk=Pg+Pq+PtvPs 4.61

3

Px100

41 2112345678910

2. 212345678

3120030.21366.31.98%20210810051.5%1088/1096/ k2

41 2

3 20070.240018.33.87%5 2007103010061.%103013.85/2007112610.07/ k5

Unit 5 1 2 3 1 2 3

1. 2. 3. 4.

Unit 5.1 1.

1

2

2.

1 2

3 1 2 3. 123

Unit 5.2 1.

1

2

2. 12 3

3. 12 3 4

4. 1 2 3 4

Unit 5.3 1

2.

1

2

3. 1 2

Unit 5.4 1.

1 2

3

4

2. 12 3 1 2 3

3. 1 2 3

4. 1 2 3

5. 1 2 3

51 21234567

Unit 6 1 2 3 1 2 3

1. 2. 3. 4. 5.

Unit 6.1 1. 12 1 2 3

3

1 2 3 4

2. 1 1 22 1 2 3

3 1 2 3 44 1 2 35

3. 1122

3 1 2 3

4. 1 1 2 32 1 2

5. 1 1 22 1 2 3 4 5

Unit 6.2 1. 1232. 1234

3. 1 1 2 32 1 2

3 1 2 34 1 2 3 4

4. 1234

5. 1236. 12347.

8. 12 1 234 1 2567

Unit 6.3 1. 1232. 123

3. 1 1 A=L+OE 6.1 A(Assets) B(Liabilities) OE(Owner,s Equity)

2 a b c

3 a b c

2 1 2

3

3 1 2 3 4 5

4. =+ 6.2

=++6.3

=++ 6.4

=+ 6.5

5. 1

1 2 3

2 1 2 33 1 2 3 4

6. 1

1 2 3 4

2 1 2 3 4 5

3 1 2 3 4 5 6

4 1 2 3 4 5

Unit 6.4 1. 1 2 3

2. 1 1 2 = 6.6 3 2

2 1 2 = 6.7 3 1

3 1 2 = 6.8 3

4 1 2 = 6.9 =360 6.10 3

3. 1 1 2 = 6.11 3

2 1 2 = 6.12 3

3 1 = 7.13 2 = 7.14 3

4 1 2 = 7.15 3 11.51

4. 1 1 = 7.16 =360 7.17 3

2 1 = 7.18 2

3 1 = 7.19 2

4 1 =[] 100% 7.20 2

5. 1 1 =/100% 7.21 = 7.22 2

2 1 =/100% 7.23 2

3 1 =100% 7.24 =2 7.25 2

4 1 =/100% 7.26 2

6. 1P2012 1 / 100 7.27 2

3

1 /100 7.28 2

4 1 /100 7.29 2

Unit 6.5 1. 1 7.30 7.312 7.323 7.33

2. 1 7.342Unit 5 7.35

3 7.364 7.375 /100 7.38 2 7.39

3. 1 100 7.40 2 100 7.413 7.42

61123456

212345678

Introduction to Futures and Options Markets3thEition