章金融答案翻译.doc

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1、CHAPTER14FORWARDANDFUTURESPRICESObjectives·Toexplaintheeconomicroleoffuturesmarkets·Toshowwhatinformationcanandcannotbeinferredfromforwardandfuturesprices.·Outline14.1DistinctionsBetweenForwardandFuturesContracts14.2TheEconomicFunctionofFuturesMarkets14.3TheRoleofSpecul

2、ators14.4RelationBetweenCommoditySpotandFuturesPrices14.5ExtractingInformationfromCommodityFuturesPrices14.6Spot-FuturesPriceParityforGold14.7FinancialFutures14.8TheImpliedRisk-FreeRate14.9TheForwardPriceIsNotaForecastoftheSpotPrice14.10Forward-SpotParitywithCashPayouts

3、14.11ImpliedDividends14.12TheForeign-ExchangeParityRelation14.13TheRoleofExpectationsinDeterminingExchangeRatesSummary·Futurescontractsmakeitpossibletoseparatethedecisionofwhethertophysicallystoreacommodityfromthedecisiontohavefinancialexposuretoitspricechanges.·Specula

4、torsinfuturesmarketsimprovetheinformationalcontentoffuturespricesandmakefuturesmarketsmoreliquidthantheywouldotherwisebe.·Thefuturespriceofwheatcannotexceedthespotpricebymorethanthecostofcarry:·Theforward-spotpriceparityrelationforgoldisthattheforwardpriceequalsthespotp

5、ricetimesthecostofcarry:Thisrelationismaintainedbytheforceofarbitrage.·Onecaninfertheimpliedcostofcarryandtheimpliedstoragecostsfromtheobservedspotandforwardpricesandtherisk-freeinterestrate.·Theforward-spotparityrelationforstocksisthattheforwardpriceequalsthespotpricet

6、imes1plustherisk-freeratelesstheexpectedcashdividend.Thisrelationcanthereforebeusedtoinfertheimplieddividendfromtheobservedspotandforwardpricesandtherisk-freeinterestrate.·Theforward-spotpriceparityrelationforthedollar/yenexchangerateinvolvestwointerestrates:whereFisthe

7、forwardpriceoftheyen,Sisthecurrentspotprice,rYistheyeninterestrate,andr$isthedollarinterestrate.·Iftheforwarddollar/yenexchangerateisanunbiasedforecastofthefuturespotexchangerate,thenonecaninferthatforecasteitherfromtheforwardrateorfromthedollar-denominatedandyen-denomi

8、natedrisk-freeinterestrates.161/5SolutionstoProblemsatEndofChapterForwardContractsandForward-SpotParity.1.Supp