[backcolor=rgba(255, 255, 255, 0.917969)]1. Cost of carry model: int rate 3%, storage cost 0.225%, both rates are annual rates. A farmer wants to buy 540 barrel of xxx, which has a spot price of $600 per barrel. The futures contract has a contract size of 90 barrels per contract. Assume no arbitrage, what is the value of the futures contract?
这道基础题花了我很多时间,因为怎么都算不出答案中的数,于是就随便选了一个。我算出来的数是609打头的,跟答案一点边都挨不着。牛人们给点提示??
[backcolor=rgba(255, 255, 255, 0.917969)]2. 第97,98两道题是关于Futures option的hedge问题,考了value of hedge position [backcolor=rgba(255, 255, 255, 0.917969)],还有在期末是否exercise问题。
[backcolor=rgba(255, 255, 255, 0.917969)]3. 一个回归,给了一个table,column 分别是x, y, y^ [backcolor=rgba(255, 255, 255, 0.917969)], u, u2 [backcolor=rgba(255, 255, 255, 0.917969)], ux, uy
[backcolor=rgba(255, 255, 255, 0.917969)]According to which of the following statement do you think the regression has made an error?
a) sum of product of u and x is zero.
b) sum of u is zero
c) sum of u2 is zero
d) sum of product of u and y is negative.
[backcolor=rgba(255, 255, 255, 0.917969)]4. 给了一个table. column分别是Estimated vol, closing price , daily return; row是日期
[backcolor=rgba(255, 255, 255, 0.917969)]What is the smoothing factor of the EWMA model?
[backcolor=rgba(255, 255, 255, 0.917969)]6. An analyst wants to estimate a sample mean. She increases the significance level for 1% to 5%, and she also increase the sample size by 100. How does type I and type ii error change?
[backcolor=rgba(255, 255, 255, 0.917969)]I choose: type I increases, and type ii decreases
[backcolor=rgba(255, 255, 255, 0.917969)]7.what has the greatest impact of currency risk?(不确定)
[backcolor=rgba(255, 255, 255, 0.917969)]我选的是Full convertibility of currency