课程名称︰ 投资学 课程性质︰ 系必修 课程教师︰ 陈其美 开课学院： 管理学院 开课系所︰ 财金系 考试日期（年月日）︰ 2012/6/23 考试时限（分钟）： 20 是否需发放奖励金： 是 感谢!! （如未明确表示，则不予发放） 试题 : Investments Solutions to the Final Exam, June 2012 Instructions. Do not talk to anyone during this exam. Part I is a closed- book section, and Part II is an open-book section. The TA will announce when you can start working on Part I, and when you can start working on Part II. Feel free to use the restrooms after the TA announces that you can work on Part II. Do not ask questions during this exam. If you feel that a problem was not stated clearly, then write down your own assumptions on your solution sheets, and your assumptions will be taken into account when your solution sheets are graded. We shall announce your scores in the nal exam around Monday, 6/25, and you should contact TA and x any grading errors within 24 hours (i.e., by midnight, Tuesday, 6/26). Good luck, folks! Part I, True-False Questions. You have 20 minutes to nish this closed- book section. Each question is worth 4 points. 1. ( F ) When a bond is callable, bond market analysts might be more in- terested in its yield to call rather than yield to maturity. Most callable bonds are issued with an initial period of call protection, and an im- plicit form of call protection operates for bonds selling at premiums. (Chapter 14.) 2. ( T ) Bonds with higher convexity are bonds exhibiting higher curvature in the price-yield relationship. The convexity of noncallable bonds is positive. (Chapter 16.) 3. ( F ) If investment bankers noticed a bond selling for less (more) than the amount at which the sum of its parts could be sold, then they can benet from engaging in bond reconstitution (bond stripping). (Chap- ter 15.) 4. ( T ) The simplest theory of the term structure is the expectations hypothesis, which states that liquidity premiums are zero. (Chapter 15.) 5. ( F ) The duration of a level perpetuity increases as the interest rate increases. (Chapter 16.) 6. ( T ) Options can be used to custom-design new securities or portfolios with desired patterns of exposure to the price of an underlying secu- rity. An example of products engineered with options is index-linked CDs, which guarantee a minimum rate of return should the market fall. (Chapter 17, ed. 9; Chapter 20, ed. 8.) 7. ( F ) Barrier options, also called binary or "bet" options, have fixed payoffs that depend on whether a condition is satisfied by the price of the underlying asset. (Chapter 17, ed. 9; Chapter 20, ed. 8.) 8. ( T ) Delta-neutral strategies can be used to hedge bets on mispriced options, but they are still subject to volatility risk. (Chapter 18, ed. 9; Chapter 21, ed. 8.) 9. ( T ) The CBOT and CME merged in 2007 into one combined company, named the CME Group, and intend to move all electronic trading from both exchanges onto Globex. Inevitably electronic trading will continue to displace floor trading. (Chapter 19, ed. 9; Chapter 22, ed. 8.) 10. ( T ) Although credit risk in the swap market certainly is not trivial, it is not nearly as large as the magnitude of notional principal in these markets would suggest. When one party reneges on its commitment, the loss that the other party suffers is only the difference between the values of the swapped obligations. (Chapter 20, ed. 9; Chapter 23, ed. 8.) --

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