金融工程 相关习题及答案Word下载.docx
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B.Investor.
C.Information-motivatedtrader.
3.LisaSmithownsamanufacturingcompanyintheUnitedStates.HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar(USD).Therefore,sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD.IfSmithweretosellthesefuturecontracts,shewouldmostappropriatelybedescribedasa(n):
4.Whichofthefollowingisnotafunctionofthefinancialsystem?
A.Toregulatearbitrageurs’profits(excessreturns).
B.Tohelptheeconomyachieveallocationalefficiency.
C.Tofacilitateborrowingbybusinessestofundcurrentoperations.
5.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbecharacterizedasatransactioninthe:
A.derivativeinvestmentmarket.
B.traditionalinvestmentmarket.
C.alternativeinvestmentmarket.
6.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanagementpolicyofthehedgefundisbestdescribedasusing:
A.capitalmarketinstruments.
B.moneymarketinstruments.
C.intermediate-termdebtinstruments.
7.Anoilandgasexplorationandproductioncompanyannouncesthatitisoffering30millionsharestothepublicat$45.50each.Thistransactionismostlikelyasaleinthe:
A.futuresmarket.
B.primarymarket.
C.secondarymarket.
8.Consideramutualfundthatinvestsprimarilyinfixed-incomesecuritiesthathavebeendeterminedtobeappropriategiventhefund’sinvestmentgoal.Whichofthefollowingisleastlikelytobeapartofthisfund?
A.Warrants.
B.Commercialpaper.
C.Repurchaseagreements.
9.Afriendhasaskedyoutoexplainthedifferencesbetweenopen-endandclosed-endfunds.Whichofthefollowingwillyoumostlikelyincludeinyourexplanation?
A.Closed-endfundsareunavailabletonewinvestors.
B.Wheninvestorssellthesharesofanopen-endfund,theycanreceiveadiscountorapremiumtothefund’snetassetvalue.
C.Whensellingshares,investorsinanopen-endfundsellthesharesbacktothefundwhereasinvestorsinaclosed-endfundsellthesharestoothersinthesecondarymarket.
10.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?
A.Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontract.
B.Enteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortparty.
C.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadetotheshortparty.
11.TonyHarrisisplanningtostarttradingincommodities.Hehasheardabouttheuseoffuturescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?
A.Existenceofcounterpartyrisk.
B.Standardizedcontractualterms.
C.Paymentofaninitialmargintoenterintoacontract.
12.AGermancompanythatexportsmachineryisexpectingtoreceive$10millioninthreemonths.Thefirmconvertsallitsforeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinaminimumfixedrateforconvertingthe$10milliontoeurobutalsowantstokeeptheflexibilitytousethefuturespotrateifitisfavorable.Whathedgingtransactionismostlikelytoachievethisobjective?
A.Sellingdollarsforward.
B.Buyingputoptionsonthedollar.
C.Sellingfuturescontractsondollars.
13.Abookpublisherrequiressubstantialquantitiesofpaper.Thepublisherandapaperproducerhaveenteredintoanagreementforthepublishertobuyandtheproducertosupplyagivenquantityofpaperfourmonthslateratapriceagreedupontoday.Thisagreementisa:
A.futurescontract.
B.forwardcontract.
C.commodityswap.
14.TheStandard&
Poor’sDepositaryReceipts(SPDRs)isaninvestmentthattrackstheS&
P500stockmarketindex.PurchasesandsalesofSPDRsduringanaveragetradingdayarebestdescribedas:
A.primarymarkettransactionsinapooledinvestment.
B.secondarymarkettransactionsinapooledinvestment.
C.secondarymarkettransactionsinanactivelymanagedinvestment.
15.TheStandard&
Poor’sDepositaryReceipts(SPDRs)isanexchange-tradedfundintheUnitedStatesthatisdesignedtotracktheS&
P500stockmarketindex.ThecurrentpriceofashareofSPDRsis$113.AtraderhasjustboughtcalloptionsonsharesofSPDRsforapremiumof$3pershare.Thecalloptionsexpireinfivemonthsandhaveanexercisepriceof$120pershare.Ontheexpirationdate,thetraderwillexercisethecalloptions(ignoreanytransactioncosts)ifandonlyifthesharesofSPDRsaretrading:
A.below$120pershare.
B.above$120pershare.
C.above$123pershare.
16.Whichofthefollowingstatementsaboutexchange-tradedfundsismostcorrect?
A.Exchange-tradedfundsarenotbackedbyanyassets.
B.Theinvestmentcompaniesthatcreateexchange-tradedfundsarefinancialintermediaries.
C.Thetransactioncostsoftradingsharesofexchange-tradedfundsaresubstantiallygreaterthanthecombinedcostsoftradingtheunderlyingassetsofthefund.
17.JasonSchmidtworksforahedgefundandhespecializesinfindingprofitopportunitiesthataretheresultofinefficienciesinthemarketforconvertiblebonds—bondsthatcanbeconvertedintoapredeterminedamountofacompany’scommonstock.Schmidttriestofindconvertiblesthatarepricedinefficientlyrelativetotheunderlyingstock.Thetradingstrategyinvolvesthesimultaneouspurchaseoftheconvertiblebondandtheshortsaleoftheunderlyingcommonstock.Theaboveprocesscouldbestbedescribedas:
A.hedging.
B.arbitrage.
C.securitization.
18.Pierre-LouisRobertjustpurchasedacalloptiononsharesoftheMichelinGroup.AfewdaysagohewroteaputoptiononMichelinshares.Thecallandputoptionshavethesameexerciseprice,expirationdate,andnumberofsharesunderlying.Consideringbothpositions,Robert’sexposuretotheriskofthestockoftheMichelinGroupis:
A.long.
B.short.
C.neutral.
19.Anonlinebrokeragefirmhassettheminimummarginrequirementat55percent.Whatisthemaximumleverageratioassociatedwithapositionfinancedbythisminimummarginrequirement?
A.1.55.
B.1.82.
C.2.22.
20.Atraderhaspurchased200sharesofanon-dividend-payingfirmonmarginatapriceof$50pershare.Theleverageratiois2.5.Sixmonthslater,thetradersellsthesesharesat$60pershare.Ignoringtheinterestpaidontheborrowedamountandthetransactioncosts,whatwasthereturntothetraderduringthesix-monthperiod?
A.20percent.
B.33.33percent.
C.50percent.
21.JasonWilliamspurchased500sharesofacompanyat$32pershare.Thestockwasboughton75percentmargin.Onemonthlater,Williamshadtopayinterestontheamountborrowedatarateof2percentpermonth.Atthattime,Williamsreceivedadividendof$0.50pershare.Immediatelyafterthathesoldthesharesat$28pershare.Hepaidcommissionsof$10onthepurchaseand$10onthesaleofthestock.Whatwastherateofreturnonthisinvestmentfortheone-monthperiod?
A.−12.5percent.
B.–15.4percent.
C.–50.1percent.
22.CarolineRogersbelievesthepriceofGammaCorp.stockwillgodowninthenearfuture.Shehasdecidedtosellshort200sharesofGammaCorp.atthecurrentmarketpriceof€47.Theinitialmarginrequirementis40percent.WhichofthefollowingisanappropriatestatementregardingthemarginrequirementthatRogersissubjecttoonthisshortsale?
A.Shewillneedtocontribute€3,760asmargin.
B.Shewillneedtocontribute€5,640asmargin.
C.Shewillonlyneedtoleavetheproceedsfromtheshortsaleasdepositanddoesnotneedtocontributeanyadditionalfunds.
23.Thecurrentpriceofastockis$25pershare.Youhave$10,000toinvest.Youborrowanadditional$10,000fromyourbrokerandinvest$20,000inthestock.Ifthemaintenancemarginis30percent,atwhatpricewillamargincallfirstoccur?
A.$9.62.
B.$17.86.
C.$19.71.
24.Youhaveplacedasellmarket-on-openorder—amarketorderthatwouldautomaticallybesubmittedatthemarket’sopentomorrowandwouldfillatthemarketprice.Yourinstruction,tosellthesharesatt