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(a) What is the second partial derivative of P(t, T) with respect to r in the Vasicek and CIR models.
(b) In Section 30.2, is presented as an alternative to the standard duration measure D. What is a similar alternative to the convexity measure in Section 4.9?
(c) What is for P(t, T)? How would you calculate for a coupon-bearing bond?
(d) Give a Taylor series expansion for ?P(t, T) in terms of ?r and (?r)2 for Vasicek and CIR.
a bank can borrow or lend LIBOR. suppose that the six- month rate is 2% and the nine- month rate is 3%. The rate that can be locked in for the period between six months and nine months using an FRA is 4%.
A 2-year maturity bond with face value of $1,000 makes annual coupon payments of $106 and is selling at face value. What will be the rate of return on the bond if its yield to maturity at the end of the year
In September 2011, the Tennessee Titans signed running back Chris Johnson to a contract reportedly worth $56 million. Johnson's salary included a $10 million signing bonus to be paid immediately and $3 million in salary for 2011.
A stock has an expected return of 13 percent, its beta is 1.40, and the risk-free rate is 6 percent. What must the expected return on the market be
Assume the economy consisted of three types of people. 50% are fad followers, 45% are passive investors (they have read this book and so hold the market portfolio), and 5% are informed traders.
Your company has 14 million shares of common stock outstanding. The common stock currently sells for $34 per share and has a beta of 1.2. The market risk premium is 10.5 percent and T-bills are yielding 2.0 percent.
At the end of 2011 Mardle Inc. reported retained earnings of $1,256 . At the end of 2012, the retained earnings were $4,642 . If Mardle Inc. had net income of $4,120 in 2012, what was the amount of dividends paid by Mardle in 2012
A Firm with a 14% WACC is evaluating two projects for this year's capital budget. After tax cash flows, including depreciation are as follows; Project A; -6,000 , 2,000, 2,000, 2,000, 2,000, 2,000
Calculate the fair present values of the following bonds, all of which pay interest semiannually, have a face value of $1,000, have 10 years remaining to maturity, and have a required rate of return of 11 percent.
You may choose a topic in corporate finance, international finance, investment analysis, or derivatives and Develop a research study on the topic.
wesson metals has an outstanding loan that calls for equal annual payments of $9,768.46 over the life of the loan. the original loan amount was $50,000 at an apr of 8.5 percent
US firm X wants yens. It can borrow yens at 5% and can borrow dollars at 10%. Japanese firm Y wants dollars. It can borrow dollars at 12% and can borrow yens at 6%. You are the swap bank.
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