5.1Determination of Forward and Futures PricesChapter 55.2Consumption vs Investment AssetslInvestment assets are assets held by significant numbers of people purely for investment purposes (Examples: stock, bond, gold, silver)lConsumption assets are assets held primarily for consumption (Examples: copper, oil)5.3Short Selling (Page 99-101)lShort selling involves selling securities you do not ownlYour broker borrows the securities from another client and sells them in the market in the usual waylAt some stage you must buy the securities back so they can be replaced in the account of the client5.4Short Selling(continued)lIf at any time while the contract is open the broker is not able to borrow shares, the investor is forced to close out the position, even if not ready to do so, called short-squeezed(挤空，挟仓).lYou must pay dividends and other benefits the owner of the securities receivesExample 5.5The investor is required to maintain a margin account with the broker.Assumptions 1.The market participants are subject to no transaction costs when they trade.2. The market participants are subjects to the same tax rate on all net trading profits.3.The market participants can borrow money at the same risk-free rate of interest as they can lend money.4.The market participants take advantage of arbitrage opportunities as they occur.5.65.7Notation for Valuing Futures and Forward ContractsS0: Spot price todayF0: Futures or forward price todayT: Time until delivery date(in years)r: Risk-free interest rate for maturity TForward price for an investment asset 5.85.9When Interest Rates are Measured with Continuous Compounding F0 = S0erT 远期价格大于即期价格 if F0 S0erT ,arbitrageurs can buy the asset and short forward contracts on the asset. if F0 S0e(r-q)T an arbitrageur buys the stocks underlying the index and sells futureslWhen F0 (S0+U )erT , a arbitrageur can: 1. Borrow an amount S0+U at the risk free rate and use it to purchase one unit of the commodity and to pay storage cost. 2. Short a forward contract on one unit of the commodity. Equation F0 (S0+U )erT cannot hold.l Suppose F0 r and F0 E (ST ) (normal backwardation，现货溢价)lnegative systematic risk, then k E (ST ) (contango，期货溢价)l5.28 一家公司和一家银行签订了远期合约，规定公司将在 时刻以 卖出外汇。 时刻的汇率为 。公司询问银行是否可以将合约向前延展到 时刻。银行同意了，并给出了新的交割价格 。 请解释新的交割价格应如何计算。5.38