Scribd Logo
Upload

Welcome to Scribd!

  • pyq 1

    Uploaded by

    Jagdish Gupta
    2 views14 pages

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    Download as pdf
    2 views14 pages

    pyq 1

    Uploaded by

    Jagdish Gupta

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    Download as pdf
    of 14
    \ Dr. Umesh kumar “Dar Arpane Sharma ~ me Nira Renae TINIE 36 FQIOSOIZTY, ASOLO LIEY Sr. No. of Question Paper : Farag Unique Paper Code : 32357614 (SOLUTION) Name of the Paper DSE-3 MATHEMATICAL FINANCE Name of the Course * : B,Se.(H) Mathematics CBCS (LOCF) Sem-VI ‘Attempt any two parts from each question. All questions are compulsory and carry equal marks. (Use of Scientific calculator, Basic calculator and Normal distribution tables all are allowed) 1. (a) Explain Duration of a zero-coupon bond. A 5-year bond with a yield of 12% (continuously compounded) pays a 10% coupon atthe end of each year. i) What is the bond’s price? ii) Use duration to calculate the effect on the bond's price of a 0.1% decrease in its yield? (You can use the exponential values: e* = 0.8869, 0.7866, 0.6977,0.6188, and 0.5488 for x =—0.12,-0.24,—0.36,—0.48, and —0.60 , respectively) Soln. (a) . Duration of a zero-Coupon bond is a measure of how long on average the holder of the bond has to wait before receiving cash payments. A zero- coupon bond that lasts for n years has a duration of n years. 5 oO Suppose that a bond provides the holder with cash flows cat time #;(1 K = 220 in three months, i 1f5;

    You might also like