米什金货币金融学(商学院版)第13章ppt课件

Copyright 2010 Pearson Addison-Wesley.All rights reserved.Chapter 13Financial DerivativesChapter 13Financial DerivativeCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-2我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.1 HedgingEngage in a financial transaction that reduces or eliminates riskLong position=buying of a security with the expectation that the asset will rise in value.Short position=agree to sell securities at future dateHedging risk involves engaging in a financial transaction that offsets a long position by taking an additional short position,or offsets a short position by taking an additional long position13.1 HedgingEngage in a financCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-3我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.2 Interest-Rate Forward ContractsForward contracts:Agreements by two parties to engage in a financial transaction at a future(forward)point in timeInterest-rate forward contracts involve the future sale(or purchase)of a debt instrument.1)Specification of the actual debt instrument that will be delivered at a future date2)Amount of the debt instrument to be delivered3)Price(interest rate)on the debt instrument when it is delivered4)Date on which delivery will takes place13.2 Interest-Rate Forward ConCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-4我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Long position Hedges by locking in future interest rate if funds coming in futureShort position Hedges by reducing price risk from change in interest rates if holding bondsLong position Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-5我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Pros and Cons of Forward ContractsProsFlexible:Can be as flexible as the parties involved would likeCons1.Lack of liquidity:hard to find counterparty2.Subject to default risk:requires information to screen good from bad riskPros and Cons of Forward ContrCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-6我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.3 Financial Futures Contracts and MarketsSimilar to an interest-rate forward contract but differs in ways that overcome some of the liquidity and default problems.ExampleInterest Rate FuturesContract value-$10,000 1 point=$1,000Smallest change=1/32 point=$31.25Bonds to be delivered=not callable and have at least 15 years to maturity 13.3 Financial Futures ContracCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-7我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Long position:who buys a futures contract and thereby agrees to buy the bonds.Short position:who sells a futures contract and thereby agrees to sell the bonds.At the expiration date of a futures contract,the price of the contract converges to the price of the underlying asset to be deliveredi,long contract has loss,short contract has profitLong position:who buys a futuCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-8我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Hedging with Financial FuturesHolding$5M of 6s 2030 Need to offset the long position in the bond with a short positions(selling a futures contract).NC=VA/VC=50If interest rates increase over the next year to 8%Value on March 2011 8%interest rate$4,039,640Value on March 2010 6%interest rate-$5,000,000Loss-$960,360Hedging with Financial FuturesCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-9我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Hedging with Financial Futures(contd)Short position in the futures contracts has value of$4,039,640(the value of the$5M in bonds after the interest rate rises)but the buyer of the futures contract agreed to payyou$5M on the maturity date.Your gain is$960,360,this has been a successful hedge.Hedging with Financial FuturesCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-10我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.3.1Organization of Trading in Financial Futures MarketsOrganized exchangesRegulated by the Commodity Futures Trading Commission(CFTC)Ensure prices are not manipulatedRegisters and audits brokers,traders,and exchangesApproves proposed futures contracts to ensure they serve the public interestTrading has become internationalized and done 24 hours a day13.3.1Organization of Trading Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-11我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Table 1 Widely Traded Financial Futures Contracts in The United StatesTable 1 Widely Traded FinanciCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-12我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物米什金货币金融学(商学院版)第13章ppt课件Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-13我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物米什金货币金融学(商学院版)第13章ppt课件Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-14我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.3.2Explaining the Success of Futures Markets1.Futures more liquid:(1)Quantities delivered and delivery dates are standardized(2)A futures contract can be traded again at any time until delivery date.(3)Any Treasury bond that matures in more than fifteen years and is not callable for fifteen years is eligible for deliveryLimits the possibility of cornering the market13.3.2Explaining the Success oCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-15我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Explaining the Success of Futures Market(contd)2.Buyer and seller make the contract with a clearinghouseMargin requirement that is marked to market every day3.Most futures contracts do not result in delivery of the underlying asset on the expiration dateReduces transaction costsExplaining the Success of FutCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-16我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.4 Options Contracts that give the purchaser the option(right)to buy or sell the underlying financial instrument at a specified price(exercise or strike price)within a specific period of time(term to expiration).The seller is obligated to buy or sell the financial instrument if the buyer of the option exercises the right to sell or buy.The buyer does not have to exercise the option.13.4 Options Contracts that giCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-17我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Options A premium is paid for the optionAmerican option can be exercised at any time up to the expiration dateEuropean options can only be exercised on the expiration dateStock optionsFutures optionsMore liquid than debt instrument marketsRegulated by the SEC(stocks)and the CFTC(futures)Options A premium is paid for Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-18我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物A Simple ExampleSuppose one buys an option contract.Right for buyer purchase 100 shares of stock of IBM Time period-3 monthsExercise price-60/per share Premium-5/per share of stock A Simple ExampleSuppose one buCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-19我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 A Simple ExampleStock Price556065707580Buyer Seller Then by the expiration date,the possible profits or losses per share of stock for the buyer and the seller are as follows.A Simple ExampleStock Price55Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-20我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物 A Simple ExampleStock Price556065707580Buyer-5-5051015Seller550-5-10-15 A Simple ExampleStock Price55Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-21我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物A Simple Example-5+56065Stock PriceProfitProfit of BuyerLoss of SellerA Simple Example-5+56065Stock Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-22我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.4.1 Options ContractsCall option gives the owner the right to buy a financial instrument at the exercise price within a specific period of timePut option gives the owner the right to sell a financial instrument at the exercise price within a specific period to time13.4.1 Options ContractsCall oCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-23我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.4.2 Differences Between Options and Futures Contracts1.For a futures contract the profits grow by an equal dollar amount for every point increase in the price of the underlying financial instrument(linear profit function)For the option contract profits do not always grow by the same amount for a given change in the price of the underlying financial instrument because of the protection afforded from losses(nonlinear profit function).13.4.2 Differences Between OptCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-24我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物For call option(1)If P exercise price(in the money)make profitFor put option(1)If Pexercise price(out of money)loss=premium(2)If P=exercise price(at the money)loss=premium(3)If P exercise price(in the money)make profitFor call optionCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-25我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Profits and Losses on Options Versus Futures ContractsProfits and Losses on Options Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-26我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物Differences Between Options and Futures Contracts(contd)2.Initial investment on the contracts differ3.Money changes hands daily in the futures market;only once for the option contract(when the option is exercised).Differences Between Options anCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-27我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.4.3 Pricing Option Premiums1.The higher the strike price,everything else being equal,the lower the premium on call(buy)options and the higher the premium on put(sell)options2.The greater the term to expiration,everything else being equal,the higher the premiums for both call and put options3.The greater the volatility of prices of the underlying financial instrument,everything else being equal,the higher the premiums of both call and put options13.4.3 Pricing Option PremiumsCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-28我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.5 SwapsFinancial contracts that obligate each party to the contract to exchange a set of payments(not assets)it owns for another set of payments owned by another partyCurrency swaps involve the exchange of a set of payments in one currency for a set of payments in another currencyInterest-rate swaps involve the exchange of one set of interest payments for another set of interest payments,all denominated in the same currency13.5 SwapsFinancial contracts Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-29我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.5.1 Interest-Rate Swap ContractsInterest rate swap specifiesInterest rate on the payments that are being exchangedType of interest paymentsThe amount of notional principalThe time period over which the exchanges continue13.5.1 Interest-Rate Swap ContCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-30我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物FIGURE 2 Interest-Rate Swap PaymentsFIGURE 2 Interest-Rate Swap PCopyright 2010 Pearson Addison-Wesley.All rights reserved.14-31我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.5.2 Advantages of Interest-Rate Swaps1.Large transactions costs from rearranging balance sheets are avoided2.Informational advantages are maintained3.Possible to hedge interest-rate risk over a very long horizon13.5.2 Advantages of Interest-Copyright 2010 Pearson Addison-Wesley.All rights reserved.14-32我吓了一跳，蝎子是多么丑恶和恐怖的东西，为什么把它放在这样一个美丽的世界里呢？但是我也感到愉快，证实我的猜测没有错：表里边有一个活的生物13.5.3 Disadvantages of Interest-Rate Swaps1.Swap markets suffer from a lack of liquidity2.Subject to default riskNeed for information about counterparties has thus attracted intermediariesInvestment banksLarge commercial banks13.5.3 Disadvantages of Intere