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,单击此处编辑母版文本样式,第二级,第三级,Chapter 1,Introduction,衍生金融工具的定义,A derivative is an instrument whose value depends on the values of other more basic underlying variables,衍生金融工具的种类,Forward Contracts,Futures Contracts,Swaps,Options,衍生金融工具的交易市场,Exchange traded,Traditionally exchanges have used the open-outcry system,but increasingly they are switching to electronic trading,Contracts are standard,，,there is virtually no credit risk,Over-the-counter(OTC),A computer-and telephone-linked network of dealers at financial institutions,corporations,and fund managers,Contracts can be non-standard and there is some small amount of credit risk,两类市场的交易规模,(Figure 1.1,Page 3),Source:Bank for International Settlements.Chart shows total principal amounts for OTC market and value of underlying assets for exchange market,衍生金融工具的用途,To hedge risks,To speculate,To arbitrage,远期合约（,Forward,）,An agreement to buy or sell asset at a certain future time for a certain price.,Forward contracts are particularly popular on,currencies and interest rates,英镑远期合约报价,(See page 4),Bid,Offer,Spot,1.6281,1.6285,1-month forward,1.6248,1.6253,3-month forward,1.6187,1.6192,6-month forward,1.6094,1.6100,多头和空头,Long position,The party that has agreed to buy,some assets,Shout position,The party that has agreed to sell,some assets,例子,(page 4),湖北一家企业出口了,1000,万美元的商品，对方拟三个月后付款。,人民币,NDF,的报价见下表。,1,、问该企业应如何管理汇率风险？,2,、如果三个月后即期汇率为,6.4500,，问该企业在,NDF,市场的损益是多少？,香港人民币兑美元,NDF,报价,Bid,Offer,Spot,6.5856,6.5897,1-month forward,6.5721,6.5756,3-month forward,6.5648,6.5681,6-month forward,6.5601,6.5642,Profit from a,Long Forward Position,Profit,Price of Underlying,at Maturity,S,T,K,Profit from a Short Forward Position,Profit,Price of Underlying,at Maturity,S,T,K,1.Gold:An Arbitrage Opportunity?,Suppose that:,The spot price of gold is US$300,The 1-year forward price of gold is US$340,The 1-year US$interest rate is 5%per annum,Is there an arbitrage opportunity?,2.Gold:Another Arbitrage Opportunity?,Suppose that:,The spot price of gold is US$300,The 1-year forward price of gold is US$300,The 1-year US$interest rate is 5%per annum,Is there an arbitrage opportunity?,2.The Forward Price of Gold,the spot price of gold is,S,and the forward price for a contract deliverable in,T,years is,F,then,F,=,S,(1+,r,),T,where,r,is the 1-year(domestic currency)risk-free rate of interest.,In our examples,S,=300,T,=1,and,r,=0.05 so that,F,=300(1+0.05)=315,3.Oil:An Arbitrage Opportunity?,Suppose that:,The spot price of oil is US$19,The quoted 1-year futures price of oil is US$25,The 1-year US$interest rate is 5%per annum,The storage costs of oil are 2%per annum,Is there an arbitrage opportunity?,4.Oil:Another Arbitrage Opportunity?,Suppose that:,The spot price of oil is US$19,The quoted 1-year futures price of oil is US$16,The 1-year US$interest rate is 5%per annum,The storage costs of oil are 2%per annum,Is there an arbitrage opportunity?,小结：持有成本理论（,Cost of carry,）,The cost of carry,c,is the storage cost plus the interest costs less the income earned,For an investment asset,F,0,=S,0,e,cT,For a consumption asset,F,0,S,0,e,cT,The convenience yield on the consumption asset,y,is defined so that,F,0,=,S,0,e,(,c,y,),T,期货合约（,Futures,）,An Agreement to buy or sell an asset for a certain price at a certain time,Similar to forward contract,Whereas a forward contract is traded OTC,a futures contract is traded on an exchange,中国的期货市场,四家期货交易所,上海期货交易所,大连商品交易所,郑州商品交易所,上海金融期货交易所,品种,沪深,300,股指期货,工业品,农产品,其他,期权合约（,Options,）,A call option is an option to buy a certain asset by a certain date for a certain price(the strike price),A put option is an option to sell a certain asset by a certain date for a certain price(the strike price),期权种类,Call option and Put option,American option and European option,Intel Option Prices(,May 29,2003;Stock Price=20.83,);,Table 1.2 page 7,Strike Price,June Call,July Call,Oct Call,June Put,July Put,Oct Put,20.00,1.25,1.60,2.40,0.45,0.85,1.50,22.50,0.20,0.45,1.15,1.85,2.20,2.85,主要的期权交易所,Chicago Board Options Exchange,American Stock Exchange,Philadelphia Stock Exchange,Pacific Exchange,LIFFE(London),Eurex,(Europe),and many more(see list at end of book),案例：烟台万华股改中的期权,2006,年,3,月,20,日，,烟台万华,(600309),公布股权分置改革说明书。,据该方案，实施股权登记日登记在册的流通股股东每持有,10,股流通股将获得公司非流通股股东支付的,1.3,股股份、,2,份认购,权证,和,3,份认沽,权证,。,其中，认购权证的执行价格为,10,元，认沽权证的执行价格为,13,元。,案例：烟台万华股改中的期权,Questions,：,1,、请画出认购权证的收益图；,2,、请画出认沽权证的收益图,3,、如果股权登记日你手中有,10,手正股，请求出股改中你的收益。,交易者类型,Hedgers,Speculators,Arbitrageurs,
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