期权期货与金融衍生品.docx

期权、期货和其他衍生品 Chapter 1 第一章 What isa Derivative? 什么是衍生品 A derivative is an instrument whose value depends on, or is derived from, the value of another asset. 衍生品是一种金融工具,其价值取决于(衍生于)其他资产的价值。 Derivativesvs Primary Assets 衍生品 vs 初级资产(标的资产) Primary Assets 初级资产 Stocks 股票 Fixed e 固定收益(利率) Foreign exchanges 外汇 Loans 贷款 Corporate bonds 公司债券 Mortgages modities 大宗商品 Real Estate 房地产…... What isa Derivative? modity futures 商品期货( 日本江户幕府时代, 美国 CBOT 1865 ) Index futures 指数期货(美国 1982 年 KCBT , CME ) Forwards 远期合约( 美国 CBOT1848)Options 期权(18 世纪,美国 CBOE1973)Swaps 互换(掉期美国 1980s Swensen ) Exotics 奇异期权(1980s)Credit derivatives 信用衍生品(1990s) ( CMO, CLO, CDO, CDS, CDX, CMBS …) Why Derivatives Are Important 为什么衍生品很重要? Derivatives play a key role in transferring risks in the economy 转移经济活动中的风险 Price discovery 价格发现 The underlying assets include stocks, currencies, interest rates, commodities, debt instruments, electricity, insurance payouts, the weather, etc 标的资产可以是股票,货币,利率,商品,债务,电力,保险支付金,天气等等。。。 Anything! Many financial transactions have embedded derivatives 许多金融交易和金融业务中都包含了衍生品 The real options approach to assessing capital investment decisions has e widely accepted 利用实物期权的方法评价投资决策已经被广泛使用 How Derivatives Are Traded 衍生品如何交易 On exchanges such as the Chicago Board Options Exchange 交易所:如 CBOE( 芝加哥期权交易所) In the over-the-counter (OTC) market where traders working for banks, fund managers and corporate treasurers contact each other directly 场外交易市场( OTC ) :代表银行、基金经理、公司财务主管的交易员们直接进行交易 Size of OTC and Exchange-Traded Markets 场外市场和交易所衍生品交易规模 The Lehman Bankruptcy 雷曼兄弟公司破产 Lehman ’s filed for bankruptcy on September 15, 2008. This was the biggest bankruptcy in US history 雷曼公司在 2008 年9月 15 日申请破产这是美国历史上最大的破产案,负债 6130 亿美元 It had hundreds of thousands of transactions outstanding with about 8,000 counterparties 此时,它上有成千上百个未完成的交易,涉及约 8000 个交易对手 Lehman was an active participant in the OTC derivatives markets and got into financial difficulties because it took high risks and found it was unable to roll over its shor