期权期货与金融衍生品.doc

期权、期货和其他衍生品Chapter1第一章WhatisaDerivative?什么是衍生品Aderivativeisaninstrumentwhosevaluedependson,orisderivedfrom,,其价值取决于(衍生于)其他资产的价值。DerivativesvsPrimaryAssets衍生品vs初级资产(标的资产)e固定收益(利率)modities大宗商品RealEstate房地产…...WhatisaDerivative?modityfutures商品期货(日本江户幕府时代,美国CBOT1865)Indexfutures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1980sSwensen)Exotics奇异期权(1980s)Creditderivatives信用衍生品(1990s)(CMO,CLO,CDO,CDS,CDX,CMBS…)WhyDerivativesAreImportant为什么衍生品很重要?Derivativesplayakeyroleintransferringrisksintheeconomy转移经济活动中的风险Pricediscovery价格发现Theunderlyingassetsincludestocks,currencies,modities,debtinstruments,electricity,insurancepayouts,theweather,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!epted利用实物期权的方法评价投资决策已经被广泛使用HowDerivativesAreTraded衍生品如何交易OnexchangessuchastheChicagoBoardOptionsExchange交易所:如CBOE(芝加哥期权交易所)Intheover-the-counter(OTC)marketwheretradersworkingforbanks,fundmanagersandcorporatetreasurerscontacteachotherdirectly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SizeofOTCandExchange-TradedMarkets场外市场和交易所衍生品交易规模TheLehmanBankruptcy雷曼兄弟公司破产Lehman’sfiledforbankruptcyonSeptember15,,负债6130亿美元Ithadhundredsofthousandsoftransactionsoutstandingwithabout8,000counterparties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LehmanwasanactiveparticipantintheOTCderivativesmarketsandgotintofinancialdifficultiesbecauseittookhighrisksandfounditwasunabletorolloveritsshorttermfunding雷曼是场外衍生品市场中活跃的参与者,后由于过高风险交易而致使短期资金周转困难,陷入财政困境UnwindingthesetransactionshasbeenchallengingforboththeLehmanliquidatorsandtheircounterparties解决这些交易,无论对雷曼的清算人员还是他们的对手,都十分棘手HowDerivativesareUsed衍生品用途Tohedgerisks对冲风险Tospeculate(takeaviewonthefuturedirectionofthemarket)投机(预测市场未来走向)Tolockinanarbitrageprofit锁定套利获益Tochangethenatureofaliability改变债务性质Tochangethenatureofaninvestmentwithoutincurringthecostsofsellingoneportfolioandbuyinganother不需引起买卖证券组合,BP英镑外汇报价()BidOfferSpot(现货)-monthforwa