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 is a 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 is a Derivative? 什么是衍生品
Commodity 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 short t