1、11.Options,Futures,and Other Derivatives,John C.Hull,第9版2.衍生金融工具实验教程，彭红枫3.An Introduction to the Mathematics of Financial erivatives,Salih N.Neftci,第二版23A derivative is an instrument whose value depends on,or is derived from,the value of another asset.Examples:futures,forwards,swaps,options,exotics
2、4Derivatives play a key role in transferring risks in the economyThe underlying assets include stocks,currencies,interest rates,commodities,debt instruments,electricity,insurance payouts,the weather,etcMany financial transactions have embedded derivativesThe real options approach to assessing capita
3、l investment decisions has become widely accepted5场内交易：Chicago Board Options Exchange场外交易：In the over-the-counter(OTC)market where traders working for banks,fund managers and corporate treasurers contact each other directly6Source:Bank for International Settlements.Chart shows total principal amount
4、s for OTC market and value of underlying assets for exchange market7Lehmans filed for bankruptcy on September 15,2008.This was the biggest bankruptcy in US historyLehman was an active participant in the OTC derivatives markets and got into financial difficulties because it took high risks and found
5、it was unable to roll over its short term fundingIt had hundreds of thousands of transactions outstanding with about 8,000 counterpartiesUnwinding these transactions has been challenging for both the Lehman liquidators and their counterparties 8套期保值投机（对将来的走势看涨或者看跌）锁住套利利润改变权益性质改变投资性质9在将来某一指定时刻以约定价格买入
6、或卖出某一产品的合约同意在将来某一时刻以某一约定价格买入资产的一方被称为长头寸（Long Position)另一方同意在将来某一时刻以同一约定价格卖出资产，被称为短头寸（Short Position)10BidOfferSpot1.44071.44111-month forward1.44081.44133-month forward1.44101.44156-month forward1.44161.442211ProfitPrice of Underlying at Maturity,STK12ProfitPrice of Underlying at Maturity,STK13在将来某一
7、指定时刻以约定价格买入或卖出某一产品的合约和远期合约相似但是远期是在场外市场(OTC)上交易的期货是在交易所交易的14Chicago Board of TradeChicago Mercantile ExchangeLIFFE(London)Eurex(Europe)BM&F(Sao Paulo,Brazil)TIFFE(Tokyo)15Agreement to:Buy 100 oz.of gold US$1400/oz.in December Sell 62,500 1.4500 US$/in March Sell 1,000 bbl.of oil US$90/bbl.in April16S
8、uppose that:The spot price of gold is US$1,400The 1-year forward price of gold is US$1,500The 1-year US$interest rate is 5%per annumIs there an arbitrage opportunity?17Suppose that:-The spot price of gold is US$1,400-The 1-year forward price of gold is US$1,400-The 1-year US$interest rate is 5%per a
9、nnumIs there an arbitrage opportunity?18 If 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)Twhere r is the 1-year(domestic currency)risk-free rate of interest.In our examples,S=1400,T=1,and r=0.05 so thatF =1400(1+0.05)=147019Suppose that:-T
10、he spot price of oil is US$95-The quoted 1-year futures price of oil is US$125-The 1-year US$interest rate is 5%per annum-The storage costs of oil are 2%per annumIs there an arbitrage opportunity?20Suppose that:-The spot price of oil is US$95-The quoted 1-year futures price of oil is US$80-The 1-yea
11、r US$interest rate is 5%per annum-The storage costs of oil are 2%per annumIs there an arbitrage opportunity?21看涨期权(call)的持有者有权在将来某一特定时间（到期日 expiration date,满期日 maturity date)以某一确定价格(敲定价格 the strike price，执行价格 exercise price)买入某种资产看跌期权(put)的持有者有权在将来某一特定时间以某一确定价格卖出某种资产22美式期权的持有人可在到期日前的任何时刻行使期权欧式期权的持有人
12、只能在到期日这一特定时刻行使期权23Strike PriceJul 2010 BidJul 2010 OfferSep 2010 BidSep 2010 OfferDec 2010 BidDec 2010Offer46043.3044.0051.9053.9063.4064.8048028.6029.0039.7040.4050.8052.3050017.0017.4028.3029.3040.6041.305209.009.3019.1019.9031.4032.005404.204.4012.7013.0023.1024.005601.752.107.408.4016.8017.7024S
13、trike PriceJul 2010 BidJul 2010 OfferSep 2010 BidSep 2010 OfferDec 2010 BidDec 2010Offer4606.306.6015.7016.2026.0027.3048011.3011.7022.2022.7033.3035.0050019.5020.0030.9032.6042.2043.0052031.6033.9041.8043.6052.8054.5054046.3047.2054.9056.1064.9066.2056064.3066.7070.0071.3078.6080.0025Chicago Board
14、Options ExchangeAmerican Stock ExchangePhiladelphia Stock ExchangePacific ExchangeLIFFE(London)Eurex(Europe)26A futures/forward contract gives the holder the obligation to buy or sell at a certain priceAn option gives the holder the right to buy or sell at a certain price27套期保值投机套利28A US company wil
15、l pay 10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contractAn investor owns 1,000 Microsoft shares currently worth$28 per share.A two-month put with a strike price of$27.50 costs$1.The investor decides to hedge by buying 10 contracts 2930An
16、investor with$2,000 to invest feels that a stock price will increase over the next 2 months.The current stock price is$20 and the price of a 2-month call option with a strike of 22.50 is$1What are the alternative strategies?31A stock price is quoted as 100 in London and$140 in New YorkThe current ex
17、change rate is 1.4300What is the arbitrage opportunity?32Traders can switch from being hedgers to speculators or from being arbitrageurs to speculatorsIt is important to set up controls to ensure that trades are using derivatives in for their intended purpose33对冲基金和共同基金在监管上存在差异共同基金必须：披露投资政策 基金份额可以赎回
18、,有限制的杠杆不能进行卖空交易 对冲基金不受上述限制，使用复杂的交易策略，并大量使用衍生工具34股票多空对冲可转换债券套利高风险债券新兴市场证券全球宏观兼并套利353637（一）不得将任何权益拆分为均等份额公开发行。任何交易场所利用其服务与设施，将权益拆分为均等份额后发售给投资者，即属于“均等份额公开发行”。股份公司股份公开发行适用公司法、证券法相关规定。（二）不得采取集中交易方式进行交易。本意见所称的“集中交易方式”包括集合竞价、连续竞价、电子撮合、匿名交易、做市商等交易方式,但协议转让、依法进行的拍卖不在此列。（三）不得将权益按照标准化交易单位持续挂牌交易。本意见所称的“标准化交易单位”是
19、指将股权以外的其他权益设定最小交易单位，并以最小交易单位或其整数倍进行交易。“持续挂牌交易”是指在买入后5个交易日内挂牌卖出同一交易品种或在卖出后5个交易日内挂牌买入同一交易品种。（四）权益持有人累计不得超过200人。除法律、行政法规另有规定外，任何权益在其存续期间，无论在发行还是转让环节，其实际持有人累计不得超过200人，以信托、委托代理等方式代持的，按实际持有人数计算。（五）不得以集中交易方式进行标准化合约交易。本意见所称的“标准化合约”包括两种情形：一种是由交易场所统一制定，除价格外其他条款固定，规定在将来某一时间和地点交割一定数量标的物的合约；另一种是由交易场所统一制定，规定买方有权在将来某一时间以特定价格买入或者卖出约定标的物的合约。38场内交易和场外交易的区别在哪里？武汉农畜产品交易所的订单交易是场内交易还是场外交易？3940
