衍生工具第1章宋凌峰

衍生金融工具宋凌峰songlingfeng@2015年3月1教材1.Options,Futures,andOtherDerivatives,JohnC.Hull,第9版2.衍生金融工具實(shí)驗(yàn)教程，彭紅楓3.AnIntroductiontotheMathematicsofFinancialerivatives,SalihN.Neftci,第二版2第

1章導(dǎo)言衍生產(chǎn)品Aderivativeisaninstrumentwhosevaluedependson,orisderivedfrom,thevalueofanotherasset.Examples:futures,forwards,swaps,options,exotics…

4衍生產(chǎn)品交易的重要性DerivativesplayakeyroleintransferringrisksintheeconomyTheunderlyingassetsincludestocks,currencies,interestrates,commodities,debtinstruments,electricity,insurancepayouts,theweather,etcManyfinancialtransactionshaveembeddedderivativesTherealoptionsapproachtoassessingcapitalinvestmentdecisionshasbecomewidelyaccepted5衍生產(chǎn)品的交易市場場內(nèi)交易：

ChicagoBoardOptionsExchange場外交易：

Intheover-the-counter(OTC)marketwheretradersworkingforbanks,fundmanagersandcorporatetreasurerscontacteachotherdirectly6衍生產(chǎn)品的交易規(guī)模7Source:BankforInternationalSettlements.ChartshowstotalprincipalamountsforOTCmarketandvalueofunderlyingassetsforexchangemarket雷曼的破產(chǎn)

Lehman’sfiledforbankruptcyonSeptember15,2008.ThiswasthebiggestbankruptcyinUShistoryLehmanwasanactiveparticipantintheOTCderivativesmarketsandgotintofinancialdifficultiesbecauseittookhighrisksandfounditwasunabletorolloveritsshorttermfundingIthadhundredsofthousandsoftransactionsoutstandingwithabout8,000counterpartiesUnwindingthesetransactionshasbeenchallengingforboththeLehmanliquidatorsandtheircounterparties8衍生工具的使用套期保值投機(jī)（對將來的走勢看漲或者看跌）鎖住套利利潤改變權(quán)益性質(zhì)改變投資性質(zhì)9遠(yuǎn)期合約在將來某一指定時刻以約定價格買入或賣出某一產(chǎn)品的合約同意在將來某一時刻以某一約定價格買入資產(chǎn)的一方被稱為長頭寸（LongPosition)另一方同意在將來某一時刻以同一約定價格賣出資產(chǎn)，被稱為短頭寸（ShortPosition)10外匯即期和遠(yuǎn)期交易的報價（May24,2010）11BidOfferSpot1.44071.44111-monthforward1.44081.44133-monthforward1.44101.44156-monthforward1.44161.4422遠(yuǎn)期多頭損益

12ProfitPriceofUnderlyingatMaturity,STK遠(yuǎn)期空頭損益

13ProfitPriceofUnderlyingatMaturity,STK14期貨合約在將來某一指定時刻以約定價格買入或賣出某一產(chǎn)品的合約和遠(yuǎn)期合約相似但是遠(yuǎn)期是在場外市場(OTC)上交易的期貨是在交易所交易的15期貨交易所ChicagoBoardofTradeChicagoMercantileExchangeLIFFE(London)Eurex(Europe)BM&F(SaoPaulo,Brazil)TIFFE(Tokyo)ExamplesofFuturesContractsAgreementto:Buy100oz.ofgold@US$1400/oz.inDecemberSell￡62,500@1.4500US$/￡inMarchSell1,000bbl.ofoil@US$90/bbl.inApril161.Gold:AnArbitrageOpportunity?Supposethat:ThespotpriceofgoldisUS$1,400The1-yearforwardpriceofgoldisUS$1,500The1-yearUS$interestrateis5%perannumIsthereanarbitrageopportunity?172.Gold:AnotherArbitrageOpportunity?Supposethat:ThespotpriceofgoldisUS$1,400The1-yearforwardpriceofgoldisUS$1,400The1-yearUS$interestrateis5%perannumIsthereanarbitrageopportunity?18TheForwardPriceofGoldIfthespotpriceofgoldisSandtheforwardpriceforacontractdeliverableinTyearsisF,then

F=S(1+r)T

wherer

isthe1-year(domesticcurrency)risk-freerateofinterest. Inourexamples,S=1400,T=1,andr

=0.05sothatF=1400(1+0.05)=1470191.Oil:AnArbitrageOpportunity?Supposethat:ThespotpriceofoilisUS$95Thequoted1-yearfuturespriceofoilisUS$125The1-yearUS$interestrateis5%perannumThestoragecostsofoilare2%perannumIsthereanarbitrageopportunity?202.Oil:AnotherArbitrageOpportunity?Supposethat:ThespotpriceofoilisUS$95Thequoted1-yearfuturespriceofoilisUS$80The1-yearUS$interestrateis5%perannumThestoragecostsofoilare2%perannumIsthereanarbitrageopportunity?2122期權(quán)合約看漲期權(quán)(call)的持有者有權(quán)在將來某一特定時間（到期日expirationdate,滿期日maturitydate)以某一確定價格(敲定價格thestrikeprice，執(zhí)行價格exerciseprice)買入某種資產(chǎn)看跌期權(quán)(put)的持有者有權(quán)在將來某一特定時間以某一確定價格賣出某種資產(chǎn)23美式vs歐式期權(quán)美式期權(quán)的持有人可在到期日前的任何時刻行使期權(quán)歐式期權(quán)的持有人只能在到期日這一特定時刻行使期權(quán)GoogleCallOptionPrices(June15,2010;StockPriceisbid497.07,offer497.25);SeeTable1.2page8;Source:CBOE24StrikePriceJul2010BidJul2010OfferSep2010BidSep2010OfferDec2010BidDec2010Offer46043.3044.0051.9053.9063.4064.8048028.6029.0039.7040.4050.8052.3050017.0017.4028.3029.3040.6041.305209.009.3019.1019.9031.4032.005404.204.4012.7013.0023.1024.005601.752.107.408.4016.8017.70GooglePutOptionPrices(June15,2010;StockPriceisbid497.07,offer497.25);SeeTable1.3page9;Source:CBOE25StrikePriceJul2010BidJul2010OfferSep2010BidSep2010OfferDec2010BidDec2010Offer4606.306.6015.7016.2026.0027.3048011.3011.7022.2022.7033.3035.0050019.5020.0030.9032.6042.2043.0052031.6033.9041.8043.6052.8054.5054046.3047.2054.9056.1064.9066.2056064.3066.7070.0071.3078.6080.0026期權(quán)交易的交易所ChicagoBoardOptionsExchangeAmericanStockExchangePhiladelphiaStockExchangePacificExchangeLIFFE(London)Eurex(Europe)期權(quán)、期貨與遠(yuǎn)期Afutures/forwardcontractgivestheholdertheobligationtobuyorsellatacertainpriceAnoptiongivestheholdertherighttobuyorsellatacertainprice27交易策略與交易者套期保值投機(jī)套利28套期保值A(chǔ)UScompanywillpay￡10millionforimportsfromBritainin3monthsanddecidestohedgeusingalongpositioninaforwardcontractAninvestorowns1,000Microsoftsharescurrentlyworth$28pershare.Atwo-monthputwithastrikepriceof$27.50costs$1.Theinvestordecidestohedgebybuying10contracts29ValueofMicrosoftShareswithandwithoutHedging(Fig1.4,page12)30投機(jī)Aninvestorwith$2,000toinvestfeelsthatastockpricewillincreaseoverthenext2months.Thecurrentstockpriceis$20andthepriceofa2-monthcalloptionwithastrikeof22.50is$1Whatarethealternativestrategies?31套利Astockpriceisquotedas￡100inLondonand$140inNewYorkThecurrentexchangerateis1.4300Whatisthearbitrageopportunity?32衍生工具交易的風(fēng)險TraderscanswitchfrombeinghedgerstospeculatorsorfrombeingarbitrageurstospeculatorsItisimportanttosetupcontrolstoensurethattradesareusingderivativesinfortheirintendedpurpose33對沖基金與共同基金對沖基金和共同基金在監(jiān)管上存在差異共同基金必須

：披露投資政策

基金份額可以贖回,有限制的杠桿不能進(jìn)行賣空交易

對沖基金不受上述限制，使用復(fù)雜的交易策略，并大量使用衍生工具34對沖基金的交易策略股票多空對沖可轉(zhuǎn)換債券套利高風(fēng)險債券新興市場證券