......................................................................Copyright©2010Zheng,Zhenlong&Chen,Rong20100309Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ICopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................IICopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................F=Se(r q)(T t)CME225t5SWS5F0T5SWerTST55F 5ST5STWT+5F 5ST 5SWerTCopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................IndexArbitrageProgramTradingCopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................IRH=a+bRG+CAPMRH=rf+(RM rf)Beta=RiRM2RM=RiRMRiRMN=VHVGCopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................II...1RM...2Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................5.15.1S&P500I40000000S&P5001.2220071122Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................5.15.1S&P500II20083S&P5002008222200711221426.6(400000001426:6250)1:22=136:64137Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................()+==+Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................I( )( )VHVG( )=bVHVGCopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................II,Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................FXAFXAFXAf=Se rf(T t) Ke r(T t)F=Se(r rf)(T t)rfr,rfr,Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERAERACopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERAERAIERATAAKTAKAERAf=ASe rf(T t) AKe r(T t)+AKe r(T t) ASe rf(T t)=Ae r(T t)[Se(r rf)(T t) K]+Ae r(T t)[K Se(r rf)(T t)]Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERAERAIIKKF=Se(r rf)(T t)F=Se(r rf)(T t)FFERAf=Ae r(T t)(F K)+Ae r(T t)(K F)Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERAERAIIIERATTWTTW=F F=Se(r rf)(T t) Se(r rf)(T t)ERAf=Ae r(T t)(F K)+Ae r(T t)(K F)Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERA5.2ERAI2007101035.2475%15.0887%31.0075%11.1487%0.0085/131ERA30.008615/10.008865/Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERA5.2ERAII3F=0:0085e(0:052475 0:010075)0:25=0:008591/1F=0:0085e(0:050887 0:011487)1=0:008842/31W=F F=0:008842 0:008591=0:000251/Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ERA5.2ERAIII3W=F S=0:008591 0:0085=0:000091/5.6ERAf=1[e 0:0524750:25(0:008591 0:008615)+e 0:0508871(0:008865 0:008842)]= 182:83Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................FRA1330Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................ForwardRateAgreementFRA5:3P.82Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................FRAFRATLong/ShortLong:Fixed-ratepayer39LIBOR7:86Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................FRAFRArF(T T)=r(T t) r(T t)rF=r(T T)+r(T t) r(T t)T T=r+(r r)T tT TCopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................FRAFRAFRAFRAItAT TFRArFFRArKtFRAFRAT[AerF(T T) AerK(T T)]e r(T t)Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................FRAFRAFRAFRAIIFRAFRA[AerF(T T) AerK(T T)]e r(T t)rKCopyright©2010Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2010Zheng,Zhenlong&Chen,Rong......................................................................eInternationalMoneyMarketoftheChicagoMercantileExchange()eSydneyFuturesExchangeeTorontoFuturesExchangeeMontréalStockExchangeeLondonInternationalFinancialFut