Ch01_Introduction(金融工程学,华东师大)

Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.1FinancialEngineering金融工程学Textbook：JohnC.Hull,Options,FuturesandOtherDerivativeSecurities,PrenticeHall,4thEd.(清华大学出版社,)NewEdition:5th,第三版中译本：张陶伟，华夏出版社，2000Hull’shomepage:htpp://~hulltodownloadslidesandsoftwareMyhomepage:©2000byJohnC.HullTangYincai,©20051.2ReferencesJohnC.Hull,FundamentalsofFuturesandOptionsMarkets,PrenticeHall,4thEd.,2002.(清华大学出版社)RobertW.Kolb,Futures,OptionsandSwaps,BlackwellPublishing,4thEd.,2002.•LawrenceGalitz,FinancialEngineering:ToolsandTechniquestoManageFinancialRisks,PitmanPublishing,1995.(中译本：唐旭，经济科学出版社，1998）•JohnF.Mrshall,VipulK.Bansal,FinancialEngineering,Simon&Schuster,1992.(中译本：宋逢明，朱宝宪，清华大学出版社，1998）•李森，期权理论与案例分析：一个战略性的投资，复旦大学出版社，2002年8月.•张志强，期权理论与公司理财，华夏出版社，1999.Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.3IntroductionChapter1Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.4TheNatureofDerivativesAderivative（衍生产品/工具）isaninstrumentwhosevaluedependsonthevaluesofothermorebasicunderlying（标的/原生）variablesOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.5ExamplesofDerivatives•ForwardContracts(远期合约)•FuturesContracts(期货合约)•Swaps(互换)•Options（期权）Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.6DerivativesMarkets•Exchange(交易所)traded–Traditionallyexchangeshaveusedtheopen-outcrysystem,butincreasinglytheyareswitchingtoelectronictrading–Contractsarestandardandthereisvirtuallynocreditrisk•Over-the-counter(OTC，场外市场)–Acomputer-andtelephone-linkednetworkofdealersatfinancialinstitutions,corporations,andfundmanagers–Contractscanbenon-standardandthereissomesmallamountofcreditriskOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.7WaysDerivativesareUsedTohedge(规避)risksTospeculate(投机)(takeaviewonthefuturedirectionofthemarket)Tolockin(锁定)anarbitrage(套利)profitTochangethenatureofaliability(负债)Tochangethenatureofaninvestmentwithoutincurringthecostsofsellingoneportfolio(投资组合)andbuyinganotherOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.8ForwardContracts(远期合约)•Aforwardcontractisanagreement(协议)tobuyorsellanassetatacertaintimeinthefutureforacertainprice(thedeliveryprice，交割价格)•Itcanbecontrastedwithaspotcontract(现货合约)whichisanagreementtobuyorsellimmediately•ItistradedintheOTCmarketOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.9ForeignExchangeQuotesforGBPonAug16,2001(Seepage3)Bid(出价)Offer(报价)Spot1.44521.44561-monthforward1.44351.44403-monthforward1.44021.44076-monthforward1.43531.435912-monthforward1.42621.4268Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.10Terminologies•Thepartythathasagreedtobuyhaswhatistermedalongposition(多头)•Thepartythathasagreedtosellhaswhatistermedashortposition(空头)Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.11Example(page3)•OnAugust16,2001thetreasurerofacorporationentersinto(签署)alongforwardcontract(多头远期合约)tobuy£1millioninsixmonthsatanexchangerateof1.4359•Thisobligatesthecorporationtopay$1,435,900for£1milliononFebruary16,2002•Whatarethepossibleoutcomes?Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.12Payoff(损益)fromaLongForwardPositionProfitPriceofUnderlyingatMaturity,STKOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.13PayofffromaShortForwardPositionProfitPriceofUnderlyingatMaturity,STKOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.14FuturesContracts(期货合约)•Agreementtobuyorsellanassetforacertainpriceatacertaintime•Similartoforwardcontract•WhereasaforwardcontractistradedOTC,afuturescontractistradedonanexchangeOptions,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.151.Gold:AnArbitrageOpportunity?•Supposethat:-ThespotpriceofgoldisUS$300-The1-yearforwardpriceofgoldisUS$340-The1-yearUS$interestrateis5%perannum•Isthereanarbitrageopportunity?Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.162.Gold:AnotherArbitrageOpportunity?•Supposethat:-ThespotpriceofgoldisUS$300-The1-yearforwardpriceofgoldisUS$300-The1-yearUS$interestrateis5%perannum•Isthereanarbitrageopportunity?Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.17TheForwardPriceofGoldIfthespotpriceofgoldisSandtheforwardpriceforacontractdeliverableinTyearsisF,thenF=S(1+r)Twhereristhe1-year(domesticcurrency)risk-freerateofinterest.Inourexamples,S=300,T=1,andr=0.05sothatF=300(1+0.05)=315Options,Futures,andOtherDerivatives,4thedition©2000byJohnC.HullTangYincai,©20051.181.Oil:AnArbitrageOpportunity?Supposethat:-ThespotpriceofoilisUS$19-Thequoted1-yearfuturespriceofoilisUS$25-The1-yearUS$interestrateis5%perannum-Thestoragecostsofoilare2%perannum•Isthereanarbitrageopportunity?Option