米什金货币金融学(商学院版)第13章课件

Copyright©2010PearsonAddison-Wesley.Allrightsreserved.Chapter13FinancialDerivativesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-213.1Hedging•Engageinafinancialtransactionthatreducesoreliminatesrisk•Longposition=buyingofasecuritywiththeexpectationthattheassetwillriseinvalue.•Shortposition=agreetosellsecuritiesatfuturedate•Hedgingriskinvolvesengaginginafinancialtransactionthatoffsetsalongpositionbytakinganadditionalshortposition,oroffsetsashortpositionbytakinganadditionallongpositionCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-313.2Interest-RateForwardContracts•Forwardcontracts:Agreementsbytwopartiestoengageinafinancialtransactionatafuture(forward)pointintime•Interest-rateforwardcontractsinvolvethefuturesale(orpurchase)ofadebtinstrument.•1)Specificationoftheactualdebtinstrumentthatwillbedeliveredatafuturedate•2)Amountofthedebtinstrumenttobedelivered•3)Price(interestrate)onthedebtinstrumentwhenitisdelivered•4)DateonwhichdeliverywilltakesplaceCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-4LongpositionHedgesbylockinginfutureinterestrateiffundscominginfutureShortpositionHedgesbyreducingpriceriskfromchangeininterestratesifholdingbondsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-5ProsandConsofForwardContractsProsFlexible:CanbeasflexibleasthepartiesinvolvedwouldlikeCons1.Lackofliquidity:hardtofindcounterparty2.Subjecttodefaultrisk:requiresinformationtoscreengoodfrombadriskCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-613.3FinancialFuturesContractsandMarkets•Similartoaninterest-rateforwardcontractbutdiffersinwaysthatovercomesomeoftheliquidityanddefaultproblems.Example—InterestRateFutures•Contractvalue--$10,000•1point=$1,000•Smallestchange=1/32point=$31.25•Bondstobedelivered=notcallableandhaveatleast15yearstomaturityCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-7•Longposition:whobuysafuturescontractandtherebyagreestobuythebonds.•Shortposition:whosellsafuturescontractandtherebyagreestosellthebonds.•Attheexpirationdateofafuturescontract,thepriceofthecontractconvergestothepriceoftheunderlyingassettobedeliveredi,longcontracthasloss,shortcontracthasprofitCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-8HedgingwithFinancialFuturesHolding$5Mof6s2030Needtooffsetthelongpositioninthebondwithashortpositions(sellingafuturescontract).NC=VA/VC=50Ifinterestratesincreaseoverthenextyearto8%ValueonMarch2011@8%interestrate$4,039,640ValueonMarch2010@6%interestrate-$5,000,000Loss-$960,360Copyright©2010PearsonAddison-Wesley.Allrightsreserved.14-9HedgingwithFinancialFutures(cont’d)Shortpositioninthefuturescontractshasvalueof$4,039,640(thevalueofthe$5Minbondsaftertheinterestraterises)butthebuyerofthefuturescontractagreedtopayyou$5Monthematuritydate.Yourgainis$960,360,thishasbeenasuccessfulhedge.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.14-1013.3.1OrganizationofTradinginFinancialFuturesMarkets•Organizedexchanges•RegulatedbytheCommodityFuturesTradingCommission(CFTC)–Ensurepricesarenotmanipulated–Registersandauditsbrokers,traders,andexchanges–Approvesproposedfuturescontractstoensuretheyservethepublicinterest•Tradinghasbecomeinternationalizedanddone24hoursadayCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-11Table1WidelyTradedFinancialFuturesContractsinTheUnitedStatesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-12Copyright©2010PearsonAddison-Wesley.Allrightsreserved.14-13Copyright©2010PearsonAddison-Wesley.Allrightsreserved.14-1413.3.2ExplainingtheSuccessofFuturesMarkets1.Futuresmoreliquid:(1)Quantitiesdeliveredanddeliverydatesarestandardized•(2)Afuturescontractcanbetradedagainatanytimeuntildeliverydate.•(3)AnyTreasurybondthatmaturesinmorethanfifteenyearsandisnotcallableforfifteenyearsiseligiblefordelivery–LimitsthepossibilityofcorneringthemarketCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-15ExplainingtheSuccessofFuturesMarket(cont’d)•2.Buyerandsellermakethecontractwithaclearinghouse–Marginrequirementthatismarkedtomarketeveryday•3.Mostfuturescontractsdonotresultindeliveryoftheunderlyingassetontheexpirationdate–ReducestransactioncostsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.14-1613.4Options•Contractsthatgivethepurchasertheoption(right)tobuyorselltheunderlyingfinancialinstrumentataspecifiedprice(exerciseorstrikeprice)withinaspecificperiodoftime(termtoexpiration).•Thesellerisobligatedtobuyorsellthefinancialinstrumentifthebuyeroftheoptionexercisestherighttosellorbuy.•Thebuyerdoesnothavetoexercisetheoption.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.14-17Options•Apremiumispaidfortheoption•Americanoptioncanbeexercisedatanytimeuptotheexpirationdate•Europeanoptionscanonlybeexercisedontheexpirationdate•Stockoptions•Futuresoptions–Moreliquidthandebtinstrumentmarkets•RegulatedbytheSEC(stocks)andtheCFTC(futures)Copyright©2010PearsonAddison-Wesley.Allrightsreserved.14-18ASimpleExample•Supposeonebuysanoptioncontract.•Rightforbuyer–purchase100sharesofstockofIBM•Timeperiod--3months•Exerciseprice--＄60/pershare•Premium