股票指数期货

......................................................................Copyright©2011Zheng,Zhenlong&Chen,Rong20110302Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ICopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................IICopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................F=Se(rq)(Tt)CME225t5SWS5F0T5SWerTST55F5ST5STWT+5F5ST5SWerTCopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................IndexArbitrageProgramTradingCopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................IRH=a+bRG+CAPMRH=rf+(RMrf)Beta=RiRM2RM=RiRMRiRMN=VHVGCopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................II...1RM...2Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................5.15.1S&P500I40000000S&P5001.2220071122Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................5.15.1S&P500II20083S&P5002008222200711221426.6(400000001426:6250)1:22=136:64137Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................()+==+Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................I()()
VHVG()=b
VHVGCopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................II,Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................FXAFXAFXAf=Serf(Tt)Ker(Tt)F=Se(rrf)(Tt)rfr,rfr,Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERAERACopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERAERAIERATAAKTAKAERAf=ASerf(Tt)AKer(Tt)+AKer(Tt)ASerf(Tt)=Aer(Tt)[Se(rrf)(Tt)K]+Aer(Tt)[KSe(rrf)(Tt)]Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERAERAIIKKF=Se(rrf)(Tt)F=Se(rrf)(Tt)FFERAf=Aer(Tt)(FK)+Aer(Tt)(KF)Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERAERAIIIERATTWTTW=FF=Se(rrf)(Tt)Se(rrf)(Tt)ERAf=Aer(Tt)(FK)+Aer(Tt)(KF)Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERA5.2ERAI2007101035.2475%15.0887%31.0075%11.1487%0.0085/131ERA30.008615/10.008865/Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERA5.2ERAII3F=0:0085e(0:0524750:010075)0:25=0:008591/1F=0:0085e(0:0508870:011487)1=0:008842/31W=FF=0:0088420:008591=0:000251/Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ERA5.2ERAIII3W=FS=0:0085910:0085=0:000091/5.6ERAf=1[e0:0524750:25(0:0085910:008615)+e0:0508871(0:0088650:008842)]=182:83Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................FRA1330Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................ForwardRateAgreementFRA5:3P.82Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................FRAFRATLong/ShortLong:Fixed-ratepayer39LIBOR7:86Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................FRAFRArF(TT)=r(Tt)r(Tt)rF=r(TT)+r(Tt)r(Tt)TT=r+(rr)TtTTCopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................FRAFRAFRAFRAItATTFRArFFRArKtFRAFRAT[AerF(TT)AerK(TT)]er(Tt)Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................FRAFRAFRAFRAIIFRAFRA[AerF(TT)AerK(TT)]er(Tt)rKCopyright©2011Zheng,Zhenlong&Chen,Rong......................................................................Copyright©2011Zheng,Zhenlong&Chen,Rong......................................................................eInternationalMoneyMarketoftheChicagoMercantileExchange()eSydneyFuturesExchangeeTorontoFuturesExchangeeMontréalStockExchangeeLondonInternationalFinancialFut