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1、liang_jin@mail.tongji.edu.cn梁进FundamentofFinancialMathematics--OptionPricingChapter1RiskManagement&FinancialDerivativeRiskRisk-uncertaintyoftheoutcomebringunexpectedgainscauseunforeseenlossesRisksinFinancialMarketasset(stocks,…),interestrate,foreignexchange,credit,commodi
2、ty,…………TwoattitudestowardrisksRiskaversionRiskseekingFinancialDerivativesManyformsoffinancialderivativesinstrumentsexistinthefinancialmarkets.Amongthem,the3mostfundamentalfinancialderivativesinstruments:ForwardcontractsFutureOptionsIftheunderlyingassetsarestocks,bondsetc.,
3、thenthecorrespondingriskmanagementinstrumentsare:stockfutures,bondfutures,etc..RiskManagementriskmanagement-underlyingassetsMethod–hedging-usingfinancialderivativesi.e.holdstwopositionsofequalamountsbutoppositedirections,oneintheunderlyingmarkets,andtheotherinthederivative
4、smarkets,simultaneously.UnderlyingassetputorcallDerivativecallorput=ForwardContractsanagreementtobuyorsellataspecifiedfuturetimeacertainamountofanunderlyingassetataspecifiedprice.anagreementtoreplaceariskbyacertaintytradedOTClongposition-thebuyerinacontractshortposition-th
5、esellerinacontractdeliveryprice-thespecifiedpricematurity-specifiedfuturetimeFutureKK00LongpositionShortpositionFuturessameasaforwardcontracthaveevolvedfromstandardizationofforwardcontractsdifferences–futuresaregenerallytradedonanexchangeafuturecontractcontainsstandardized
6、articlesthedeliverypriceonafuturecontractisgenerallydeterminedonanexchange,anddependsonthemarketdemandsOptionsanagreementthattheholdercanbuyfrom(orsellto)theseller(thebuyer)oftheoptionataspecifiedfuturetimeacertainamountofanunderlyingassetataspecifiedprice.Buttheholderisun
7、dernoobligationtoexercisethecontract.aright,noobligationtheholderhastopaypremiumforthisrightisacontingentclaimHasamuchhigherlevelofleverageTwoOptionsAcalloption-acontracttobuyataspecifiedfuturetimeacertainamountofanunderlyingassetataspecifiedpriceAputoption-acontracttosell
8、ataspecifiedfuturetimeacertainamountofanunderlyingassetataspecifiedprice.exerciseprice-th