国外金融衍生品发展历程及关于动态精选

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1、国外金融衍生品发展历程及最新动态国外金融衍生品发展历程及最新动态刘建伟jianwei1>.liu@db3>德意志银行(中国)有限公司上海分行Page*AgendaPartI:OverviewoftheFinancialDerivativesMarketPartII:TrendsinCorporateCurrencyRiskManagementPartIII:LatestDevelopmentoftheDerivatives(FX)PartI:OverviewoftheFinancialDerivativesMarketPage*DefinitionofFinancialDerivativesA

2、securitywhosepriceisdependentuponorderivedfromoneormoreunderlyingassets.OneoftheoldestderivativesisricefuturesTwoMaintypesbasedontheplaceofexchange:OvertheCounterExchangeTradedCommonderivativeContractTypesForwardsFuturesSwapsOptions…ByAssetClassInterestRateFXCreditEquityCommodityHybridSource:Derivat

3、iveTradersattheCBOTALongHistoryofFinancialDerivativesThefirstexchangefortradingderivativesappearedtobetheRoyalExchangeinLondon,whichpermittedforwardcontracting1600s-Holland.Tulipdealingisbigbusiness,andgrowersanddealersaretradinginoptionstoguaranteeprices.Soonspeculatorsarejoininginandathrivingoptio

4、nsmarketisborn.Butthemarketcrashes,manyspeculatorsfailtohonourtheircommitments,andtheDutcheconomyisbroughttoitsknees.1934-USA.Investmentactlegitimisesoptions.Annualvolume<300,000contractsby1968.April1973-Chicago.TheCBOTstartstradinglistedcalloptionson16stocks,withafirst-dayvolumeof911contracts.19

5、74–Chicago.Thedailyvolumegrowsfrom20,000toover200,000contracts.PricingofOptionsPaulSamuelson-almostgetsthere.BlackandScholesworkontheoptionpricingproblem.Theyrealisethatriskisthekey-itiswhatisattherootofalltheproblemsothersarehaving,anditiswhatoptionsareallabout.Theirideaistotrytobalanceareplicatedp

6、ortfoliosothattheriskgoesaway/non-arbitrageargumentRobertMertonarrivedonthescenein1968andbroughtwithhimexpertiseinIt?ocalculus,andanunderstandingofcontinuous-time‘stochasticprocesses’.Page*SignificantEventsIn1982theCMEcreatedtheEurodollarcontract.In1982,theKansasCityBoardofTradelaunchedthefirststock

7、indexfutures.TheChicagoMercantileExchangequicklyfollowedwiththeirhighlysuccessfulcontractontheS&P500indexIn1983,theChicagoBoardOptionsExchangedecidedtocreateanoptiononanindexofstocks.Thoughorigina