Hull, John C. - 2001 - Fundamentals of Futures and Options Markets 4ed

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1、1.1IntroductionChapter1FundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.2TheNatureofDerivativesAderivativeisaninstrumentwhosevaluedependsonthevaluesofothermorebasicunderlyingvariablesFundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.3ExamplesofDeri

2、vatives•FuturesContracts•ForwardContracts•Swaps•OptionsFundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.4WaysDerivativesareUsed•Tohedgerisks•Tospeculate(takeaviewonthefuturedirectionofthemarket)•Tolockinanarbitrageprofit•Tochangethenatureofaliability•Tochangethenatu

3、reofaninvestmentwithoutincurringthecostsofsellingoneportfolioandbuyinganotherFundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.5FuturesContracts•Afuturescontractisanagreementtobuyorsellanassetatacertaintimeinthefutureforacertainprice•Bycontrastinaspotcontractthereisa

4、nagreementtobuyorselltheassetimmediately(orwithinaveryshortperiodoftime)FundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.6ExchangesTradingFutures•ChicagoBoardofTrade•ChicagoMercantileExchange•LIFFE(London)•Eurex(Europe)•BM&F(SaoPaulo,Brazil)•TIFFE(Tokyo)•andmanymore

5、(seelistatendofbook)FundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.7FuturesPrice•Thefuturespricesforaparticularcontractisthepriceatwhichyouagreetobuyorsell•ItisdeterminedbysupplyanddemandinthesamewayasaspotpriceFundamentalsofFuturesandOptionsMarkets,4thedition©200

6、1byJohnC.Hull1.8ElectronicTrading•Traditionallyfuturescontractshavebeentradedusingtheopenoutcrysystemwheretradersphysicallymeetontheflooroftheexchange•IncreasinglythisisbeingreplacedbyelectronictradingwhereacomputermatchesbuyersandsellersFundamentalsofFuturesandOptionsMarkets,4thediti

7、on©2001byJohnC.Hull1.9ExamplesofFuturesContracts•Agreementto:–buy100oz.ofgold@US$400/oz.inDecember(COMEX)–sell£62,500@1.5000US$/£inMarch(CME)–sell1,000bbl.ofoil@US$20/bbl.inApril(NYMEX)FundamentalsofFuturesandOptionsMarkets,4thedition©2001byJohnC.Hull1.10Terminology•Thepartythathasagr

8、eedto