资源描述：
《风险管理与金融衍生品》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
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
