郑振龙 期权期货及其衍生市场 Chapter 1.ppt

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1、Chapter1IntroductionTheNatureofDerivativesAderivativeisaninstrumentwhosevaluedependsonthevaluesofothermorebasicunderlyingvariablesExamplesofDerivativesSwapsOptionsForwardContractsFuturesContractsDerivativesMarketsExchangeTradedstandardproductstradingfloororcom

2、putertradingvirtuallynocreditriskOver-the-Counternon-standardproductstelephonemarketsomecreditriskWaysDerivativesareUsedTohedgerisksToreflectaviewonthefuturedirectionofthemarketTolockinanarbitrageprofitTochangethenatureofaliabilityTochangethenatureofaninvestme

3、ntwithoutincurringthecostsofsellingoneportfolioandbuyinganotherForwardContractsAforwardcontractisanagreementtobuyorsellanassetatacertaintimeinthefutureforacertainprice(thedeliveryprice)ItcanbecontrastedwithaspotcontractwhichisanagreementtobuyorsellimmediatelyH

4、owaForwardContractWorksThecontractisanover-the-counter(OTC)agreementbetween2companiesThedeliverypriceisusuallychosensothattheinitialvalueofthecontractiszeroNomoneychangeshandswhencontractisfirstnegotiatedanditissettledatmaturityTheForwardPriceTheforwardpricefo

5、racontractisthedeliverypricethatwouldbeapplicabletothecontractifwerenegotiatedtoday(i.e.,itisthedeliverypricethatwouldmakethecontractworthexactlyzero)Theforwardpricemaybedifferentforcontractsofdifferentmaturities远期价格我们把使得远期合约价值为零的交割价格称为远期价格（ForwardPrice）。这个远期价

6、格显然是理论价格，它与远期合约在实际交易中形成的实际价格（即双方签约时所确定的交割价格）并一定相等。一旦理论价格与实际价格不相等，就会出现套利（Arbitrage）机会。远期价格与远期价值的区别远期价格指的是远期合约中标的物的远期价格，它是跟标的物的现货价格紧密相联的.远期价值则是指远期合约本身的价值，它是由远期实际价格与远期理论价格的差距决定的。远期合约的由来和优缺点远期合约是适应规避现货交易风险的需要而产生的。远期合约是非标准化合约,灵活性较大.缺点：效率较低,流动性较差,违约风险较高。TerminologyT

7、hepartythathasagreedtobuyhaswhatistermedalongpositionThepartythathasagreedtosellhaswhatistermedashortpositionExample(page3)OnJanuary20,1998atraderentersintoanagreementtobuy£1millioninthreemonthsatanexchangerateof1.6196Thisobligatesthetradertopay$1,619,600for£1

8、milliononApril20,1998Whatarethepossibleoutcomes?ProfitfromaLongForwardPositionprofitKPriceofUnderlyingatMaturity,STProfitfromaShortForwardPositionSTKFuturesContractsAgreementtobu