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1、FinalPDFtoprinterCHAPTERTWENTY-THREEFutures,Swaps,andRiskManagement23THEPREVIOUSCHAPTER providedabasicgeneralprinciplesusingavarietyofcontracts.introductiontotheoperationoffuturesmar-Wealsoshowhowhedgingstrategiescanketsandtheprinciplesoffuturespricing
2、.Thisbeusedtoisolatebetsonperceivedprofitchapterexploresbothpricingandriskman-opportunities.agementinselectedfuturesmarketsinmoreWebeginwithforeignexchangefutures,depth.Mostofthegrowthhasbeeninfinan-whereweshowhowforwardexchangeratescialfutures,whichdo
3、minatetrading,sowearedeterminedbyinterestratedifferentialsemphasizethesecontracts.acrosscountriesandexaminehowfirmscanHedgingreferstotechniquesthatoffsetusefuturestomanageexchangeraterisk.Weparticularsourcesofrisk.Hedgingactivitiesthenmoveontostock-ind
4、exfutures,wherethereforearemorelimitedandmorefocusedwefocusonprogramtradingandindexthanmoreambitiousstrategiesseekinganarbitrage.Nextweturntothemostactivelyoptimalrisk-returnprofileforanentireport-tradedmarkets,thoseforinterestratefolio.Becausefuturesc
5、ontractsarewrittenfutures.Wealsoexaminecommodityfuturesonspecificquantitiessuchasstockindexpricing.Finally,weturntoswapsmarketsinvalues,foreignexchangerates,commodityforeignexchangeandfixed-incomesecurities.prices,andsoon,theyareideallysuitedforWewills
6、eethatswapscanbeinterpretedastheseapplications.Inthischapterwewillcon-portfoliosofforwardcontractsandvaluedsiderseveralhedgingapplications,illustratingaccordingly.PARTVI23.1ForeignExchangeFuturesTheMarketsExchangeratesbetweencurrenciesvarycontinuallyan
7、doftensubstantially.Thisvariabilitycanbeasourceofconcernforanyoneinvolvedininternationalbusiness.AU.S.exporterwhosellsgoodsinEngland,forexample,willbepaidinBritishpounds,andthedollarvalueofthosepoundsdependsontheexchangerateatthetimepaymentismade.Until
8、thatdate,theU.S.exporterisexposedtoforeignexchangeraterisk.Thisriskcanbod61671_ch23_799-834.indd7997/25/132:01AMFinalPDFtoprinter800PARTVIOptions,Futures,andOtherDerivativesbehedgedthroughcurrencyfuturesorforwardmarkets.Forexample,ifyou
