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1、INTERNATIONAL FINANCIAL MANAGEMENT,INTERNATIONAL FINANCIAL MANAGEMENT,EUN / RESNICK,Fourth Edition,引言 1995年，巴林银行的一个不端交易员尼克利森（Nick Leeson）因建立各种未做套期保值的交易所交易的期货和期权合约，主要为新加坡国际货币交易所交易的日经225股票指数期货，导致巴林银行损失约14亿美元而破产。最后，巴林银行被荷兰银行和保险财团ING集团所接管，因欺诈交易而入狱的交易员则先是在德国监狱服刑9个月（因为事件败露后他曾逃往德国），然后转到新加坡监狱继续服刑3年零7个月。 200
2、8年，据法国第二大银行法国兴业银行披露，该行一名31岁的不端交易员杰洛米科维尔（Jrme Kerviel）未经授权买入总额高达730亿美元的欧洲股票指数期货合约，因股票走势不利于其持有的头寸，招致法国兴业银行损失约72亿美元。该交易员通过侵入旨在监控交易情况的电脑系统，避开正常的风险管理措施，从而将其交易头寸掩盖了数月。2010年，他被法国巴黎刑事法庭判处5年监禁、缓刑2年，赔偿法兴银行49亿欧元的损失，终身不得再从事金融领域的工作。 以上例子表明，若出于投机目的，期货和期权合约是高风险投资。 本章的内容将和第5章、第6章的内容一起，为第8章、第9章、第10章的内容奠定学习基础。而第8、9、1
3、0章内容是如何运用这些工具规避外汇风险。,Chapter Outline (continued),Basic Option Pricing Relationships at Expiry（期权到期时的基本定价关系） American Option Pricing Relationships European Option Pricing Relationships Binomial Option Pricing Model European Option Pricing Model Empirical Tests（实证检验） of Currency Option Models,Futures
4、Contracts: Preliminaries,A futures contract is like a forward contract: It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today. A futures contract is different from a forward contract: Futures are standardized contracts trading
5、on organized exchanges with daily resettlement（每日结算） through a clearinghouse.,Futures Contracts: Preliminaries,Standardizing Features: Contract Size （合约规模) Delivery Month (交割月份) Daily resettlement Initial performance bond（Initial margin，初始履约保证金）and Maintenance performance bond (Maintenance margin，维持
6、保证金，about 2 percent of contract value, cash or T-bills（国库券） held at your brokerage).,Daily Resettlement: An Example,Consider a long position in the CME Euro/U.S. Dollar contract. It is written on 125,000 and quoted in $ per . The strike price（执行价格） is $1.30 the maturity （到期 ） is 3 months. At initiat
7、ion of the contract, the long posts an initial performance bond of $6,500. The maintenance performance bond (维持保证金） is $4,000.,Daily Resettlement: An Example,Recall that an investor with a long position gains from increases in the price of the underlying asset. Our investor has agreed to BUY 125,000
8、 at $1.30 per euro in three months time. With a forward contract, at the end of three months, if the euro was worth $1.24, he would lose $7,500 = ($1.24 $1.30) 125,000. If instead at maturity the euro was worth $1.35, the counterparty to his forward contract would pay him $6,250 = ($1.35 $1.30) 125,
9、000.,Daily Resettlement: An Example,With futures, we have daily resettlement of gains or losses rather than one big settlement at maturity. Every trading day: if the price goes down, the long pays the short if the price goes up, the short pays the long After the daily resettlement, each party has a
10、new contract at the new price with one-day-shorter maturity （到到期日又缩短一天）.,Performance Bond Money,Each days losses are subtracted from the investors account. Each days gains are added to the account. In this example, at initiation the long posts an initial performance bond of $6,500. The maintenance l
11、evel is $4,000. If this investor loses more than $2,500 he has a decision to make: he can maintain his long position only by adding more fundsif he fails to do so, his position will be closed out（清算） with an offsetting short position.,Daily Resettlement: An Example,Over the first 3 days, the euro st
12、rengthens then depreciates in dollar terms:,$1,250,$1,250,$1.31,$1.30,$1.27,$3,750,Gain/Loss,Settle,= ($1.31 $1.30)125,000,$7,750,$6,500,$2,750,Account Balance,= $6,500 + $1,250,On third day suppose our investor keeps his long position open by posting an additional $3,750.,+ $3,750 = $6,500,Daily Re
13、settlement: An Example,Over the next 2 days, the long keeps losing money and closes out his position at the end of day five.,$1,250,$1,250,$1.31,$1.30,$1.27,$1.26,$1.24,$3,750,$1,250,$2,500,Gain/Loss,Settle,$7,750,$6,500,$2,750 + $3,750 = $6,500,$5,250,$2,750,Account Balance,= $6,500 $1,250,Totting
14、Up （累加）,At the end of his adventures, our investor has three ways of computing his gains and losses: Sum of daily gains and losses $7,500 = $1,250 $1,250 $3,750 $1,250 $2,500 Contract size times the difference between initial contract price and last settlement price. $7,500 = ($1.24/ $1.30/) 125,000
15、 Ending balance on account minus beginning balance on account, adjusted for deposits or withdrawals. $7,500 = $2,750 期末余额 ($6,500期初余额 + $3,750本期追加额),Daily Resettlement: An Example,Total loss = $7,500,$1,250,$1,250,$1.31,$1.30,$1.27,$1.26,$1.24,$3,750,$1,250,$2,500,Gain/Loss,Settle,$7,750,$6,500,$2,7
16、50 + $3,750,$5,250,$2,750,Account Balance,= $2,750 ($6,500 + $3,750),$,$1.30,$6,500,= ($1.24 $1.30) 125,000,Currency Futures Markets,The Chicago Mercantile（商业） Exchange Group (CME) is by far the largest. Others include: The Philadelphia Board of Trade (PBOT，费城交易所) The Mid America commodities Exchange（美国中部商品交易所） The Tokyo International Financial Futures Exchange （东京国际金融期货交易所） The London International Financial Futures Exchange （伦敦国际金融期货交易所）,The Chicago Mercan
