《《期权期货和其他衍生品》英文第9版-Chap01-Intro》由会员分享，可在线阅读，更多相关《《期权期货和其他衍生品》英文第9版-Chap01-Intro（36页珍藏版）》请在金锄头文库上搜索。
1、Chapter 1 IntroductionOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20141What is a Derivative?A derivative is an instrument whose value depends on, or is derived from, the value of another asset. Examples: futures, forwards, swaps, options, exoticsOptions, Futures, and
2、 Other Derivatives, 9th Edition, Copyright John C. Hull 20142Why Derivatives Are ImportantDerivatives play a key role in transferring risks in the economy The underlying assets include stocks, currencies, interest rates, commodities, debt instruments, electricity, insurance payouts, the weather, etc
3、 Many financial transactions have embedded derivatives The real options approach to assessing capital investment decisions has become widely acceptedOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20143How Derivatives Are TradedOn exchanges such as the Chicago Board Opti
4、ons Exchange (CBOE) In the over-the-counter (OTC) market where traders working for banks, fund managers and corporate treasurers contact each other directlyOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20144The OTC Market Prior to 2008Largely unregulated Banks acted as
5、 market makers quoting bids and offers Master agreements usually defined how transactions between two parties would be handled But some transactions were handled by central counterparties (CCPs). A CCP stands between the two sides to a transaction in the same way that an exchange doesOptions, Future
6、s, and Other Derivatives, 9th Edition, Copyright John C. Hull 20145Since 2008OTC market has become regulated. Objectives: Reduce systemic risk (see Business Snapshot 1.2, page 5) Increase transparency In the U.S and some other countries, standardized OTC products must be traded on swap execution fac
7、ilities (SEFs) which are similar to exchanges CCPs must be used for standardized transactions between dealers in most countries All trades must be reported to a central registryOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20146Size of OTC and Exchange-Traded Markets (
8、Figure 1.1, Page 5)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20147Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for exchange marketThe Lehman Bankruptcy (Business Snapshot 1.1)Lehmans f
9、iled for bankruptcy on September 15, 2008. This was the biggest bankruptcy in US history Lehman was an active participant in the OTC derivatives markets and got into financial difficulties because it took high risks and found it was unable to roll over its short term funding It had hundreds of thous
10、ands of transactions outstanding with about 8,000 counterparties Unwinding these transactions has been challenging for both the Lehman liquidators and their counterparties Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 20148How Derivatives are UsedTo hedge risks To spec
11、ulate (take a view on the future direction of the market) To lock in an arbitrage profit To change the nature of a liability To change the nature of an investment without incurring the costs of selling one portfolio and buying anotherOptions, Futures, and Other Derivatives, 9th Edition, Copyright Jo
12、hn C. Hull 20149Foreign Exchange Quotes for GBP, May 26, 2013 (See page 6)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201410BidOffer Spot1.55411.55451-month forward1.55381.55433-month forward1.55331.55386-month forward1.55261.5532Forward PriceThe forward price for a
13、contract is the delivery price that would be applicable to the contract if were negotiated today (i.e., it is the delivery price that would make the contract worth exactly zero) The forward price may be different for contracts of different maturities (as shown by the table)Options, Futures, and Othe
14、r Derivatives, 9th Edition, Copyright John C. Hull 201411TerminologyThe party that has agreed to buy has what is termed a long position The party that has agreed to sell has what is termed a short positionOptions, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201412Example (pag
15、e 6)On May 6, 2013, the treasurer of a corporation enters into a long forward contract to buy 1 million in six months at an exchange rate of 1.5532 This obligates the corporation to pay $1,553,200 for 1 million on November 6, 2010 What are the possible outcomes?Options, Futures, and Other Derivative
16、s, 9th Edition, Copyright John C. Hull 201413Profit from a Long Forward Position (K= delivery price=forward price at time contract is entered into)Options, Futures, and Other Derivatives, 9th Edition, Copyright John C. Hull 201414ProfitPrice of Underlying at Maturity, STKProfit from a Short Forward Position (K= delivery price=forward price at time contract is entered into)Options, Futures, and Oth
