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1、Chapter 1Introduction1 衍生金融工具的定义衍生金融工具的定义A derivative is an instrument whose value depends on the values of other more basic underlying variables2 衍生金融工具的种类衍生金融工具的种类Forward Contracts Futures Contracts SwapsOptions3 衍生金融工具的交易市场衍生金融工具的交易市场Exchange traded Traditionally exchanges have used the open-outc
2、ry system, but increasingly they are switching to electronic tradingContracts are standard，there is virtually no credit riskOver-the-counter (OTC)A computer- and telephone-linked network of dealers at financial institutions, corporations, and fund managersContracts can be non-standard and there is s
3、ome small amount of credit risk4 两类市场的交易规模两类市场的交易规模 (Figure 1.1, Page 3) Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for exchange market 衍生金融工具的用途衍生金融工具的用途To hedge risksTo speculate To arbitrage 6 远期合约（远期合约（Forward）An
4、agreement to buy or sell asset at a certain future time for a certain price.Forward contracts are particularly popular on currencies and interest rates 7 英镑远期合约报价英镑远期合约报价 (See page 4)BidOfferSpot1.62811.62851-month forward1.62481.62533-month forward1.61871.61926-month forward1.60941.61008多头和空头多头和空头L
5、ong positionThe party that has agreed to buy some assetsShout positionThe party that has agreed to sell some assets 9例子例子 (page 4)(page 4)湖北一家企业出口了湖北一家企业出口了1000万美元的商品，对方拟三个万美元的商品，对方拟三个月后付款。月后付款。人民币人民币NDF的报价见下表。的报价见下表。1、问该企业应如何管理汇率风险？、问该企业应如何管理汇率风险？2、如果三个月后即期汇率为、如果三个月后即期汇率为6.4500，问该企业在，问该企业在NDF市场的损益是
6、多少？市场的损益是多少？10 香港人民币兑美元香港人民币兑美元NDF报价报价 BidOfferSpot6.58566.58971-month forward6.57216.57563-month forward6.56486.56816-month forward6.56016.564211Profit from a Long Forward PositionProfit Price of Underlying at Maturity, STK12Profit from a Short Forward PositionProfitPrice of Underlying at Maturity,
7、 STK131. Gold: An Arbitrage 1. Gold: An Arbitrage Opportunity?Opportunity?Suppose that:The spot price of gold is US$300The 1-year forward price of gold is US$340The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity?142. Gold: Another Arbitrage 2. Gold: Another Arbitrage Oppor
8、tunity?Opportunity?Suppose that:The spot price of gold is US$300The 1-year forward price of gold is US$300The 1-year US$ interest rate is 5% per annumIs there an arbitrage opportunity?152. The Forward Price of Gold2. The Forward Price of Goldthe spot price of gold is S and the forward price for a co
9、ntract deliverable in T years is F, then F = S (1+r )Twhere r is the 1-year (domestic currency) risk-free rate of interest.In our examples, S = 300, T = 1, and r =0.05 so thatF = 300(1+0.05) = 315163. Oil: An Arbitrage 3. Oil: An Arbitrage Opportunity?Opportunity?Suppose that:The spot price of oil i
10、s US$19The quoted 1-year futures price of oil is US$25The 1-year US$ interest rate is 5% per annumThe storage costs of oil are 2% per annumIs there an arbitrage opportunity?174. Oil: Another Arbitrage 4. Oil: Another Arbitrage Opportunity?Opportunity?Suppose that:The spot price of oil is US$19The qu
11、oted 1-year futures price of oil is US$16The 1-year US$ interest rate is 5% per annumThe storage costs of oil are 2% per annumIs there an arbitrage opportunity?18小结：持有成本理论（小结：持有成本理论（Cost of carry）The cost of carry, c, is the storage cost plus the interest costs less the income earnedFor an investmen
12、t asset F0 = S0ecT For a consumption asset F0 S0ecTThe convenience yield on the consumption asset, y, is defined so that F0 = S0 e(cy )T 19 期货合约（期货合约（Futures）An Agreement to buy or sell an asset for a certain price at a certain timeSimilar to forward contractWhereas a forward contract is traded OTC,
13、 a futures contract is traded on an exchange20中国的期货市场中国的期货市场四家期货交易所四家期货交易所上海期货交易所上海期货交易所大连商品交易所大连商品交易所郑州商品交易所郑州商品交易所上海金融期货交易所上海金融期货交易所品种品种沪深沪深300股指期货股指期货工业品工业品农产品农产品其他其他21 期权合约（期权合约（Options）A call option is an option to buy a certain asset by a certain date for a certain price (the strike price)A pu
14、t option is an option to sell a certain asset by a certain date for a certain price (the strike price)22 期权种类期权种类Call option and Put option American option and European option23Intel Option Prices (May 29, 2003; Stock Price=20.83);Table 1.2 page 7 Strike PriceJune CallJuly CallOct CallJune PutJuly P
15、utOct Put20.001.251.602.400.450.851.5022.500.200.451.151.852.202.85 主要的期权交易所主要的期权交易所Chicago Board Options ExchangeAmerican Stock ExchangePhiladelphia Stock ExchangePacific ExchangeLIFFE (London)Eurex (Europe)and many more (see list at end of book)25 案例：烟台万华股改中的期权案例：烟台万华股改中的期权2006年年3月月20日，烟台万华日，烟台万华(
16、600309)公布股权分置改革说公布股权分置改革说明书。明书。据该方案，实施股权登记日登记在册的流通股股东每持有据该方案，实施股权登记日登记在册的流通股股东每持有10股流通股将获得公司非流通股股东支付的股流通股将获得公司非流通股股东支付的1.3股股份、股股份、2份认购权证和份认购权证和3份认沽权证。份认沽权证。其中，认购权证的执行价格为其中，认购权证的执行价格为10元，认沽权证的执行价格元，认沽权证的执行价格为为13元。元。26 案例：烟台万华股改中的期权案例：烟台万华股改中的期权Questions：1、请画出认购权证的收益图；、请画出认购权证的收益图；2、请画出认沽权证的收益图、请画出认沽权证的收益图3、如果股权登记日你手中有、如果股权登记日你手中有10手正股，请求出股改中你的手正股，请求出股改中你的收益。收益。27交易者类型交易者类型HedgersSpeculatorsArbitrageurs28
