金融工程概论：Ch1 导言.ppt

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,*,金融工程,参考书,John C,Hull,：,Options,Futures and Other Derivatives,-7/8/9th Edition,期权 期货 及 其他衍生产品,-,第,7/8/9,版,CFA,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,2,评估方法,作业：,2,0%；,考勤：,1,0%,期末闭卷考试：,7,0%,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,3,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,4,什么是金融工程,金融工程,是利用,金融工具,对现有的,金融结构,进行重组，使之具有更为,理想合意,的特征。,金融工程学,是关于金融创新工具以及程序的设计、开发和运用并对解决金融问题的创造性方法进行程序化的科学。,Chapter 1,导言,衍生产品（,Derivative Security,）,衍生产品,(,衍生产品,Derivative Security),是一种金融工具，其价值依附于其他更基本的标的,(Underlying),变量,.,包括：,远期合约，期货合约，期权，其他衍生品,.,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,6,交易市场,交易所市场（,Exchange,）：交易标准化的衍生产品,场外市场,(OTC),：在交易所外进行交易的市场,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,7,场外衍生品市场和交易所交易市场的规模,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,8,Source:,国际清算银行,(Bank for International Settlements).,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,9,衍生品（,Derivatives,）,用途,对冲风险,投机,套利,.,远期合约（,forward contract,）,是一种最简单的衍生证券。它是一个在确定的将来时刻 按确定的价格购买或者出售某项资产的协议。在场外市场中交易。,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,10,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,11,英镑（,GBP,）的外汇报价,July 20,2007,买入价,(Bid),卖出价,(Offer),即期（,Spot,）,2.0558,2.0562,1,个月远期,（,1-month forward,）,2.0547,2.0552,3,个月远期,2.0526,2.0531,6,个月远期,2.0483,2.0489,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,12,远期价格,(,Forward Price),远期价格,（,forward price,）是指使该合约价值为零的交割价格。有的,远期价格,可以从市场直接得到，如远期利率、远期汇率；有的可以由公式计算得到。,远期价格（,forward price,）随到期日的不同而不同。,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,13,术语,在远期合约中,同意在将来某一时刻以某一约定价格买入资产的一方被称为,多头,(,或者,长头寸,long position),在远期合约中,同意在将来某一时刻以某一约定价格卖出资产的一方被称为 空头,(,或者,短头寸,short position),Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,14,Example,在,2007.7.20,某企业的资金部主管同银行达成一个远期合约，约定,6,个月后，此企业以每英镑,2.0489,美元买入,100,万英镑,此企业为多头，银行为空头,.,此企业必须于,2008.1.20,以,204.89,万美元买入,100,万英镑,.,银行必须于,2008.1.20,以,204.89,万美元卖出,100,万英镑,.,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,15,远期合约多头方的收益,Profit,Price of Underlying,at Maturity,S,T,K,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,16,远期合约空头方的收益,Profit,Price of Underlying,at Maturity,S,T,K,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,17,期货合约,(,Futures Contracts),同意在将来某一时刻以约定价格买入或者卖出资产的合约,.,与远期合约类似,.,远期合约在场外市场,(OTC),交易,期货合约在交易所进行交易,.,此外，期货合约有标准化条款，交易所提供某种机制，保证双方不会违约,.,交割期不同，期货合约一般按照交割月划分,.,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,18,期货交易所,芝加哥交易所,(CBOT),芝加哥商品交易所,(CME),伦敦国际金融期货市场,(LIFFE),欧洲期货交易所,(Eurex),巴西商品及期货交易所,(BM&F),东京金融交易所,(TFX),其他,(see list at end of book),Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,19,期货例子,同意,:,于,12,月份以,US$900/oz,买,100oz,黄金,(,纽约商品交易所,NYMEX),于,3,月份以,2.0500US$/,卖出,62,500(,芝加哥商品交易所，,CME),于,4,月份以,US$120/bbl.,卖出,1,000 bbl.(,纽约商品交易所,NYMEX),Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,20,期权,(,Options),看涨期权持有者有权在将来某一特定时间内以某一确定价格,(,敲定价格，,strike price),买入某资产,.,看跌期权持有者有权在将来某一特定时间内以某一确定价格,(,敲定价格，,strike price),卖出某资产,.,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,21,美式,欧氏期权（,Ameriacan,European option,）,美式期权：到期前的任何时刻期权持有人都可以行使期权,欧式期权：期权持有人只能在到期时刻行使期权,.,Intel,股票期权的价格,(Sept 12,2006;Stock Price=19.56);,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,22,执行价格,06.10,看涨期权,07.1,看涨期权,07.4,看涨期权,06.10,看跌期权,07.1,看跌期权,07.4,看跌期权,15.00,4.650,4.950,5.150,0.025,0.150,0.275,17.50,2.300,2.775,3.150,0.125,0.475,0.725,20.00,0.575,1.175,1.650,0.875,1.375,1.700,22.50,0.075,0.375,0.725,2.950,3.100,3.300,25.00,0.025,0.125,0.275,5.450,5.450,5.450,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,23,期权交易所,芝加哥期权交易所,(CBOE),北美股票交易所,(AMEX),费城股票交易所,(PHLX),LIFFE(London),Eurex(Europe),and many more(see list at end of book),Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,24,期权,vs,期货,/,远期,期货,/,远期 合约 给持有者以一定价格买入或者卖出的义务。,期权 给持有者以一定价格买入或者卖出的权力。,期权的购买者必须支付期权费（期权价格），而期货合约的签约成本为零。,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,25,交易者种类,对冲者,(Hedgers),避险者,投机者,(Speculators),套利者,(Arbitrageurs),Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,26,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,26,衍生产品的最大用户：对冲基金,(,Hedge funds,),对冲基金 不需要遵守互助基金（,共同基金，,mutual funds,）所要遵守的规则，而且不能进行公众融资,.,互助基金必须,公示投资政策,可赎回,不能利用杠杆效应,不能卖空,.,对冲基金不受此约束,.,对冲基金 采用复杂的投资策略,.,使用大量的衍生证券进行 对冲,投机，套利,.,对冲,-,利用远期对冲,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,27,如果在,10,月,20,日，汇率变为,1.9000,对冲结果比不对冲有损失，如果汇率变为,2.1000,呢？,对冲,-,利用期权对冲,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,28,投机,利用期货投机,在,2,月份，一个美国投资者认为英镑对于美元在今后,2,个月会升值。那么他可以,一，在,2,月份在即期市场买入,250000,英镑，在四月份卖出；,或者,二，进入,CME4,份合约的长头寸（每一份合约为一份买入,62500,英镑的合约）；,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,29,投机,利用期权投机,在,10,月份，某投资者认为,A,的股票会在,2,个月后涨价，股票当前价格为,20,美元，一个期权的执行价格为,22.50,美元，期限为,2,个月的看涨期权的价格为,1,美元，则他可以：,一，买入,100,只股票；或者 二，买入,2000,份看涨期权（即买入,20,份合约）；,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,30,-,500,-2000,套利,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,31,=300,巴林银行的灾难,Options,Futures,and Other Derivatives,7th Edition,Copyright John C.Hull 2008,32,