Financial Engineering 金融工程学.ppt

Financial Engineering金融工程学 References IntroductionChapter 1 The Nature of Derivatives A derivative（衍生产品/工具） is an instrument whose value depends on the values of other more basic underlying（标的/原生）variables Examples of Derivatives Forward Contracts(远期合约) Futures Contracts (期货合约) Swaps(互换) Options（期权） Derivatives Markets Exchange (交易所)traded Traditionally exchanges have used the open-outcry system, but increasingly they are switching to electronic trading Contracts are standard and there is virtually no credit risk Over-the-counter (OTC，场外市场) A computer- and telephone-linked network of dealers at financial institutions, corporations, and fund managers Contracts can be non-standard and there is some small amount of credit risk Ways Derivatives are Used To hedge(规避) risks To speculate(投机) (take a view on the future direction of the market) To lock in(锁定) an arbitrage(套利) profit To change the nature of a liability(负债) To change the nature of an investment without incurring the costs of selling one portfolio(投资组合) and buying another Forward Contracts(远期合约) A forward contract is an agreement(协议) to buy or sell an asset at a certain time in the future for a certain price (the delivery price，交割价格) It can be contrasted with a spot contract (现货合约)which is an agreement to buy or sell immediately It is traded in the OTC market Foreign Exchange Quotes for GBP on Aug 16, 2001 (See page 3) Terminologies The party that has agreed to buy has what is termed a long position(多头) The party that has agreed to sell has what is termed a short position(空头) Example (page 3) On August 16, 2001 the treasurer of a corporation enters into(签署) a long forward contract(多头远期合约) to buy ￡1 million in six months at an exchange rate of 1.4359 This obligates the corporation to pay $1,435,900 for ￡1 million on February 16, 2002 What are the possible outcomes? Payoff(损益) from aLong Forward Position Payoff from a Short Forward Position Futures Contracts (期货合约) Agreement to buy or sell an asset for a