期权期货与其他衍生工具Ch01HullOFOD6thEd.ppt

Introduction Chapter 1 2 The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying variables 3 Examples of Derivatives Futures Contracts Forward Contracts Swaps Options Derivatives Markets Exchange traded Traditionally exchanges have used the open-outcry system, but increasingly they are switching to electronic trading Contracts are standard there is virtually no credit risk Over-the-counter (OTC) 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 Size of OTC and Exchange Markets(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 4 Ways Derivatives are Used To hedge risks To speculate (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 another Forward Contracts Forward contracts are similar to futures except that they trade in the over-the-counter market Forward contracts are particularly popular on currencies and interest rates Foreign Exchange Quotes for GBP June 3, 2003 (See page 4) 1.6100 1.6094 6-month forward 1.6192 1.6187 3-month forward 1.6253 1.6248 1-month forward 1.6285 1.6281 Spot Offer Bid 11 Forward Price The forward price for a 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 10 Terminology The 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 position Example