投资论Chap017课件.ppt

Chapter 17;17.1 The Futures Contract;Futures and Forwards;Key Terms for Futures Contracts;Figure 17.2 Profits to Buyers and Sellers of Futures and Options Contracts;Types of Contracts;Table 17.1 Sample of Futures Contracts;17.2 Mechanics of Trading in Futures Markets ;The Clearinghouse and Open Interest;Figure 17.3 Trading With and Without a Clearinghouse;Marking to Market and the Margin Account;Margin Arrangements;Marking to Market Example;You go long on T-Bond futures at Futures0 = ___________ Suppose that at contract expiration, SpotT-Bonds = ________ With daily marking to market, you have already given seller ________, so if you take delivery you only owe __________ With no delivery made the seller of the T-Bonds could sell his bonds spot for __________ and the seller has ALREADY gained __________ from the daily marking to market. Net proceeds to seller ___________;More on futures contracts;17.3 Futures Market Strategies ;Trading Strategies;Figure 17.4 Hedging Revenues Using Futures, Example 17.5 (Futures Price = $39.48);Basis and Basis Risk;17.4 The Determination of Futures Prices;Futures Pricing;The no arbitrage condition;The no arbitrage condition;SP 500 Monthly Dividend Yield;Figure 17.6 Gold Futures Prices;17.5 Financial Futures;Stock Index Futures;Table 17.2 Stock Index Futures;Table 17.3 Correlations Among Major US Stock Market Indexes;Creating Synthetic Stock Positions;Index Arbitrage;Index Arbitrage;Additional Financial Futures Contracts;Figure 17.7 Spot and Forward Currency Rates;Additional Financial Futures Contracts;Additional Financial Futures Contracts;17.6 Swaps;Swaps;Figure 17.8 Interest Rate Swap;Swaps