[财务管理]Ch01-Introduction.pptVIP

1. Oil: An Arbitrage Opportunity? Suppose that: The spot price of oil is US$70 The quoted 1-year futures price of oil is US$80 The 1-year US$ interest rate is 5% per annum The storage costs of oil are 2% per annum Is there an arbitrage opportunity?假设：石油现货价格是70美元所报的1年的石油期货价格是80美元1年期美元利率为每年5％石油储存成本是每年2％有套利机会呢？ * 2 3 4 7 8 9 10 11 * * 16 17 18 20 21 Introduction Derivatives * The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying variables衍生工具是一种工具，其价值取决于其他更基本的变量的值 * Examples of Derivatives Futures Contracts Forward Contracts Swaps Options期货合约远期合约掉期期权 * 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为了规避风险推测（对市场的未来发展方向的看法）要锁定在套利要改变责任的性质为了改变销售组合，而不会产生成本和购买另一投资性质 * Futures Contracts A futures contract is an agreement to buy or sell an asset at a certain time in the future for a certain price By contrast in a spot contract there is an agreement to buy or sell the asset immediately (or within a very short period of time)期货合约是一个协议，在未来购买或出售资产，在一定时间一定的价格由现货合约的对比中，有一项协议，购买或出售资产，立即（或很短的一段时间内） * Exchanges Trading Futures CBOT (Chicago Board of Trade) established in 1848, the worlds oldest futures and options exchange CME (Chicago Mercantile Exchange ) has the largest options and futures contracts open interest (number of contracts outstanding) in the world. CME GROUP (MERGE OF CBOT AND CME) Intercontinental Exchange (Known for energy and commodities trading) EUREX (a leading derivatives exchanges in the world) and many more芝加哥期货交易所（芝加哥期货交易所）成立于1848年，世界上最古老的期货及期权交易所芝加哥商品交易所（芝加哥商品交易所）拥有世界最大的期权和期货合约的未平仓合约（优秀的合同数）。CME集团（CBOT和CME合并。）洲际交易所（已知的能源和大宗商品交易）EUREX（在世界上领先的衍生产品交流）和许多... * Futures Price The futures prices for a particular contract is the price at which