期权期货及其衍生市场.doc

Chapter 1 Introduction The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying variables Examples of Derivatives Swaps Options Forward Contracts Futures Contracts Derivatives Markets Exchange Traded standard products trading floor or computer trading virtually no credit risk Over-the-Counter non-standard products telephone market some credit risk Ways Derivatives are Used To hedge risks To reflect a 5view 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 A forward contract is an agreement to buy or sell an asset at a certain time in the future for a certain price (the delivery price) It can be contrasted with a spot contract which is an agreement to buy or sell immediately How a Forward Contract Works The contract is an over-the-counter (OTC) agreement between 2 companies The delivery price is usually chosen so that the initial value of the contract is zero No money changes hands when contract is first negotiated and it is settled at maturity The Forward Price The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today (i3.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 远期价格 我们把使得远期合约价值为零的交割价格称为远期价格（Forward Price）。 这个远期价格显然是理论价格，它与远期合约在实际交易中形成的实际价格（即双方签约时所确定的交割价格）并一定相等。 一旦理论价格与实际价格不相等，就会出现套利（Arbitrage）机会。 远期价格与远期价值的区别 远期价格指的是远期合约中标的物的远期价格，它是跟标的物的现货价格紧密相联的. 远期价值则是指远期合约本身的价值，它是由远期实际价格与远期理论价格的差距决定的。 远期合约的由来和优缺点 远期合约是适应规避现货交易风险的需要而产生的。 远期合约是非标准化合约,灵活性较大. 缺点：效率较低,流动性较差,违约风险较高。 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 (page 3) On January 20, 1998