金融衍生品定价理论(同济-英文版)第二章(arbitrage-free principal)上课教案.pptVIP

liang_jin@mail.tongji.edu.cn Chapter 1 Risk Risk - uncertainty of the outcome bring unexpected gains cause unforeseen losses Risks in Financial Market asset (stocks, …), interest rate, foreign exchange, credit, commodity, ………… Two attitudes toward risks Risk aversion Risk seeking Financial Derivatives Many forms of financial derivatives instruments exist in the financial markets. Among them, the 3 most fundamental financial derivatives instruments: Forward contracts Future Options If the underlying assets are stocks, bonds etc., then the corresponding risk management instruments are: stock futures, bond futures, etc.. Risk Management risk management - underlying assets Method – hedging - using financial derivatives i.e. holds two positions of equal amounts but opposite directions, one in the underlying markets, and the other in the derivatives markets, simultaneously. Forward Contracts an agreement to buy or sell at a specified future time a certain amount of an underlying asset at a specified price. an agreement to replace a risk by a certainty traded OTC long position - the buyer in a contract short position - the seller in a contract delivery price - the specified price maturity - specified future time Future Futures same as a forward contract have evolved from standardization of forward contracts differences – futures are generally traded on an exchange a future contract contains standardized articles the delivery price on a future contract is generally determined on an exchange, and depends on the market demands Options an agreement that the holder can buy from (or sell to) the seller (the buyer) of the option at a specified future time a certain amount of an underlying asset at a specified price. But the holder is under no obligation to exercise the contract. a right, no obligation the holder has to pay premium for this right is a contingent claim Has a much higher level of leverage Two Options A call option - a contract to buy at a spe