金融创新：衍生产品策略.ppt

金融创新：衍生产品策略 Derivative Securities Financial instruments that derive their values from other traded claims are called derivatives. Typically, the value of these instruments is very closely related to the value of the underlying asset. As a result derivatives are useful for: Speculating on the underlying asset, and; Hedging the underlying asset. Furthermore, arbitrage opportunities may be possible if the underlying asset and the derivative asset are not priced consistently. Speculators and Hedgers Speculators are individuals hope to make a profit by closing out their positions at a price that is better than the initial price. They do not produce or use the asset in their daily course of business. Hedgers are individuals who use derivatives to offset an otherwise risky position in the underlying asset. They either produce or use the asset in their daily course of business. Example: Wheat Forwards In a wheat forward contract two counter-parties agree to exchange some quantity of wheat at some date in the future at a price negotiated today. A wheat farmer has exposure to the future spot price of wheat. The spot price is the market price of wheat for immediate delivery. The crop planted in the spring and harvested in the fall will be sold at fall spot prices. Since these spot prices are uncertain, the profits on the farmer’s crop are risky. A risk-averse farmer can hedge this risk by selling wheat now using a forward contract. Wheat Forwards Who might take the opposite side of this trade? A bread producer may wish to hedge production costs. A weather forecaster may speculate that the future spot price will be well above the forward price and therefore use this contract as part of a trading strategy (buy using the forward contract and sell in the future spot market). Arbitrageurs Two basic types of arbitrage trades: Invest nothing and make positive future profits; Receive profits today without any future obligations. Arbitrageurs use derivative contracts to extract arbitra