金融衍生品定价理论(期权定价).pdf

Chapter 1 Risk Management Financial Derivative Finance Finance - science of funds management, - saving , lending investing money  Business finance  Personal finance  Public finance Financial Security fungible, negotiable instrument representing financial value usually represented by a certificate restricted by government rules Including debt ones - such as banknotes, bonds … equity ones – common stocks derivatives - forwards, futures, options … Financial Market a mechanism that allows people to buy and sell (trade) ： financial securities commodities (such as precious metals or agricultural goods) other fungible items of value at low transaction costs and at prices that reflect the efficient - market hypothesis. Risk  Risk - uncertainty of the outcome  bring unexpected gains  cause unforeseen losses  Risks Types  totally unknown  known possible results, unknown possibility  known possible results and their possibilities Two attitudes toward risks  Risk aversion  Risk seeking Risks in Financial Market Assets with uncertain price Interest Rate Foreign exchange Credit …… Financial Derivatives a financial instrument that has a value, based on the expected future price movements of the underlying asset ( share, currency etc.) play roles of alternative investment risk management The Properties of Derivatives Must be survive upon other financial asset Extend the financial market Provide more tools for financial engineers Have an essential risk figure: Leverage ! Financial Derivatives  3 most fundamental financial derivatives instruments:  Forward contracts  Future Options  Others like swaps, CDS, CDO, some financing products …… Forward Contracts an agree