International_banking_chp_-精选课件(公开).pptVIP

Chapter 7 Derivatives Introduction to derivatives Plain vanilla derivatives Forwards Futures Options Swaps Introduction to derivatives A derivative is a financial agreement whose value is linked to, or derived from, changes in the value of some underlying asset, such as stocks, currencies, or commodities. Purposes of derivatives trading Hedging Speculation Exchange traded and OTC Plain vanilla derivatives Four basic types of derivatives: Forwards Futures Options Swaps Most common derivatives may be classified as one or a combination of these four basic types. The bulk of banks’ activities in derivatives is concentrated in the plain vanilla derivatives products. Forwards The two parties agree to buy or sell at some date in the future, at a price that is agreed on today. Not traded on regulated exchanges No margin calls, founded on the creditworthiness of the counterparties Futures traded on exchanges margin required at the outset and adjusted regularly currency futures--special forward FX transaction standardized in terms of ① quantity (a standard number of units ) ② settlement dates (maturity) ③ quotation options Options give the holder the right , but not the obligation to buy/sell something in the future at a price that is determined today. Option valuation Intrinsic value In the money Out of the money At the money Time value Case The strike price of an Euro put option is 1.20 $/Euro. The premium is 0.05 $/Euro. If the market price is 1.17 $/Euro. Is the option in the money or out of the money? How much is the intrinsic value? How much is time value? If the strike price of the option is 1.15 $/Euro. Is the option in the money or out of the money? How much is the intrinsic value? If the premium is 0.02$/Euro,how much is the time value? Option valuation Factors influencing option values Exercise price Interest rate Volatility Time to expiration Black – Scholes Model The original formula for calculating the theoretical call option price (O