期权期货及其衍生市场.pdfVIP

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 view 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 (i.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