《期货与期权市场基本原理》Ch03 利用期货的对冲策略-英文教学课件（非AI生成）.ppt

*thefuturepriceisusuallyveryvolatileinthedeliverymonth,andalsobeartheriskofdelivery，因此选择期货时间最稍好长一点***S1是初始时刻的现货价格，S2是更换合约时的价格，F1是初始时刻的期货报价，到期收敛到S2；合约滚动收益定义为换合约的收益，其实就是结清旧合约的盈亏，因为新合约的达成无现金流。*Chapter3

HedgingStrategiesUsingFutures*LongShortHedgesAlongfutureshedgeisappropriatewhenyouknowyouwillpurchaseanassetinthefutureandwanttolockinthepriceAshortfutureshedgeisappropriatewhenyouknowyouwillsellanassetinthefutureandwanttolockintheprice*ArgumentsinFavorofHedgingCompaniesshouldfocusonthemainbusinesstheyareinandtakestepstominimizerisksarisingfrominterestrates,exchangerates,andothermarketvariables*ArgumentsagainstHedgingShareholdersareusuallywelldiversifiedandcanmaketheirownhedgingdecisionsItmayincreaserisktohedgewhencompetitorsdonotFinancialofficer:Explainingasituationwherethereisalossonthehedgeandagainontheunderlyingcanbedifficult*BasisRiskBasisisusuallydefinedasthespotpriceminusthefuturespriceBasisriskarisesbecauseoftheuncertaintyaboutthebasiswhenthehedgeisclosedoutTimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPrice*LongHedgeforPurchaseofanAssetDefineF1:FuturespriceattimehedgeissetupF2:FuturespriceattimeassetispurchasedS2:Assetpriceattimeofpurchaseb2:BasisattimeofpurchaseCostofassetS2GainonFuturesF2?F1NetamountpaidS2?(F2?F1)=F1+b2*ShortHedgeforSaleofanAssetDefineF1:FuturespriceattimehedgeissetupF2:FuturespriceattimeassetissoldS2:Assetpriceattimeofsaleb2:BasisattimeofsalePriceofassetS2GainonFuturesF1?F2NetamountreceivedS2+(F1?F2)=F1+b2*PerfecthedgingVSimperfecthedgingPerfecthedging:zerobasisriskUnderwhatconditions?Imperfecthedging:nonzerobasisrisk(1)unmatchedhedgingamount(2)unmatch