单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Tang Yincai,2005,1.,*,Financial Engineering,金融工程学,Textbook,：,John C.Hull,Options,Futures and Other Derivative Securities,Prentice Hall,4th Ed.(,清华大学出版社,),New Edition:5th,第三版中译本：张陶伟，华夏出版社，,2000,Hulls homepage:,htpp,:/www.,rotman,.,utoronto,.ca/hull,to download slides and software,My homepage:http:/,webpc,.,shnu,.,edu,.,cn,/,yctang,1,References,John C.Hull,Fundamentals of Futures and Options Markets,Prentice Hall,4th Ed.,2002.(,清华大学出版社,),Robert W.Kolb,Futures,Options and Swaps,Blackwell Publishing,4th Ed.,2002.,Lawrence,Galitz,Financial Engineering:Tools and Techniques to Manage Financial Risks,Pitman Publishing,1995.(,中译本：唐旭，经济科学出版社，,1998,）,John F.,Mrshall,Vipul,K.,Bansal,Financial Engineering,Simon&Schuster,1992.(,中译本：宋逢明，朱宝宪，清华大学出版社，,1998,）,李森，期权理论与案例分析：一个战略性的投资，复旦大 学出版社，,2002,年,8,月,.,张志强，期权理论与公司理财，华夏出版社，,1999.,2,Introduction,Chapter 1,3,The Nature of,Derivatives,A,derivative,（衍生产品,/,工具）,is an instrument whose value depends on the values of other more basic underlying,（标的,/,原生）,variables,4,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Examples of Derivatives,Forward Contracts(,远期合约,),Futures Contracts(,期货合约,),Swaps(,互换,),Options,（期权）,5,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Derivatives Markets,Exchange(,交易所,)traded,Traditionally exchanges have used the open-outcry system,but increasingly they are switching to electronic trading,Contracts are standard and there is virtually no credit risk,Over-the-counter(OTC,，场外市场,),A computer-and telephone-linked network of dealers at financial institutions,corporations,and fund managers,Contracts can be non-standard and there is some small amount of credit risk,6,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Ways Derivatives are Used,To hedge(,规避,),risks,To speculate(,投机,),(take a view on the future direction of the market),To lock in(,锁定,),an arbitrage(,套利,),profit,To change the nature of a liability(,负债,),To change the nature of an investment without incurring the costs of selling one portfolio(,投资组合,),and buying another,7,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Forward Contracts,(,远期合约,),A,forward contract,is an agreement(,协议,),to buy or sell an asset at a certain time,in the future,for a certain price(the,delivery price,，交割价格,),It can be contrasted with a,spot contract,(,现货合约,)which is an agreement to buy or sell,immediately,It is traded,in the OTC market,8,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Foreign Exchange Quotes for GBP on Aug 16,2001,(See page 3),Bid(,出价,),Offer(,报价,),Spot,1.4452,1.4456,1-month forward,1.4435,1.4440,3-month forward,1.4402,1.4407,6-month forward,1.4353,1.4359,12-month forward,1.4262,1.4268,9,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Terminologies,The party that has agreed to,buy,has what is termed a,long position,(,多头,),The party that has agreed to,sell,has what is termed a,short position,(,空头,),10,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Example,(page 3),On August 16,2001 the treasurer of a corporation,enters into,(,签署,),a,long forward contract,(,多头远期合约,),to buy 1 million in six months at an exchange rate of 1.4359,This obligates the corporation to pay$1,435,900 for 1 million on February 16,2002,What are the possible outcomes?,11,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Payoff,(,损益,),from aLong Forward Position,Profit,Price of Underlying,at Maturity,S,T,K,12,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Payoff from a Short Forward Position,Profit,Price of Underlying,at Maturity,S,T,K,13,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,Futures Contracts,(,期货合约,),Agreement to buy or sell an asset for a certain price at a certain time,Similar to forward contract,Whereas a forward contract is traded OTC,a futures contract is traded on an exchange,14,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,1.Gold:An Arbitrage Opportunity?,Suppose that:,The spot price of gold is US$300,The 1-year forward price of gold is US$340,The 1-year US$interest rate is 5%per annum,Is there an arbitrage opportunity?,15,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,2.Gold:Another Arbitrage Opportunity?,Suppose that:,The spot price of gold is US$300,The 1-year forward price of gold is US$300,The 1-year US$interest rate is 5%per annum,Is there an arbitrage opportunity?,16,Options,Futures,and Other Derivatives,4th edition 2000 by John C.Hull,The Forward Price of Gold,If the spot price of gold is,S,and the forward price for a contract deliverable in,T,years is,F,then,F,=,S,(1+,r,),T,where,r,is the 1-year(domestic currency)risk-free rate of interest.,In our examples,S,=300,T,=1,and,r,=0.05 so that,F,=300(1+0.05)=315,17,Options,Futures,and Other Derivativ