FundamentalsofFuturesandOptionsMarkets

1

参考教材2

内容安排第1章引言（含利率转换）第2章期货市场的运作机制第3章期货的对冲策略第4章期货、远期价格的确定第5章常见远期、期货合约第6章利率期货第7章互换第8章衍生品证券化3第9章期权市场的运作机制第10章期权的性质第11章期权交易策略第12章二叉树期权估值第13章布莱克-期科尔斯-莫顿模型期权定价模型（含希腊字母与波动率微笑）3

考核方式平时成绩20%~30%，1次大作业+考勤期末成绩70%~80%，闭卷Options,Futures,andOtherDerivatives,8thEdition,JohnC.HullPrinciplesofFinancialEngineering,2ndEdition,SalihN.Neftci参考资料4

Chapter1

IntroductionofDerivatives5

WhatisaDerivative?Aderivativeisaninstrument(contract)whosevaluedependson,orisderivedfrom,thevalueofanunderlyingasset.Theunderlyingassetsincludestocks,currencies,interestrates,commodities,debtinstruments,electricity,insurancepayouts,theweather,etcContracttypes:futures,forwards,swaps,options.6

TheDifferentAnalysisMethodsComparedwithInvestmentsAbsoluteassetpricingmethod:Discountthefuturecashflows.Relativeassetpricingmethod:Findthenoarbitragecondition,examples:futures,forwards,swaps,options,…77

WhyDerivativesAreImportantDerivativesplayakeyroleintransferringrisksintheeconomyProvidedmoreinvestmentinstruments.ManyfinancialtransactionshaveembeddedderivativesOtherapplication:Therealoptionsapproachtoassessingcapitalinvestmentdecisionshasbecomewidelyaccepted8

HowDerivativesAreTradedOnexchangessuchastheChicagoBoardOptionsExchangeOpenoutcrysystemElectronictradingsystemIntheover-the-counter(OTC)marketwheretradersworkingforbanks,fundmanagersandcorporatetreasurerscontacteachotherdirectly9

SizeofOTCandExchange-TradedMarkets

(Figure1.1,Page3)Source:BankforInternationalSettlements.ChartshowstotalprincipalamountsforOTCmarketandvalueofunderlyingassetsforexchangemarket10

HowDerivativesareUsedTohedgerisksTochangethenatureofaliabilityTochangethenatureofaninvestmentTospeculate(takeaviewonthefuturedirectionofthemarket)Tolockinanarbit