文档介绍：期权期货衍生品心得期权、期货和其他衍生品 Chapter1第一章 Aderivativeisaninstrumentwhosevaluedependson,orisderivedfrom,,其价值取决于其他资产的价值。DerivativesvsPrimaryAssets modities大宗商品RealEstate房地产…... WhatisaDerivative?modityfutures商品期货Indexfutures指数期货Forwards远期合约(美国CBOT1848)Options期权(18世纪,美国CBOE1973)Swaps互换Exotics奇异期权(1980s)Creditderivatives信用衍生品(1990s)Derivativesplayakeyroleintransferringrisksintheeconomy转移经济活动中的风险Pricediscovery价格发现 Theunderlyingassetsincludestocks,currencies,modities,debtinstruments,electricity,insurancepayouts,theweather,etc 标的资产可以是股票,货币,利率,商品,债务,电力,保险支付金,天气等等。。。Anything!Manyfinancialtransactionshaveembeddedderivatives许多金融交易和金融业务中都包含了衍生品 epted利用实物期权的方法评价投资决策已经被广泛使用OnexchangessuchastheChicagoBoardOptionsExchange交易所:如CBOE(芝加哥期权交易所) Intheover-the-counter(OTC)marketwheretradersworkingforbanks,fundmanagersandcorporatetreasurerscontacteachotherdirectly场外交易市场:代表银行、基金经理、公司财务主管的交易员们直接进行交易 Lehman’sfiledforbankruptcyonSeptember15,,负债6130亿美元 Ithadhundredsofthousandsoftransactionsoutstandingwithabout8,000counterparties此时,它上有成千上百个未完成的交易,涉及约8000个交易对手 LehmanwasanactiveparticipantintheOTCderivativesmarketsandgotintofinancialdifficultiesbecauseittookhighrisksandfounditwasunabletorolloveritsshorttermfunding 雷曼是场外衍生品市场中活跃的参与者,后由于过高风险交易而致使短期资金周转困难,陷入财政困境 UnwindingthesetransactionshasbeenchallengingforboththeLehmanliquidatorsandtheircounterparties解决这些交易,无论对雷曼的清算人员还是他们的对手,都十分棘手Tohedgerisks对冲风险 Tospeculate(takeaviewonthefuturedirectionofthemarket)投机 Tolockinanarbitrageprofit锁定套利获益Tochangethenatureofaliability改变债务性质 Tochangethenatureofaninvestmentwithoutincurringthecostsofsellingoneportfolioandbuyinganother 不需引起买卖证券组合,即可改变投资性质 BidOffer Spot 1-monthforward 3-monthforward 6-monthforward 远期合约是双方签订的将来某一时刻以预定的价格交易某一资产的合约。该约定价格称作远期价格。Theforwardpriceforacontractisthedeliverypricethatwouldbeapplicabletothecontractifwerenegotiatedtoday(,itisthedeliverypricethatwouldmakethecontractworthexactlyzero) 远期价格指合约在被签订时,