文档介绍：Derivative Securities
Quanwei Cao
Department of Finance
Tsinghua University
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Charles Cao
1. Introduction
Summary
Introduction to Derivatives
Futures Contracts
Underlying Assets
Forward Contracts
Types of Traders
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What is a Derivative?
Futures, options and swaps
A derivative is a financial contract which has a value determined by the price of something else
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Example
Your family grows corn
Your friend’s family buys corn to mill into cornmeal
A bushel of corn is not a derivative
It is modity
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Charles Cao Cao
Example
You enter into an agreement with your friend that says:
If the price of a bushel of corn in one year is greater than $3, you will pay your friend $1
If the price of corn is less than $3, the friend will pay you $1
This is a derivative
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Example
Derivatives provide insurance
You earn $1 if your family’s corn sells for a low price; this supplement your e
Your friend earns $1 if the corn his family bought is expensive; this offset the high cost of corn
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What is a Derivative?
Derivatives can be thought of as bets
But the bet hedges you both against unfavorable es
The contracts has reduced risk for both of you
Investors can use derivatives to speculate on the price of corn
Key point: how it is used
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Use of Derivatives
Risk management
Derivatives can be used to reduce risks
Hedging
Insurance (auto insurance)
Speculation
Derivatives can serve as investment vehicles
Making bets highly leveraged
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Use of Derivatives
Reduced transaction costs
Low-cost way to effect a transaction
Mutual-fund mangers wish to sell stocks and buy bonds
Paying fees and trading costs
Futures contracts have low costs
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Futures Contracts
An agreement to buy or sell an asset at a specified price at a certain time in the future
Traded on exchanges, .,
the Chicago Board of Trade (CBOT)
the Chicago Mercantile Exchange (CME)
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