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衍生工具与风险管理

  • 作者:(Chance)钱斯 (美国)D.M. 陈蓉
  • 出版社:高等教育出版社
  • ISBN:9787040161656
  • 出版日期:2005年01月01日
  • 页数:408
  • 定价:¥36.00
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    内容提要
    《衍生工具与风险管理》涵盖了金融衍生工具的基本内容以及相应的风险管理知识,主要介绍了期权、远期、期货、互换等基础性金融衍生工具的基本知识、市场制度、定价原理和市场运用策略,并针对目前世界上应用*广泛、*重要的一类衍生产品——利率衍生工具进行了深入浅出的分析和介绍,*后专门从定量和定性两个角度讨论了相应的风险管理问题。
    作为一本在国外广受欢迎的金融工程教材,《衍生工具与风险管理》适合于金融、投资、财务管理等相关专业本科生、硕士生、MBA教学使用,可用于金融工程、衍生产品等课程,也非常适合作为金融工程、衍生产品和风险管理领域的培训教材,同时可供金融从业者和对金融领域有兴趣者自学使用,亦是一本优秀的可供查阅的市场手册。
    文章节选
    There are plenty of examples of options in everyday life. Historians and archaeologistshave even discovered primitive options. Though these arrangements may resemblemodem options, the current system of options markets traces its origins to thenineteenth century, when puts and calls were offered on shares of stock. Little is knownabout the options world of the 1800s other than that it was fraught with corruption.
    Then, in the early 1900s, a group of firms calling itself the Put and Call Brokersand Dealers Association created an options market. If someone wanted to buy anoption, a member of the association would find a seller willing to write it. If themember firm could not find a writer, it would write the option itself. Thus, a memberfirm could be either a broker——one who matches buyer and seller——or a dealer——one who actually takes a position in the transaction.
    Although this over-the-counter options market was viable, it suffered from severaldeficiencies. First, it did not provide the option holder the opportunity to sell theoption to someone else before it expired. Options were designed to be held all theway to expiration, whereupon they were either exercised or allowed to expire. Thus,an option contract had little or no liquidity. Second, the writer's performance wasguaranteed only by the broker-dealer firm. If the writer or the Put and Call Brokersand Dealers Association member firm went bankrupt, the option holder was simplyout of luck.1 Third, the cost of transacting was relatively high, due partly to the firsttwo problems.
    In 1973, a revolutionary change occurred in the options world. The Chicago Boardof Trade, the world's oldest and largest exchange for the trading of commodity futurescontracts, organized an exchange exclusively for trading options on stocks. Theexchange was named the Chicago Board Options Exchange (CBOE). It opened its doorsfor call option trading on April 26, 1973, and the first puts were added in June 1977.
    The CB
    …… 自教育部在《关于加强高等学校本科教学工作提高教学质量的若干意见》【教高(2001)4号】中提出双语教学的要求后,各地高校相继开设了一系列双语教学课程。这对提高学生的学科和外文水平,开阔国际视野,培养创新型人才起到了重要的作用;一大批教师也逐渐熟悉了外文授课,自身的教学水平和能力得到较大提高,具备国际学术思维的中青年教师脱颖而出。同时,经过近几年的双语教学实践,国外原版教材量大、逻辑不够清晰、疏离中国现实等问题也影响了双语教学的效果。因此,对外版教材进行本土化的精简改编,使之更加适合我国的双语教学已提上教材建设日程。
    为了满足高等学校经济管理类双语课程本土化教学的需要,在教育部高等教育司的指导和支持下,高等教育出版社同Thomson Leaming等国外**出版公司通力合作,在国内**推出了金融、会计、经济学等专业的英文原版改编教材。本套教材的遴选、改编和出版严格遵循了以下几个原则:
    1.择优选取权威的新版本。在各专业选书论证会上,我们要求入选改编的教材不仅是在国际上多次再版的经典之作的*新版本,而且是近年来已在国内被试用的优秀教材。
    2.改编后的教材力求内容规范简明,逻辑更加清晰,语言原汁原味,适合中国的双语教学。选择的改编人既熟悉原版教材内容又具有本书或本门课程双语教学的经验;在改编过程中,高等教育出版社组织了知名专家学者召开了数次改编和审稿会议,改编稿征求了众多教师的意见。
    3.改编后的教材配有较丰富的辅助教学支持资源,教师可在网上免费获取。同时,改编后的教材厚度适中,定价标准较低。
    由于原作者所处国家的政治、经济和文化背景等与我国不同,对书中所持观点,敬请广大读者在阅读过程中注意加以分析和鉴别。
    此次英文改编教材的出版,得到了很多专家学者的支持和帮助,在此深表谢意!我们期待这批英文改编教材的出版能对我国经济管理类专业的教学能有所帮助,欢迎广大读者给我们提出宝贵的意见和建议。
    目录
    Chapter 1
    Introduction 1
    Derivative Markets and Instruments 2
    Options 2
    Forward Contracts 3
    Futures Contracts 3
    Options on Futures 4
    Swaps and Other Derivatives 4
    The Underlying Asset 5
    Some Important Concepts in Financial and Derivative
    Markets 5
    Risk Preference 5
    Short Selling 5
    Return and Risk 6
    Market Efficiency and Theoretical Fair Value 6
    Fundamental Linkages between Spot and Derivative
    Markets 8
    Arbitrage and the Law of One Price 8
    The Storage Mechanism: Spreading Consumption across
    Time 9
    Delivery and Settlement 10
    The Role of Derivative Markets 10
    Risk Management 10
    Price Discovery 11
    Operational Advantages 11
    Market Efficiency 12
    Criticisms of Derivative Markets 12
    Misuses of Derivatives 12
    Derivatives and Your Career 13
    Sources of Information on Derivatives 14
    Summary 14
    Further Reading 14
    Questions and Problems 15

    Chapter 2
    The Structure of Options Markets 18
    The Development of Options Markets 19
    Call Options 20
    Put Options 21
    The Over-the-Counter Options Market 21
    Organized Options Trading 23
    Listing Requirements 23
    Contract Size 23
    Exercise Prices 24
    Expiration Dates 24
    Position and Exercise Limits 25
    Options Exchanges and Trading Activity 26
    Option Traders 27
    The Market Maker 27
    The Floor Broker 28
    The Order Book Official 28
    Other Option Trading Systems 28
    Off-Floor Option Traders 29
    The Mechanics of Trading 29
    Placing an Opening Order 29
    The Role of the Clearinghouse 30
    Placing an Offsetting Order 31
    Exercising an Option 32
    Option Price Quotations 33
    Types of Options 34
    Stock Options 34
    Index Options 35
    Currency Options 36
    Other Types of Traded Options 36
    Real Options 37
    Transaction Costs in Option Trading 38
    Floor Trading and Clearing Fees 38
    Commissions 38
    Bid-Ask Spread 39
    Other Transaction Costs 39
    The Regulation of Options Markets 40
    Summary 41
    Further Reading 41
    Questions and Problems 41
    Appendix 2: Margin Requirements 43

    Chapter 3
    Principles of Option Pricing 45
    Basic Notation and Terminology 46
    Principles of Call Option Pricing 47
    The Minimum Value of a Call 47
    The Maximum Value of a Call 49
    The Value of a Call at Expiration 49
    The Effect of Time to Expiration 49
    The Effect of Exercise Price 52
    The Lower Bound of a European Call 55
    American Call Versus European Call 58
    The Early Exercise of American Calls on
    Dividend-Paying Stocks 59
    The Effect of Interest Rates 60
    The Effect of Stock Volatility 60
    Principles of Put Option Pricing 61
    The Minimum Value of a Put 61
    The Maximum Value of a Put 62
    The Value of a Put at Expiration 63
    The Effect of Time to Expiration 64
    The Effect of Exercise Price 65
    The Lower Bound of a European Put 67
    American Put Versus European Put 70
    The Early Exercise of American Puts 70
    Put-Call Parity 70
    The Effect of Interest Rates 73
    The Effect of Stock Volatility 74
    Summary 75
    Further Reading 76
    Questions and Problems 77
    Appendix 3: The Dynamics of Option Boundary
    Conditions: A Learning Exercise 80

    Chapter 4
    Option Pricing Models: The Binomial
    Model 81
    The One-Period Binomial Model 82
    An Illustrative Example 85
    A Hedge Portfolio 86
    An Overpriced Call 87
    An Undevpriced Call 87
    The Two-Period Binomial Model 88
    An Illustrative Example 91
    A Hedge Portfolio 92
    A Mispriced Call in the Two-Period World 94
    Extensions of the Binomial Model 95
    Pricing Put Options 95
    American Puts and Early Exercise 97
    Dividends, European Calls, American Calls, and
    Exercise 98
    Extending the Binomial Model to n Periods 103
    The Behavior of the Binomial Model for a Large r,
    Fixed Option Life 105
    Alternative Specifications of the Binomial Model 1
    SOFTWARE DEMONSTRATION 4.1
    Calculating the Binomial Price with the Excel
    Spreadsheet: bsbin3.xls 109
    Summary 109
    Further Reading 110
    Questions and Problems 110

    Chapter 5
    Option Pricing Models: The Black-Scholes
    Model 112
    The Black-Scholes Model as the Limit of the Binomial
    Model 113
    The Assumptions of the Model 114
    Stock Prices Behave Randomly and Evolve According to a
    Lognormal Distribution 115
    The Risk-Free Rate and Volatility of the Log Return on the
    Stock Are Constant throughout the Option's Life 118
    There Are No Taxes or Transaction Costs 119
    The Stock Pays No Dividends 119
    The Options Are European 120
    A Nobel Formula 120
    A NumericalExample 121
    SOFTWARE DEMONSTRATION 5.1
    Calculating the Black-Scholes Price with the Excel
    Spreadsheet: bsbin3.xls 122
    Characteristics of the Black-Scholes Formula 122
    The Variables in the Black-Scholes Model 126
    The Stock Price 126
    The Exercise Price 131
    The Risk-Free Rate 132
    The Volatility or Standard Deviation 134
    The Time to Expiration 136
    The Black-Scholes Model When the Stock Pays
    Dividends 138
    Known Discrete Dividends 138
    Known Continuous Dividend Yield 139
    The Black-Scholes Model and Some Insights into
    American Call Options 141
    Estimating the Volatility 142
    Historical Volatility 142
    SOFTWARE DEMONSTRATION 5.2
    Calculating the Historical Volatility with the Excel
    Spreadsheet: hisv2.xls 143
    Implied Volatility 143
    Put Option Pricing Models 147
    Managing the Risk of Options 150
    Summary 155
    Further Reading 156
    Questions and Problems 157
    Appendix 5: The BSBWIN2.2 Windows Software 160

    Chapter 6
    Basic Option Strategies 161
    Terminology and Notation 162
    The Profit Equations 162
    Different Holding Periods 164
    Assumptions 165
    Stock Transactions 165
    Buy Stock 165
    Sell Short Stock 165
    Call Option Transactions 166
    Buy a Call 166
    Write a Call 170
    Put Option Transactions 173
    Buy a Put 173
    Write a Put 175
    Calls and Stock: The Covered Call 178
    Some C, enal Considerations with Covered Calls 183
    Puts and Stock: The Protective Put 184
    Synthetic Puts and Calls 187
    SOFTWARE DEMONSTRATION 6.1
    Analyzing Option Strategies with the Excel Spreadsheet:
    stratlyz3.xls 190
    Summary 190
    Questions and Problems 191

    Chapter 7
    The Structure of Forward and Futures
    Markets 194
    The Development of Forward and Futures Markets 195
    Chicago Futures Markets 195
    The Development of Financial Futures 196
    The Development of Options on Futures Markets 197
    The Parallel Development of Over-the-Connter Markets 198
    The Over-the-Counter Forward Market 198
    Organized Futures Trading 199
    Contract Development 199
    Contract Terms and Conditions 200
    Delivery Terms 201
    Daily Price Limits and Trading Halts 201
    Other Exchange Responsibilities 202
    Futures Exchanges 202
    Futures Traders 204
    General Classes of Futures Traders 204
    Classification by Trading Strategy 204
    Classification by Trading Style 204
    Off-Floor Futures Traders 206
    Forward Market Traders 206
    The Mechanics of Futures Trading 206
    Placing an Order 207
    The Role of the Clearinghouse 207
    Daily Settlement 208
    Delivery and Cash Settlement 211
    Futures Price Quotations 212
    Types of Futures Contracts 213
    Agricultural Commodities 213
    Natural Resources 213
    Miscellaneous Commodities 214
    Foreign Currencies 214
    Treasury Bills and Eurodollars 214
    Treasury Notes and Bonds 214
    Equities 215
    Managed Funds 215
    Hedge Funds 217
    Options on Futures 218
    Transaction Costs in Forward and Futures Trading 218
    Commissions 218
    Bid-Ask Spread 218
    Delivery Costs 219
    The Regulation of Futures and Forward Markets 219
    Summary 220
    Further Reading 221
    Questions and Problems 221

    Chapter 8
    Prin@les of Pricing Forwards, Futures, and Options on Futures 223
    Properties of Forward and Futures Prices 224
    The Concept of Price versus Value 224
    The Value of a Forward Contract 224
    The Value of a Futures Contract 226
    Forward versus Futures Prices 228
    A Forward and Futures Pricing Model 230
    Spot Prices, Risk Premiums, and the Cost of Carry for
    Generic Assets 230
    The Theoretical Fair Price 232
    Futures Prices and Risk Premia 237
    Forward and Futures Pricing When the Underlying
    Generates Cash Flows 240
    Another Look at Valuation of Forward Contracts 243
    Pricing Foreign Currency Forward and Futures Contracts:
    Interest Rate Parity 244
    Prices of Futures Contracts of Different Expirations 246
    Put-Call-Forward~Futures Parity 247
    Pricing Options on Futures 248
    The Intrinsic Value of an American Option on Futures 249
    The Lower Bound of a European Option on Futures 249
    Put-Call Parity of Options on Futures 251
    Early Exercise of Call and Put Options on Futures 252
    The Black Option on Futures Pricing Model 253
    Summary 257
    Further Reading 258
    Questions and Problems 259

    Chapter 9
    Forward and Futures Hedging Strategies 260
    Hedging Concepts 261
    Short Hedge and Long Hedge 261
    The Basis 261
    Some Risks of Hedging 264
    Contract Choice 265
    Margin Requirements and Marking to Market 267
    Determination of the Hedge Ratio 269
    Minimum Variance Hedge Ratio 269
    Price Sensitivity Hedge Ratio 271
    Stock Index Futures Hedging 273
    Tailing the Hedge 274
    Hedging Strategies 274
    Foreign Currency Hedges 275
    Intermediate- and Long-Term Interest Rate Hedges 277
    Stock Market Hedges 280
    Summary 284
    Further Reading 285
    Questions and Problems 285
    Appendix 9: Derivation of the Hedge Ratio 288
    Minimum Variance Hedge Ratio 288
    Price Sensitivit Hedge Ratio 288

    Chapter 10
    Swaps 290
    Interest Rate Swaps 292
    The Structure of a Typical Interest Rate Swap 292
    The Pricing and Valuation of Interest Rate Swaps 295
    Interest Rate Swap Strategies 301
    Currency Swaps 303
    The Structure of a Typical Currency Swap 303
    The Pricing and Valuation of Currency Swaps 305
    Currency Swap Strategies 309
    Equity Swaps 312
    The Structure of a Typical Equity Swap 313
    Pricing and Valuation of Equity Swaps 314
    Equity Swap Strategies 318
    Some Final Words about Swaps 320
    Summary 321
    Further Reading 321
    Questions and Problems 322

    Chapter 11
    Interest Rate Forwards and Options 326
    Forward Rate Agreements 327
    The Structure and Use of a Typical FRA 327
    The Pricing and Valuation of FRAs 329
    Applications of FRAs 331
    Interest Rate Options 333
    The Structure and Use of a Typical lnterest Rate
    Option 334
    Pricing and Valuation of Interest Rate Options 335
    Interest Rate Option Strategies 336
    Interest Rate Caps, bToors, and Collars 341
    Interest Rate Options, FRAs, and Swaps 34 7
    Summary 348
    Further Reading 348
    Questions and Problems 349

    Chapter 12
    Financial Risk Management Techniques
    and Applications 352
    Why Practice Risk Management? 353
    The Impetus for Risk Management 353
    The Benefits of Risk Management 353
    Managing Market Risk 355
    Delta Hedging 356
    Gamma Hedging 358
    Vega Hedging 360
    Value at Risk (VAR) 362
    Benefits and Criticisms of VAR 368
    Managing Credit Risk 369
    Option Pricing Theory and Credit Risk 369
    The Credit Risk of Derivatives 371
    Netting 374
    Credit Derivatives 376
    Other Types of Risks 378
    Summary 382
    Further Reading 382
    Questions and Problems 383
    Appendix 12: Monte Carlo Simulation 385

    Chapter 13
    Managing Risk in an Organization 388
    The Structure of the Risk Management Industry 389
    End Users 389
    Dealers 390
    Other Participants in the Risk Management Industry 391
    Organizing the Risk Management Function in a Company 392
    Risk Management Accounting 395
    Fair Value Hedges 396
    Cash Flow Hedges 397
    Foreign Investment Hedges 399
    Speculation 399
    Some Problems in the Application of FAS 133 399
    Disclosure 400
    Risk Management Industry Standards 400
    Responsibilities of Senior Management 406
    Summary 407
    Further Reading 407
    Questions and Problems 408
    ……
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