1.1 Financial Engineering 金融工程学 Textbook: John C. hull. Options, Futures and other Derivative securities, Prentice hall4thEd、(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 Hullshomepagehtpp://www.rotman.utoronto.ca/hull to download slides and software Myhomepagehttp://webpc.shnu.educn/yctang Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.1 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 ⚫ Hull’s homepage: htpp://www.rotman.utoronto.ca/~hull to download slides and software ⚫ My homepage: http://webpc.shnu.edu.cn/yctang
1.2 References John C. Hull, Fundamentals of Futures and Options Markets, Prentice hall4thEd.,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 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.2 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
13 Introduction Chapter 1 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.3 Introduction Chapter 1
1.4 The nature of derivatives a derivative(衍生产品/具)is an instrument whose value depends on the values of other more basic underlying(标的/原生) variables Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.4 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
1.5 Examples of Derivatives Forward contracts(远期合约) Futures contracts(期货合约) ● Swaps(互换) ° Options(期权) Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.5 Examples of Derivatives • Forward Contracts(远期合约) • Futures Contracts (期货合约) • Swaps(互换) • Options（期权）
1.6 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 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.6 Derivatives Markets • Exchange (交易所)traded – Traditionally exchanges have used the openoutcry 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
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) a To change the nature of an investment without incurring the costs of selling one portfo|o(投资组合) and buying another Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.7 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
18 Forward contracts(远期合约) ° A forward contract is an agreement(协 ix 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 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.8 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
19 Foreign Exchange Quotes for GBPon Aug 16, 2001(See page 3) Bd(出价)Ofer(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 2-month forward.4262 1.4268 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.9 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
1.10 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) Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.10 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)