第一章 金融工程概述 第二章 远期与期货概述 第三章 远期与期货定价 第四章 远期与期货的运用 第五章 股指期货、外汇期货、利率远期与利率期货 第六章 互换的概述

一、即期交易远期交易一期货交易期权交易 Spot Forward Future Option 二、形成与发展(金融期货) 布雷顿森林体系的崩溃、浮动汇率制的实行、利率的浮动、金融业竞争的加剧、高科技的 发展(金融交易的自动化)等

Consumption vs Investment Assets Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver) Consumption assets are assets held primarily for consumption(Examples: copper, oil)

Types of Rates Treasury rates LIBOR rates Repo rates Options, Futures, and Other Derivatives, 5th edition@ 2002 by John C. Hull

The nature of derivatives a derivative is an instrument whose value depends on the values of other more basic underlying variables Options, Futures, and Other Derivatives, 5th edition C 2002 by John C. Hull

Nature of Swaps A swap is an agreement to exchange cash flows at specified future times according to certain specified rules Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull

American vs European options An American option is worth at least as much as the corresponding European option

A Simple Binomial model A stock price is currently $20 In three months it will be either $22 or

The Stock Price Assumption Consider a stock whose price is s In a short period of time of length 8t, the return on the stock is normally distributed

A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock S=49,K=50,=5%,=20% T=20 weeks,μ=13%