Two Kinds of Underlying Assets · Investment assets: held for investment purposes by a significant numbers of investors. Examples: stocks, bonds, gold. Three different situations: 1. The asset provides no income 2. The asset provides a known dollar income 3. The asset provides a known dividend yield Consumption assets: held primarily for consumption. Examples: commodities such as copper, oil and live hogs

Nature of Swaps A swap is an agreement to exchange cash flows(现金流)at specified future times according to certain specified rules

Notation : European call C: American Call option option price price p: European put P: American Put option option price price So: Stock price today·Sr:Stock price at time X: Strike price D: Present value of T: Life of option

第一章 15 (a)The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0074 per yen. The gain is 100x0.0006 millions of dollars or $60,000. ()The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0091 per yen. The loss is 100.0011 millions of dollars or $110,000. 1.6 you could buy 5,000 put options (or 50 contracts)with a strike price of

Categorization of Stochastic Processes 1 Discrete time; discrete variable 2 Discrete time; continuous variable 3 Continuous time; discrete variable 4 Continuous time; continuous variable Options, Futures, and Other Derivatives,4 4th edition2000 by John.hull Tang Yincai, 2003, Shanghai Normal University

European Options on Stock 12.2 Paying Continuous Dividends We get the same probability distribution for the stock price at time T in each of the following cases 1. The stock starts at price So and provides a continuous dividend yield q 2. The stock starts at price Soe-q' and provides no dividend yield

The Question Being Asked in Value at Risk (VaR) \What loss level is such that we are X% confident it will not be exceeded in N business days?\

1. Introduction Summary Introduction to Derivatives Futures Contracts Underlying Assets Forward Contracts Types of Traders

3. Forward and Futures Prices Summary Short Selling The Repo Rate Forward Contracts Forward Price vs. Futures Price Stock Index Futures Forward and Futures Contracts on Currencies

人与自然的辩证关系 1、文明类型采猎文明农业文明工业文明后工业文明 2、时段公元前200公元前1万公元18世纪未来 万年至前1年至18世纪至今 万年 3、对自然的依赖自然改造自然征服自然善待自然 态度 4、环境问题未显现森林砍伐、从地区性公全球性灾难 水土流失害到全球性解决 灾难 5、人类对象听天由命牧童经济环境保护可持续发展