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

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)

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

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

What loss level is such that we are y%o confident it will not be exceeded in n business days?

Models to be Considered Constant elasticity of variance (CEV) Jump diffusion Stochastic volatility Implied volatility function (IVF) Options, Futures, and Other Derivatives

Term Structure models Blacks model is concerned with describing the probability distribution of a single variable at a single point in time a term structure model describes the evolution of the whole yield curve

第一节 国际金融市场概述 第二节 欧洲货币市场 第三节 金融期货与期权交易市场 第四节 国际金融市场创新

An alternative to the NPV Rule for Capital Investments Define stochastic processes for the key underlying variables and use risk- neutral valuation This approach (known as the real options approach) is likely to do a better job at valuing growth options, abandonment options, etc than NPV

许多公司证券和在正式交易场所交易的股票期 权十分相似。几乎所有的公司股票和债券都拥有期权的特征。此外,我们也可以从期权的角度来分析资本结 构和资本成本的决策问题