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

广东财经大学：金融学院《期货与期权》课程教学大纲

天津开放大学：《国际金融与贸易》课程教学资源（辅导讲义）第13章 外汇期货与期权

6.1期权和远期合约 6.2连续变动率 6.3离散现金流 6.4期货期权的无套利关系 6.5市场间的无套利关系

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)

§1国际货币体系 §2国际资本流动 §3国际金融市场 §4货币期货与期权

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