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期权、期货和其他衍生品
Chapter 1
第一章
What is a
Derivative
什么是衍生品
A derivative is an instrument whose
value depends on, or is derived from, the value of
another asset.
衍生品是一种金融工具，其价值取决于（衍生于）其他
资产的价值。
Derivativesvs Primary
Assets
衍生品
vs
初级资产（
标的资产）
Primary Assets
初级资产
Stocks
股票
Fixed income
固定收益（利率）
Foreign exchanges
外汇
Loans
贷款
Corporate bonds
公
司债券
Mortgages
住房抵押贷款
Commodities
大宗商品
Real Estate
房地产
…...
What is a
Derivative
什么是衍生品
Commodity futures
商品期货（日本江户幕府时代，美国
CBOT
1865
）
Index futures
指数期货（美国
1982
年
KCB
T
，
CME
）
Forwards
远
期
合
约
(
美
国
< br>CBOT1848)Options
期
权
(18
世
纪
，
美
国
CBOE1973)Swaps
互换（掉期美国
1980s
Swensen
）
Exotics
奇异期权
(1980s)Credit
derivatives
信用
衍生品
(1990s)
（
CMO, CLO,
CDO, CDS, CDX, CMBS…
）
Why Derivatives Are
Important
为什么衍生品很重要
Derivatives play a key role in
transferring risks in the economy
转移经济活动中的风险
Price
discovery
价格发现
The underlying assets include stocks,
currencies, interest rates, commodities, debt
instruments, electricity,
insurance
payouts, the weather, etc
标的资产可以是股票，货币，
利率，商品，债务，电力，保险支付金，天气等等。
。
。
Anything!
Many financial
transactions have embedded derivatives
许多金融交易和金融业务中都包含了衍生品
The real options approach to assessing
capital investment decisions has become widely
accepted
利用实物期权的方法评价投资决策已经被广泛使用
How Derivatives Are
Traded
衍生品如何交易
On
exchanges such as the Chicago Board Options
Exchange
交易所：如
CBOE(
芝加哥期权交易所
)
In
the
over-the-counter
(OTC)
market
where
traders
working
for
banks,
fund
managers
and
corporate
treasurers contact
each other directly
场外交易市场（
O
TC
）
：代表银行、基金经理、公司财务主管的交易员们直接进
行交易
Size of OTC and
Exchange-Traded
Markets
场外市场和交易所衍生品交易规模
The Lehman
Bankruptcy
雷曼兄弟公司破产
Lehman’s filed for bankruptcy on
September 15, 2008. This was the biggest
bankruptcy in US history
雷曼公
司在
2008
年
9
月
15
日申请破产
这是美国历史上最大的破产案，负债
6130
亿美元
It had hundreds of
thousands of transactions outstanding with about
8,000 counterparties
此时，它上有成千上百个未完成的交易，
涉及约
8000
个交易对手
Lehman was an active participant in the
OTC derivatives markets and got into financial
difficulties because
it took high risks
and found it was unable to roll over its short
term funding
雷曼是场外衍生品市场中活跃的参与者，后由于过高风险交
易而致使短期资金周转困难，陷入财政
困境
Unwinding these transactions has been
challenging for both the Lehman liquidators and
their counterparties
解决这些交易
，无论对雷曼的清算人员还是他们的对手，都十分棘手
How
Derivatives are Used
衍生品用途
To hedge risks
对冲风险
To speculate
(take a view on the future direction of the
market)
投机（预测市场未来走向）
To lock in an arbitrage profit
锁定套利获益
To change
the nature of a liability
改变债务性质
To change
the nature of an investment without incurring the
costs of selling one portfolio and buying
another
不需引起买卖证券组合，即可改变投资性质
Foreign Exchange Quotes for GBP
英镑外汇报价（）
Bid
Offer
Spot
（现货）
1-month
forward
（一个月远期价格）
3-month forward
6-month forward
Forward Price
远期价格
远期合约是双方签订的将来
某一时刻以预定的价格交易某一资产的合约。
该约定价格称作远期价格。
The forward price for a contract
is the delivery price that would be applicable to
the contract if were
negotiated today
., it is the delivery price that would make the
contract worth exactly zero)
远期价格指合约在被签
订时，令合约双方都同意，都不用向对手付钱的未来交割价格（零成本进入
合约）
The forward price may be
different for contracts of different maturities
(as shown by the table)
不同期限的合约，远期价格可能不同
Terminology
术语
The party that has agreed to buy has
what is termed a long position
同意在未来某一时
刻以某个价格买入的一方称为
长头寸（多头）
The party that has agreed to sell has
what is termed a short position
同意在未来某一
时刻以某个价格卖出的一方称为短
头寸（空头）
Example (page 5)
例子
On May 24,
2010 the treasurer of a corporation enters into a
long forward contract to buy
￡
1 million in
six
months at an exchange rate of
< br>2010
年
5
月
24
日，公司财务主管以的汇率，进入六个月、一百万英镑的远期合约多头寸<
/p>
This obligates the
corporation to pay $$1,442,200 for
￡
1 million on November 24,
2010
合约要求公司于
2010
年
12
月
24
日
以
1442200
美元的价格购得一百万英镑
< br>
What are the possible outcomes
可能的结果有哪些
Profit from a Long Forward Position (K=
delivery price=forward price at time contract is
entered
into)
远
期合约多头利润
Profit
Price
of
Underlying
at Maturity, ST
K
Profit from a
Short Forward Position(K= delivery price=forward
price at time contract is entered
into)
远
期合约空头利润
Profit
Price
of
Underlying
at Maturity, ST
K
Futures
Contracts
期货合约
Agreement to buy or sell an asset for a
certain price at a certain time
同意在指定时刻
以指定价格买
/
卖某种资产
Similar to forward contract
与远期合约类似
Whereas a
forward contract is traded OTC, a futures contract
is traded on an exchange
不同的是，远期合约为场外交易，期货合约在交易所内交易
Exchanges Trading
Futures
期货交易所
CME
Group (formerly Chicago Mercantile Exchange and
Chicago Board of Trade)
芝加哥商品交易所集团（前芝加哥交易所与芝加哥商品交易所）
NYSE Euronext
纽约
-
泛欧交易所集团
BM&F (Sao Paulo, Brazil)
巴西商品和期货交易所（位于巴西圣保罗）
TIFFE (Tokyo)
东京国际金融期货交易所
CFFE
（
Shanghai
）中国金融期货交
易所
Examples of
Futures Contracts
期货合约例子
Agreement to:
约定：
Buy 100 oz. of gold @ US$$1400/oz. in
December
以每盎司
140
0
美元的价格购入
12
月到期的黄金<
/p>
100
盎司
Sell
￡
62,500 @
US$$/
￡
in March
以每英镑美元的价格购入三月份到期的
62500
英镑
Sell 1,000 bbl. of oil @ US$$90/bbl. in
April
以每桶
90
美元价格卖出
四月份到期的
1000
桶石油
1. Gold: An Arbitrage
Opportunity
黄金：有套利机会吗
Suppose that
假设：
The spot price of gold is US$$1,400
黄金现价为
1400
美元
The 1-year forward price of gold is
US$$1,500
一年期黄金远期价格为
1500
美元
The 1-year US$$
interest rate is 5% per annum
一年期美元利率为
5%
Is
there an arbitrage opportunity
其中有套利机会吗
2. Gold:
Another Arbitrage
Opportunity
黄金：还有套利机会吗
Suppose that
假设：
The spot price of gold is US$$1,400
黄金现价为
1400
美元
The 1-year forward price of gold is
US$$1,400
一年期黄金远期价格为
1400
美元
The 1-year US$$
interest rate is 5% per annum
一年期美元利率为
5%
Is
there an arbitrage opportunity
其中有套利机会吗
The
Forward Price
of
黄金远期价格（忽略租赁成本）
If the spot price of gold is
S
and the forward price for a
contract deliverable in
T
years is
F
, then
设黄金现价为
S
，
T
时刻到期合约远期价格为
F
，则
F= S (1+r )
T
where
r
is the
1-year (domestic currency) risk-free rate of
interest.
其中，
r
为一年
期无风险利率（本国货币）
In our
examples,
S
= 1400,
T
= 1, and
r
= so that
在我们的例子
中，
S=1400
，
T=1
，
r=
，故
F = 1400(1+ = 1470
1. Oil:
An Arbitrage
Opportunity
石油：套利机会
Suppose that
假设：
-The spot price of oil is US$$95
石油现价为
95
美元
-The quoted 1-year futures price of oil
is US$$125
一年期石油合约远期价格为
125
美元
-The 1-year US$$
interest rate is 5% per annum
一年期美元利率为
5%
-The
storage costs of oil are 2% per annum
石油每年存储费率为
2%
Is
there an arbitrage opportunity
有套利机会吗
2. Oil:
Another Arbitrage
Opportunity
石油：其他套利机会
Suppose that
假设：
-The spot price of oil is US$$95
石油现价为
95
美元
-The quoted 1-year futures price of oil
is US$$80
一年期石油合约远期价格为
80
美元
-The 1-year US$$
interest rate is 5% per annum
一年期美元利率为
5%
-The
storage costs of oil are 2% per annum
石油存储费率为
2%
Is
there an arbitrage opportunity
有套利机会吗
Options
期权
A call option
is an option to buy a certain asset by a certain
date for a certain price (the strike price)
看涨期权是一种可以在指定日期以指定价格（敲定价格）买入指定资产的权力
A put option is an option to sell a
certain asset by a certain date for a certain
price (the strike price)
看跌期权是一种可以在指定日期
以指定价格（敲定价格）卖出指定资产的权力
American vs European
Options
美式期权
Vs
欧式期权
An American
option can be exercised at any time during its
life
美式期权可在到期日之前任何时刻执行
A European option can be exercised only
at maturity
欧式期权只可在到期日执行
Google Call Option Prices (June 15,
2010; Stock Price is bid , offer
谷歌股票看
涨期权价格（；股价买
入价，卖出价
Strike Price
460
480
500
520
540
560
Jul 2010
Bid
Jul
2010 Offer
Sep
2010 Bid
Sep
2010 Offer
Dec
2010 Bid
Dec
2010Offer
Options vsFutures/Forwards
期权
vs
期货
/
远
期合约
A futures/forward
contract gives the holder the obligation to buy or
sell at a certain price
期货
/<
/p>
远期合约规定了持有者在未来以某个特定的价格买卖的义务
An option gives the holder the right to
buy or sell at a certain price
期权合同给予持有
者以某个特定价格买卖的权利（除了购买期权的成本外，持有期权者没有任何义
务）
Types of Traders
交易者类型
Hedgers
对冲者（套期保值者）
:
规避价格变动的风险
Specula
tors
投机者：从价格变动中获利
Arbitrageurs
套利者：从价格的相对失衡中获利
Hedging Examples
对冲的例子
A US
company will pay
￡
10 million
for imports from Britain in 3 months and decides
to hedge using a
long position in a
forward contract
一个美国公司将要在三个月后向英国供应商支付一
千万英镑。他决定现在买入三个月到期的汇率为
的美元
/
英镑远期合同来对冲其外汇风险。
An
investor owns 1,000 Microsoft shares currently
worth $$28 per share. A two-month put with a strike
price of $$ costs $$1. The investor
decides to hedge by buying 10 contracts
一个投资者现在持有
1000
股微软的股票，现价
$$28
。两个月到期的执
行价格为
$$
的看跌期权要卖
$$1
。
这个投资者决定购买
10
< br>个看跌期权合约来对冲股票下跌的风险。
V
alue of Microsoft Shares
with and without Hedging
微软股票的价值：
（不）存在对冲的情形
Speculation
Example
投机的例子
An
investor with $$2,000 to invest feels that a stock
price will increase over the next 2 months. The
current
stock price is $$20 and the
price of a 2-month call option with a strike of
is $$1
一个投资者有
$$2,000
可用于投资，
他感觉某只股票的价
格在未来两个月内会上涨。
现在的价格是
$$20
，
两个月到期、标的价格是的看涨期权价格为
$$1
What are the alternative strategies
他有哪些其他投资策略
Arbitrage Example
套利的例子
A stock
price is quoted as
￡
100 in
London and $$140 in New York
同一个股票，在伦敦市场
报价
100
英镑，在纽约市场报价是
1
40
美元
The current
exchange rate is
现在的汇率是
1
英镑
=
美元
What is the arbitrage
opportunity
是否存在套利机会
Dangers
危险
Traders can switch from being hedgers
to speculators or from being arbitrageurs to
speculators
交易者角色可从对冲者
/
套利者转为投机者
It is
important to set up controls to ensure that trades
are using derivatives in for their intended
purpose
在利用衍生品达到目的时，必须设立风险控制机制
Soc Gen (see Business Snapshot
on page 17) is an example
of what can go wrong
Soc Gen
（见商业快照，
17
页）即是错误行为引发严重后果的例子
衍生品的交易者
Broker dealer, mostly investment banks
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