Hull经典衍生品教科书第9版官方第25章精品PPT课件

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Hull经典衍生品教科书第9版官方PPT,第29章

Both the bond price and the strike price should be cash prices not quoted prices
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 5
Forward Bond and Forward Yield
Approximate duration relation between forward bond price, FB, and forward bond yield, yF
FB FB y F D y F or Dy F FB FB yF
where D is the (modified) duration of the forward bond at option maturity
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Chapter 29 Interest Rate Derivatives: The Standard Market Models
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1ቤተ መጻሕፍቲ ባይዱ
The Complications in Valuing Interest Rate Derivatives (page 673)
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014

Hull经典衍生品教科书第官方, ppt课件

Chapter 6 Interest Rate Futures
Options, Futures, and Other Derivatives, 9th Edition, Copyright ©
John C. Hull 2014
1
Day Count Convention
• Defines:
• the period of time to which the interest rate applies
• day count is Actual/Actual in period? • day count is 30/360?
Options, Futures, and Other Derivatives, 9th Edition, Copyright ©
John C. Hull 2014
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Treቤተ መጻሕፍቲ ባይዱsury Bill Prices in the US
John C. Hull 2014
2
Day Count Conventions in the U.S. (Page 132)
Treasury Bonds: Actual/Actual (in period)
Corporate Bonds: 30/360
Money Market Instruments:
John C. Hull 2014
4
Examples continued
• T-Bill: 8% Actual/360:
• 8% is earned in 360 days. Accrual calculated by dividing the actual number of days in the period by 360. How much interest is earned between March 1 and April 1?

Hull经典衍生品教科书第9版官方PPT,第30章

Chapter 30 Convexity, Timing, and Timing, and Quanto Adjustments
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
Forward Yields and Forward Prices
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
2
Relationship Between Bond Yields and Prices (Figure 30.1, page 694)
We define the forward yield on a bond as the yield calculated from the forward bond price There is a non-linear relation between bond yields and bond prices It follows that when the forward bond price equals the expected future bond price, the forward yield does not necessarily equal the expected future yield
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Timing Adjustments (Equation 30.4, page

Hull经典衍生品教科书第9版官方第19章精品PPT课件

Buy 100,000 shares today
What are the risks associated with these strategies?
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
5
Delta (See Figure 19.2, page 403)
Delta (D) is the rate of change of the option price with respect to the underlying
short 1000 options buy 600 shares
Gain/loss on the option position is offset by loss/gain on stock position Delta changes as stock price changes and time passes Hedge position must therefore be rebalanced
Chapter 19 The Greek Letters
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
1
Example
A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% The Black-Scholes-Merton value of the option is $240,000 How does the bank hedge its risk to lock in a $60,000 profit?

Hull经典衍生品教科书第9版官方PPT,第3章

Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 14
Example
S&P 500 futures price is 1,000 Value of Portfolio is $5 million Beta of portfolio is 1.5 What position in futures contracts on the S&P 500 is necessary to hedge the portfolio?
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
4
Basis Risk
Basis is usually defined as the spot price minus the futures price Basis risk arises because of the uncertainty about the basis when the hedge is closed out
Optimal hedge ratio is
ˆS s ˆ ˆ hr ˆF s
where varis ˆF s
Correlation between percentage daily changes for spot and futures
Optimal number of contracts if adjustment for daily settlement
h *Q A QF
ˆ hV A VF
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014

期权、期货及其他衍生产品第9版-赫尔】Ch(9)幻灯片PPT

Options, Futures, and Other Derivatives, 9th Edition, Copyright ©
John C. Hull 2014
4
Historical Simulation to Calculate the One-Day VaR
Create a database of the daily movements in all market variables. The first simulation trial assumes that the percentage changes in all market variables are as on the first day The second simulation trial assumes that the percentage changes in all market variables are as on the second day and so on
Let vi be the value of a variable on day i
There are 500 simulation trials
The ith trial assumes that the value of the market
variable tomorrow is
v500
vi vi1
期权、期货及其他衍生产品第9 版-赫尔】Ch(9)幻灯片PPT
本PPT课件仅供大家学习使用请学习完及时删除处理谢谢！
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014

[考研专业课课件] 赫尔《期货、期权及其他衍生产品》课件第25章特种期权

c——0时刻的期限为T2-T1的平值期权的价格
欧式平价期权的价格与资产价格成比例。因
此，在T1时刻，远期开始期权价格为cS1/S0。采用风险中性定价，0时刻的远期开始期权价格为
e
rT1
S1 ˆ E c S0
。
ˆ ——风险中性世界里的期望值。 E
( r q )T1 ˆ E S S e 因为c和S0为已知，。 1 0
其中
（25-1）
d1
ln( S0 / K 2 ) (r q 2 / 2) / T
T
d 2 d1 T
这个公式所给的价格比通常的布莱克-斯科尔斯-默顿公式所给执行价格为K2的普通看涨期权价
rT 格高出 ( K2 K1 )e N (d2 ) 。当期权被行使时，
qT1 ce 所以，远期开始欧式价格为。
对于无股息股票，q=0，一个远期开始期权的
价格与一个一般的具有相等期限的平值期权价格相等。
25．5 棘轮期权
棘轮期权[cliquet option或ratchet option，有时也称做执行价格调整期权（strike reset）]：一系列由某种方式确定执行价格的看涨或看跌期权。假设调整日期为时刻τ，2τ， …，（n-1）τ，棘轮期权期限为nτ。
一种简单的棘轮期权：第一个期权的有效时
间是时间0与τ之间，执行价格为K（也许是资产的初始价格）；第二个期权在时刻2τ提供收益，其执行价格为资产在τ时刻的价格；第三个期权在时刻3τ提供收益，其执行价格为资产在2τ时刻的价格等。这是个普通期权加上n-1个远期开始期权，而这些远期开始。
25．6 复合期权
25．3 缺口期权
缺口期权：一种欧式期权，当ST≥K2时，其收益为当ST-K1。缺口期权与具有执行价格K2的普通看涨期权之间的区别：当ST≥K2时，收益增加了K2-K1 当K2>K1时，这个数量为正，K1>K2时为负。

Hull衍生品教科书第版官方PPT

16
Control Variate Technique
• Value American option, fA • Value European option using same tree,
fE • Value European option using Black-
Scholes –Merton, fBS • Option price =fA+(fBS – fE)
a e0.11/12 1.0084 u e0.4 1/12 1.1224 d 1 0.8909
u p 1.0084 0.8909 0.5073
1.1224 0.8909
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
d es Dt
p ad ud
a e(r q) Dt
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
6
The Complete Tree
(Figure 21.2, page 453)
u e(r qs2 / 2)Dt s Dt d e(r qs2 / 2)Dt s Dt
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
18
Trinomial Tree (Page 467)
As with Black-Scholes-Merton:
• For options on stock indices, q equals the dividend yield on the index

Hull经典衍生品教科书第9版官方PPT,第31章

Chapter 31 Interest Rate Derivatives: Model of the Short Rate
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
Term Structure Models
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
10
Ho-Lee Model
dr = q(t)dt + dz Many analytic results for bond prices and option prices Interest rates normally distributed One volatility parameter, All forward rates have the same standard deviation
Short Rate
r
Forward Rate Curve
r
r r
Time
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
14
Black-Karasinski Model (equation
31.18)
d ln(r ) q(t ) a(t ) ln(r )dt (t ) dz
Future value of r is lognormal Very little analytic tractability

Hull经典衍生品教科书第9版官方第14章精品PPT课件

Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
6
Example
A variable is currently 40 It follows a Markov process Process is stationary (i.e. the parameters of the process do not change as we move through time) At the end of 1 year the variable will have a normal probability distribution with mean 40 and standard deviation 10
Taking limits we have defined a continuous stochastic process
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
8
Variances & Standard Deviations
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Copyright © John C. Hull 2014
2
Example 1
Each day a stock price
increases by $1 with probability 30% stays the same with probability 50% reduces by $1 with probability 20%

Hull经典衍生品教科书第9版官方PPT,第一章

Chapter 1 Introduction
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
What is a Derivative?
A derivative is an instrument whose value depends on, or is derived from, the value of another asset. Examples: futures, forwards, swaps, options, exotics…
time contract is entered into)
Profit
K
Price of Underlying at Maturity, ST
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 13
Profit from a Long Forward Position (K= delivery price=forward price at
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
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Example (page 6)
On May 6, 2013, the treasurer of a corporation enters into a long forward contract to buy £1 million in six months at an exchange rate of 1.5532 This obligates the corporation to pay $1,553,200 for £1 million on November 6, 2010 What are the possible outcomes?

Hull经典衍生品教科书第9版官方第4章精品PPT课件

Compounding frequency Annual (m=1) Semiannual (m=2) Quarterly (m=4) Monthly (m=12) Weekly (m=52) Daily (m=365)
Value of $100 in one year at 10% 110.00 110.25 110.38 110.47 110.51 110.52
Copyright © John C. Hull 2014
6
Measuring Interest Rates
The compounding frequency used for an interest rate is the unit of measurement
The difference between quarterly and annual compounding is analogous to the difference between miles and kilometers
Options, Futures, and Other Derivatives 9th Edition,
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Impact of Compounding
When we compound m times per year at rate R an amount A grows to A(1+R/m)m in one year
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Repo Rate
Repurchase agreement is an agreement where a financial institution that owns securities agrees to sell them for X and buy them bank in the future (usually the next day) for a slightly higher price, Y

Hull,经典衍生品教科书第9版,官方ppt,第19章

1 2 2 Q rSD s S G = rP 2
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 18
Vega
Vega (n) is the rate of change of the value of a derivatives portfolio with respect to volatility
6
A
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Hedge
Trader would be hedged with the position:
short 1000 options buy 600 shares
Chapter 19 The Greek Letters
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
Example
A bank has sold for $300,000 a European call option on 100,000 shares of a non-dividend paying stock S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% The Black-Scholes-Merton value of the option is $240,000 How does the bank hedge its risk to lock in a $60,000 profit?

Hull经典衍生品教科书第9版官方PPT,第35章

Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
2
The Problem with using NPV to Value Options
Consider the example from Chapter 13: risk-free rate =12%; strike price = $21
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 10
The Process for the Commodity Price
• We assume that this is d ln(S) = [q(t) − aln(S)] dt + dz where a = 0.1 and = 0.2
(Business Snapshot 35.1; Schwartz and Moon)
Estimate stochastic processes for the company’s sales revenue and its average growth rate. Estimated the market price of risk and other key parameters (cost of goods sold as a percent of sales, variable expenses as a percent of sales, fixed expenses, etc.) Use Monte Carlo simulation to generate different scenarios in a risk-neutral world. The stock price is the average of the present values of the net cash flows discounted at the risk-free rate.

Hull经典衍生品教科书第9版官方PPT,第4章

1.0
1.5 2.0
5.8
6.4 6.8
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2014
13
Bond Pricing
To calculate the cash price of a bond we discount each cash flow at the appropriate zero rate In our example, the theoretical price of a twoyear bond providing a 6% coupon semiannually is
Options, Futures, and Other Derivatives 9th Edition, Copyright © John C. Hull 2014 5
Repo Rate
Repurchase agreement is an agreement where a financial institution that owns securities agrees to sell them for X and buy them bank in the future (usually the next day) for a slightly higher price, Y The financial institution obtains a loan. The rate of interest is calculated from the difference between X and Y and is known as the repo rate

期权、期货及其他衍生产品第9版-赫尔】Ch(7)

4
0.037 0.256 0.625 1.369 7.934 20.134 44.128
5 7 10
0.106 0.247 0.503 0.383 0.621 0.922 0.870 1.441 2.480 1.877 2.927 4.740 10.189 14.117 19.708 24.613 32.747 41.947 50.366 58.302 69.483
.
4
Cumulative Ave Default Rates (%)
(1970-2012, Moody’s, Table 24.1, page 545)
Aaa Aa A Baa Ba B Caa-C
1 23
0.000 0.013 0.013 0.022 0.069 0.139 0.063 0.203 0.414 0.177 0.495 0.894 1.112 3.083 5.424 4.051 9.608 15.216 16.448 27.867 36.908
.
7
Conditional vs Unconditional Default Probabilities (page 545-546)
The conditional default probability is the probability of default for a certain time period conditional on no earlier default
.
6
Do Default Probabilities Increase with Time?
For a company that starts with a good credit rating default probabilities tend to increase with time For a company that starts with a poor credit rating default probabilities tend to decrease with time

期权、期货及其他衍生产品第9版-赫尔】Ch(6)

Copyright © John C. Hull 2014
6
CDS Valuation (page 575-577)
Hazard rate for reference entity is 2%. Assume payments are made annually in arrears, that defaults always happen half way through a year, and that the expected recovery rate is 40% Suppose that the breakeven CDS rate is s per dollar of notional principal
In the event of default there is a final accrual payment by the buyer
Settlement can be specified as delivery of the bonds or (more usually) in cash
An auction process usually determines the payoff
This shows that bond yield spreads (measured relative to LIBOR) should be close to CDS spreads
Options, Futures, and Other Derivatives 9th Ediition,
2021/6/19
Options, Futures, and Other Derivatives 9th Ediition,
2021/6/19
Copyright © John C. Hull 2014

金融衍生品概论ppt课件

成交金额（亿元）
成交量（万手）
Source: China Futures Association, 201130
定义
◦ 买卖双方约定在将来确定时间按照事先确定的价格买卖约定数量商品的合约。
多方/空方
◦ 多方指远期合约中的买方，它在合约中的利益随着交割商品的现货价格正向变动。
◦ 空方指远期合约中的卖方，它在合约中的利益随着交割商品的现货价格反向变，郑州和上海3家。
1998.11 大豆，小麦，绿豆，铝，铜及天然橡胶等6个期货合约交易得到批准。
2004
棉花，燃油和玉米期货交易上市。
2004
市场总交易量达到14.6万亿元人民币。
中国期货发展历史
资料来源：《中国经营报》2005年2月21日
12
1,400,000
金融衍生品的品种
7
农产品
◦ 如小麦，玉米，棉花，咖啡，可可等。
能源
◦ 石油，燃油等。
金属/贵金属
◦ 铜，铝，金，银，铂等。
股票
◦ 包括股票，股票价格指数等。
利率
◦ 国债，公司债，市政债券，以及相关指数。
其它
Underlying Assets
8
股票 31%
利率 18%
农产品 5%
期权
◦ 场外期权交易在19世纪就已经出现。 ◦ 由于欺诈行为猖獗，场内期权交易1921年起被美国国会禁止。 ◦ 1973年场内期权业务重新出现。（CBOE，1973）
互换
◦ 开始于1980年代初期
金融衍生品的发展
10
期货市场
◦ 1990年代我国开始建立期货市场。 ◦ 由于投机猖獗，期货交易市场历经两次大规模整顿。 ◦ 三二七国债事件 ◦ 目前为世界主要期货市场之一。