期货期权及其衍生品配套课件Ch23

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期货期权及其衍生品配套(全34章)Ch01PPT课件

详细描述
期货交易是一种衍生品交易，其基础资产可以是商品、外汇或股票等。交易双方通过签订期货合约的方式，约定在未来某一特定时间和价格上交割指定数量的基础资产。期货交易的主要目的是为了规避风险或进行套期保值。
期货交易规则与流程
总结词
期货交易具有严格的交易规则和流程，包括保证金制度、逐日盯市、交割制度等。
卖出看跌期权策略
当预期标的资产价格下跌时，卖出看跌期权获得赚取收益的权利，但获得权利金。
组合策略
跨式期权组合策略
同时买入相同行权价格的看涨和看跌期权，以获得赚取收益的权利，但需支付权利金。
宽跨式期权组合策略
同时买入不同行权价格的看涨和看跌期权，以获得赚取收益的权利，但需支付权利金。
06
04
Theta
衡量期权价格对Rho
衡量期权价格对无风险利率的敏感度。
风险度量与控制
风险度量
通过计算期权价格的敏感性指标，如Delta、 Gamma、Theta、Vega和Rho等，来评估期权的风险敞口。
风险控制
通过设置止损点、动态调整持仓结构、使用对冲策略等方式，降低或消除期权交易的风险敞口。
期权风险管理
希腊字母及其应用
希腊字母
包括Delta、Gamma、Theta、Vega和Rho等，用于描述期权价格变动与标的资产价格、波动
率、剩余到期时间等变量的敏感性。
01
Gamma
衡量Delta对标的资产价格的敏感度。
03
Vega
衡量期权价格对波动率的敏感度。
05
02
Delta
衡量标的资产价格变动对期权价格的影响程度。
期货期权及其衍生品配套(全34章 )ch01ppt课件

期货期权及其衍生品配套课件(全34章)Ch09.ppt

Both are worth max(ST , K ) at the maturity of the options They must therefore be worth the same today. This means that
c + Ke -rT = p + S0
Options, Futures, and Other Derivatives, 7th International
C : American Call option price
P : American Put option price
ST :Stock price at option maturity
D : Present value of dividends during option’s life
r : Risk-free rate for maturity T with cont comp
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
7
Lower Bound for European Put Prices; No Dividends
(Equation 9.2, page 208)
p= 1 ?
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
10
Early Exercise
4
Calls: An Arbitrage Opportunity?

期货期权及其衍生品配套课件(全34章)Ch09.ppt

Variable c
p
CP
S0 K
–+
– +
–+
– +
T
? ? ++
r D
–++
–+ +
–++
–+ +
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
3
American vs European Options
Consider the following 2 portfolios: Portfolio A: European call on a stock + PV of the strike price in cash Portfolio C: European put on the stock + the stock
Edition, Copyright © John C. Hull 2008
6
Puts: An Arbitrage Opportunity?
Suppose that
p= 1 T = 0.5 K = 40
S0 = 37 r =5% D =0
Is there an arbitrage opportunity?
Properties of Stock Options
Chapter 9
Options, Futures, and Other Derivatives, 7th International Edition,
Copyright © John C. Hull 2008

期货期权及其衍生品配套课件(全34章)Ch30.ppt

Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
2
The Zero Curve
The process for the instantaneous short rate, r, in the traditional risk-neutral world defines the process for the whole zero curve in this world
Short
r
Rate
r
r
r
Time
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
4
Mean Reversion (Figure 30.1, page 675)
Interest rate HIGH interest rate has negative trend
Interest Rate Derivatives: Model of the Short Rate
Chapter 30
Options, Futures, and Other Derivatives, 7th International Edition,
Copyright © John C. Hull 2008

期货期权及其衍生品配套课件(全34章ch22汇编

A company with an initial credit rating of Baa has a probability of 0.181% of defaulting by the end of the first year, 0.506% by the end of the second year, and so on
The corresponding Moody’s ratings are Aaa, Aa, A, Baa, Ba, B,Caa, Ca, and C
Bonds with ratings of BBB (or Baa) and above are considered to be “investment grade”
What are the default intensities and
unconditional default probabilities for a Caa
rate company in the third year?
Options, Futures, and Other Derivatives, 7th International
Aaa Aa A Baa Ba B Caa-C
1
23
0.000 0.000 0.000
0.008 0.019 0.042
0.021 0.095 0.220
0.181 0.506 0.930
1.205 3.219 5.568
5.236 11.296 17.043
19.476 30.494 39.717
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008

期货期权及其衍生品配套课件(全34章)Ch33.ppt

Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
2
The Problem with using NPV to Value Options
Consider the example from Chapter 11: risk-free rate =12%; strike price = $21
Real Options
Chapter 33
Options, Futures, and Other Derivatives, 7th International Edition,
Copyright © John C. Hull 2008
1
An Alternative to the NPV Rule for Capital Investments
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
3
Correct Discount Rates are Counter-Intuitive
Correct discount rate for a call option is 42.6% Correct discount rate for a put option is –52.5%
Snapshot 33.1; 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.

期货期权及其衍生品配套课件Ch23

Edition, Copyright © John C. Hull 2019
8
Calculation of PV of Payments
Table 23.2 (Principal=$1)
Time (yrs)
1 2 3 4 5 Total
Survival Expected Discount PV of Prob Paymt Factor Exp Pmt 0.9800 0.9800s 0.9512 0.9322s 0.9604 0.9604s 0.9048 0.8690s 0.9412 0.9412s 0.8607 0.8101s 0.9224 0.9224s 0.8187 0.7552s 0.9039 0.9039s 0.7788 0.7040s 4.0704s
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
4
Attractions of the CDS Market
Allows credit risks to be traded in the same way as market risks Can be used to transfer credit risks to a third party Can be used to diversify credit risks
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
2
CDS Structure (Figure 23.1, page 519)

期货期权及其衍生品配套课件(全34章)Ch32.ppt

Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
2
Variations on Vanilla Interest Rate Swaps
Principal different on two sides Payment frequency different on two sides Can be floating-for-floating instead of floating-forfixed It is still correct to assume that forward rates are realized How should a swap exchanging the 3-month LIBOR for 3-month CP rate be valued?
Options, Futures, and Other Derivatives, 7th International
Edition, Copyright © John C. Hull 2008
3
Compounding Swaps (Business Snapshot
32.2, page 723)
Interest is compounded instead of being paid Example: the fixed side is 6% compounded forward at 6.3% while the floating side is LIBOR plus 20 bps compounded forward at LIBOR plus 10 bps. This type of compounding swap can be valued using the “assume forward rates are realized” rule.

课件期货期权其他衍生品第二篇章

但就物质商品的买卖转化成合约的买卖这一点而言，期货合约在外部形态上表现为相关商品的有价证券，这一点与证券市场确有相似之处。
期货合约在外部形态上表现为相关商品的有价证券。
■ 期货市场与股票市场的区别
第二节期货价格理论及经济功能
· 期货价格理论
即持有成本理论，或称仓储价格理论，是由美国著名的期货研究专家沃金在其经典著作《仓储价格理论》一文中提出的。
· 结算机构
■结算机构的性质
结算机构是负责对每日成交的期货合约进行清算，对结算所会员的保证金账户进行调整平衡，负责收取和管理保证金的机构。
结算机构是期货交易的核心和灵魂，建立科学合理的结算体系是期货市场规范化建设的一个重要方面。
■结算机构的模式
根据期货结算机构与期货交易所的关系，一般可以将其分为二种模式：
假设收获期的商品现货价格为P，储存期为t ，储存成本为C，期货价格为F，则有：
F=P+Ct
即商品期货价格等于即期现货价格加上合约到期的储存费用（即持有成本）。
持有成本包括储藏费用、利息、保险费、损耗费。
· 期货市场功能
■期货交易可规避现货价格风险 ■期货交易具有价格发现功能 ■期货交易可缓解价格的波动
负责交割的具体事宜。负责签发运输单据，监督实物交割和单据转让，协助处理在实际货物交割中出现的问题。
负责交易所的宣传、对外教育和培训工作。
审查部信息部
负责审查和监督会员的金融实力、商业信誉，并对有可能成为会员的个人或企业的各种资料进行搜集调查。
负责向经纪商、投资者以及社会公众提供期货信息和资料，以使他们了解期货交易的情况。
财务部
负责收取保证金，监督、审查客户的保证金帐户，密切注视客户财务状况的变动，并负责客户提款等事项。

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Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
11
Putting it all together
PV of expected payments is 4.0704s+0.0426s = 4.1130s
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
4
Attractions of the CDS Market
Allows credit risks to be traded in the same way as market risks Can be used to transfer credit risks to a third party Can be used to diversify credit risks
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
2
CDS Structure (Figure 23.1, page 519)
Default Protection
Credit Derivatives
Chapter 23
Options, Futures, and Other Derivatives 7th International Edition,
Copyright © John C. Hull 2019
1
Credit Default Swaps
A huge market with over $40 trillion of notional principal Buyer of the instrument acquires protection from the seller against a default by a particular company or country (the reference entity) Example: Buyer pays a premium of 90 bps per year for $100 million of 5-year protection against company X Premium is known as the credit default spread. It is paid for life of contract or until default If there is a default, the buyer has the right to sell bonds with a face value of $100 million issued by company X for $100 million (Several bonds are typically deliverable)
Edition, Copyright © John C. Hull 2019
8
Calculation of PV of Payments
Table 23.2 (Principal=$1)
Time (yrs)
1 2 3 4 5 Total
Survival Expected Discount PV of Prob Paymt Factor Exp Pmt 0.9800 0.9800s 0.9512 0.9322s 0.9604 0.9604s 0.9048 0.8690s 0.9412 0.9412s 0.8607 0.8101s 0.9224 0.9224s 0.8187 0.7552s 0.9039 0.9039s 0.7788 0.7040s 4.0704s
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
12
பைடு நூலகம்
Implying Default Probabilities from
CDS spreads
Suppose that the mid market spread for a 5 year newly issued CDS is 100bps per year
Time Default Rec. Expected Discount PV of Exp. (yrs) Probab. Rate Payoff Factor Payoff
0.5 0.0200 0.4 0.0120 0.9753 0.0117
1.5 0.0196 0.4 0.0118 0.9277 0.0109
Buyer, A
90 bps per year
Payoff if there is a default by reference entity=100(1-R)
Default Protection
Seller, B
Recovery rate, R, is the ratio of the value of the bond issued by reference entity immediately after default to the face value of the bond
Edition, Copyright © John C. Hull 2019
10
PV of Accrual Payment Made in Event of a Default. (Table 23.4; Principal = $1)
Time
0.5 1.5 2.5 3.5 4.5 Total
Default Prob 0.0200 0.0196 0.0192 0.0188 0.0184
The breakeven CDS spread is given by
4.1130s = 0.0511 or s = 0.0124 (124 bps)
The value of a swap negotiated some time ago with a CDS spread of 150bps would be 4.1130×0.0150−0.0511 or 0.0106 times the principal.
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
6
Valuation Example (page 520-522)
Conditional on no earlier default a reference entity has a (risk-neutral) probability of default of 2% in each of the next 5 years. (This is a default intensity)
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
7
Unconditional Default and Survival Probabilities (Table 23.1)
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
3
Other Details
Payments are usually made quarterly in arrears
Time (years)
1
Default Survival Probability Probability
0.0200
0.9800
2
0.0196
0.9604
3
0.0192
0.9412
4
0.0188
0.9224
5
0.0184
0.9039
Options, Futures, and Other Derivatives 7th International
2.5 0.0192 0.4 0.0115 0.8825 0.0102
3.5 0.0188 0.4 0.0113 0.8395 0.0095
4.5 0.0184 0.4 0.0111 0.7985 0.0088
Total
0.0511
Options, Futures, and Other Derivatives 7th International
Options, Futures, and Other Derivatives 7th International
Edition, Copyright © John C. Hull 2019
9
Present Value of Expected Payoff (Table 23.3; Principal = $1)
Expected Accr Pmt
0.0100s 0.0098s 0.0096s 0.0094s 0.0092s
Disc Factor 0.9753 0.9277 0.8825 0.8395 0.7985
PV of Pmt
0.0097s 0.0091s 0.0085s 0.0079s 0.0074s 0.0426s
We can reverse engineer our calculations to conclude that the default intensity is 1.61% per year.