John Hull 经典书籍的课件
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金融工程课件4约翰郝尔john hull
n
P(X ≥ 8) =
r =8
n r
pr (1 − p)n −r
Question: Suppose there are M fund managers? How well should the best one do over the 10-year period ifபைடு நூலகம்none of them had any skill?
∞ ∞
E[ X ] =
r =0
r P(X = r ) =
r =0
r
λ r e −λ r!
∞
= = λ = λ
r
r =1 ∞
λr e −λ r!
λr −1 e −λ (r − 1)! r =1 λ r e −λ = λ. r! r =0
5
∞
Bayes’ Theorem
Let A and B be two events for which P(B ) = 0. Then P(A | B ) = = = P(A B ) P(B ) P(B | A)P(A) P (B ) P(B | A)P(A) j P(B | Aj )P(Aj )
M. Haugh
G. Iyengar
Department of Industrial Engineering and Operations Research Columbia University
Conditional Expectations and Variances
Let X and Y be two random variables. The conditional expectation identity says E[X ] = E [E[X |Y ]] and the conditional variance identity says Var(X ) = Var(E[X |Y ]) + E[Var(X |Y )]. Note that E[X |Y ] and Var(X |Y ) are both functions of Y and are therefore random variables themselves.
P(X ≥ 8) =
r =8
n r
pr (1 − p)n −r
Question: Suppose there are M fund managers? How well should the best one do over the 10-year period ifபைடு நூலகம்none of them had any skill?
∞ ∞
E[ X ] =
r =0
r P(X = r ) =
r =0
r
λ r e −λ r!
∞
= = λ = λ
r
r =1 ∞
λr e −λ r!
λr −1 e −λ (r − 1)! r =1 λ r e −λ = λ. r! r =0
5
∞
Bayes’ Theorem
Let A and B be two events for which P(B ) = 0. Then P(A | B ) = = = P(A B ) P(B ) P(B | A)P(A) P (B ) P(B | A)P(A) j P(B | Aj )P(Aj )
M. Haugh
G. Iyengar
Department of Industrial Engineering and Operations Research Columbia University
Conditional Expectations and Variances
Let X and Y be two random variables. The conditional expectation identity says E[X ] = E [E[X |Y ]] and the conditional variance identity says Var(X ) = Var(E[X |Y ]) + E[Var(X |Y )]. Note that E[X |Y ] and Var(X |Y ) are both functions of Y and are therefore random variables themselves.
Hull,经典衍生品教科书第9版,官方ppt,第14章
Chapter 14 Wiener Processes and Itô’s Lemma
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
Stochastic Processes
Describes the way in which a variable such as a stock price, exchange rate or interest rate changes through time Incorporates uncertainties
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
16
ItôProcess (See pages 308)
In an Itô process the drift rate and the variance rate are functions of time dx=a(x,t) dt+b(x,t) dz The discrete time equivalent
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
15
The Example Revisited
A stock price starts at 40 and has a probability distribution of f(40,100) at the end of the year If we assume the stochastic process is Markov with no drift then the process is dS = 10dz If the stock price were expected to grow by $8 on average during the year, so that the year-end distribution is f(48,100), the process would be dS = 8dt + 10dz
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
Stochastic Processes
Describes the way in which a variable such as a stock price, exchange rate or interest rate changes through time Incorporates uncertainties
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
16
ItôProcess (See pages 308)
In an Itô process the drift rate and the variance rate are functions of time dx=a(x,t) dt+b(x,t) dz The discrete time equivalent
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
15
The Example Revisited
A stock price starts at 40 and has a probability distribution of f(40,100) at the end of the year If we assume the stochastic process is Markov with no drift then the process is dS = 10dz If the stock price were expected to grow by $8 on average during the year, so that the year-end distribution is f(48,100), the process would be dS = 8dt + 10dz
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
6
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?
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
6
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?
John Hull课件PPT
(We ignore storage costs and gold lease rate)?
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
1.16
2. Gold: Another Arbitrage Opportunity?
• Over-the-counter (OTC)
– A computer- and telephone-linked network of dealers at financial institutions, corporations, and fund managers – Contracts can be non-standard and there is some small amount of credit risk
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
1.14
Examples of Futures Contracts
• Agreement to: – buy 100 oz. of gold @ US$300/oz. in December (COMEX) – sell £62,500 @ 1.5000 US$/£ in March (CME) – sell 1,000 bbl. of oil @ US$20/bbl. in April (NYMEX)
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
1.6
Forward Contracts
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
1.16
2. Gold: Another Arbitrage Opportunity?
• Over-the-counter (OTC)
– A computer- and telephone-linked network of dealers at financial institutions, corporations, and fund managers – Contracts can be non-standard and there is some small amount of credit risk
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
1.14
Examples of Futures Contracts
• Agreement to: – buy 100 oz. of gold @ US$300/oz. in December (COMEX) – sell £62,500 @ 1.5000 US$/£ in March (CME) – sell 1,000 bbl. of oil @ US$20/bbl. in April (NYMEX)
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
1.6
Forward Contracts
现代大学英语精读 Unit PPT课件
think Bob is a plausible character? • Do you think the friendship between Jimmy and Bob would sur vive after Bob’s arrest?
Give reasons to support your point of view.
settlers moved during the 19th century to establish new farms and new cities. In films it is often shown as a place where cowboys and Native Americans fight each other, and where cowboys use guns rather than law to settle arguments. Therefore, a situation where there are no laws or controls is sometimes described as being like the Wild West.
• Jimmy Wells: • The policeman on the beat moved up the avenue impressively(1)…Tr ying
doors as he went, swinging his club with many clever movements, turning now and then to cast his watchful eye down the peaceful street, the officer, with his strongly built form and light air of superiority, made a fine picture of guardian of the peace. (2)
Give reasons to support your point of view.
settlers moved during the 19th century to establish new farms and new cities. In films it is often shown as a place where cowboys and Native Americans fight each other, and where cowboys use guns rather than law to settle arguments. Therefore, a situation where there are no laws or controls is sometimes described as being like the Wild West.
• Jimmy Wells: • The policeman on the beat moved up the avenue impressively(1)…Tr ying
doors as he went, swinging his club with many clever movements, turning now and then to cast his watchful eye down the peaceful street, the officer, with his strongly built form and light air of superiority, made a fine picture of guardian of the peace. (2)
衍生金融工具概论
相对定价法的基本思想就是利用基础产品价格与衍生 工具价格之间的内在关系，直接根据基础产品价格求 出衍生工具价格。该方法并不关心基础产品价格的确 定，它仅仅把基础产品的价格假定为外生给定的，然 后运用风险中性定价法或无套利定价法为衍生工具定 价
无套利假设
套利是指利用一个或多个市场存在的价格差异，在不 冒任何损失风险且无需投资者自有资金的情况下，获 取利润的行为
John C. Cox, Mark Rubinstein, 1985, Options Markets, Prentice hall.
约翰 马歇尔等，1998, 《金融工程》,清华大学出版社. 宋逢明，1999, 《金融工程原理》,清华大学出版社. 罗伯特 . 默顿等，2001, 《金融工程学案例》,东北财经大学出版社.
金融产品和金融衍生产品
持有金融衍生工具或金融衍生品意味着拥有一 种“或有求偿权”（contingent claims）
商品衍生工具和金融衍生工具
常见的金融衍生产品包括远期、期货、期权和 互换
衍生产品举例：
原油期货 认股权证 抵押贷款衍生证券CDO等
金融衍生品交易是一种“零和博弈” 衍生工具的两面性 衍生工具和金融工程的关系
市场参与者：如何进行投机（Speculating)、 套利(Arbitraging)和套期保值(Hedging)？
四、金融衍生产品的基本定价方法
绝对定价法 相对定价法：无套利定价原理 积木分析法
绝对定价法就是根据金融工具未来现金流的特征，运 用恰当的贴现率将这些现金流贴现成现值，该现值就 是绝对定价法要求的价格。
John Hull, 2002, Fundamentals of Futures and Options Markets, Prentice Hall, 4th ed.
无套利假设
套利是指利用一个或多个市场存在的价格差异，在不 冒任何损失风险且无需投资者自有资金的情况下，获 取利润的行为
John C. Cox, Mark Rubinstein, 1985, Options Markets, Prentice hall.
约翰 马歇尔等，1998, 《金融工程》,清华大学出版社. 宋逢明，1999, 《金融工程原理》,清华大学出版社. 罗伯特 . 默顿等，2001, 《金融工程学案例》,东北财经大学出版社.
金融产品和金融衍生产品
持有金融衍生工具或金融衍生品意味着拥有一 种“或有求偿权”（contingent claims）
商品衍生工具和金融衍生工具
常见的金融衍生产品包括远期、期货、期权和 互换
衍生产品举例：
原油期货 认股权证 抵押贷款衍生证券CDO等
金融衍生品交易是一种“零和博弈” 衍生工具的两面性 衍生工具和金融工程的关系
市场参与者：如何进行投机（Speculating)、 套利(Arbitraging)和套期保值(Hedging)？
四、金融衍生产品的基本定价方法
绝对定价法 相对定价法：无套利定价原理 积木分析法
绝对定价法就是根据金融工具未来现金流的特征，运 用恰当的贴现率将这些现金流贴现成现值，该现值就 是绝对定价法要求的价格。
John Hull, 2002, Fundamentals of Futures and Options Markets, Prentice Hall, 4th ed.
金融工程课件1约翰郝尔john hull
3
Modeling financial markets
Two kinds of market models Discrete time models
Single period models Multi-period models
Continuous time models Discrete time models vs Continuous time models Pros: All important concepts with less sophisticated mathematics Cons: No closed form solutions ... have to resort to numerical calculations. Focus of this course: Discrete time multi-period models Caveat: Some continuous time concepts covered, e.g. the Black-Scholes formula.
A 1+r .
No-arbitrage: c1 ≥ 0 implies c0 ≤ 0, i.e. p ≥
Sell contract at price p and lend A/(1 + r ) at interest rate r Same arguments imply that p ≤
A 1+r
Weak No-Arbitrage: ck ≥ 0 for all k ≥ 1 ⇒ c0 ≤ 0 Strong No-Arbitrage: ck ≥ 0 for all k ≥ 1 and cl > 0 for some l ⇒ c0 < 0
Hull经典衍生品教科书第9版官方PPT,第21章
Binomial trees are frequently used to approximate the movements in the price of a stock or other asset In each small interval of time the stock price is assumed to move up by a proportional amount u or to move down by a proportional amount d
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
3
Movements in Time Dt
(Figure 21.1, page 451)
Su
S
Sd
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Backwards Induction
We know the value of the option at the final nodes We work back through the tree using risk-neutral valuation to calculate the value of the option at each node, testing for early exercise when appropriate
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
3
Movements in Time Dt
(Figure 21.1, page 451)
Su
S
Sd
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Backwards Induction
We know the value of the option at the final nodes We work back through the tree using risk-neutral valuation to calculate the value of the option at each node, testing for early exercise when appropriate
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
会计学原理-约翰·J·怀尔德版-上海交通大学幻灯片PPT
会计学原理-约翰·J·怀尔德 版-上海交通大学幻灯片
PPT
McGraw-Hill/Irwin
本课件PPT仅供大家学习使用 学习完请自行删除，谢谢！ 本课件PPT仅供大家学习使用 学习完请自行删除，谢谢！
© The McGraw-Hill Companies, Inc., 2007
课程要求--教材与辅助资料
The primary external users of financial information are investors and creditors.
Return on Inve s tme nt
Return of Inve s tme nt
教材
Fundamental Accounting Principles (18 edition), John Wild, Kermit Larson and Barbara Chiappetta, McGraw Hill
会计学原理 〔第18版〕， 约翰.J.怀尔德, 克米特.D.拉森, 巴巴拉.基亚佩塔 著, 崔学刚, 饶菁 改编, 中国人民大学出版社
McGraw-Hill/Irwin
© The McGraw-Hill Companies, Inc., 2007
Accounting Information and Stock Price
Best Buy Co. Inc Fiscal Quarter (Feb,11 – May, 10, 2021) Quarterly Earnings Announcement: June
Accountin g
Informatio
of their decisions.
n
Actions (decisions)
PPT
McGraw-Hill/Irwin
本课件PPT仅供大家学习使用 学习完请自行删除，谢谢！ 本课件PPT仅供大家学习使用 学习完请自行删除，谢谢！
© The McGraw-Hill Companies, Inc., 2007
课程要求--教材与辅助资料
The primary external users of financial information are investors and creditors.
Return on Inve s tme nt
Return of Inve s tme nt
教材
Fundamental Accounting Principles (18 edition), John Wild, Kermit Larson and Barbara Chiappetta, McGraw Hill
会计学原理 〔第18版〕， 约翰.J.怀尔德, 克米特.D.拉森, 巴巴拉.基亚佩塔 著, 崔学刚, 饶菁 改编, 中国人民大学出版社
McGraw-Hill/Irwin
© The McGraw-Hill Companies, Inc., 2007
Accounting Information and Stock Price
Best Buy Co. Inc Fiscal Quarter (Feb,11 – May, 10, 2021) Quarterly Earnings Announcement: June
Accountin g
Informatio
of their decisions.
n
Actions (decisions)
金融工程课件5约翰郝尔john hull
107 P P
t=0
t=1
t=2
t=3
A risk-free asset or cash account also available
- $1 invested in cash account at t = 0 worth Rt dollars at time t
3
Some Questions
The 1-Period Binomial Model
a 107 = uS0
p S0 = 100
ah hhhh
hhh hh
1−p
ha 93.46 = dS0
t=0
t=1
Can borrow or lend at gross risk-free rate, R
- so $1 in cash account at t = 0 is worth $R at t = 1
1 2n
But would you pay an infinite amount of money to play this game?
- clear then that (1) does not give correct option price.
5
The St. Petersberg Paradox
Daniel Bernouilli resolved this paradox by introducing a utility function, u (·)
- u (x ) measures how much utility or benefit you obtains from x units of wealth - different people have different utility functions - u (.) should be increasing and concave
金融工程经典书籍
金融工程经典书籍1.Futures, Options and other derivatives--John Hull这本书被称为“华尔街圣经”,不管是找工作还是senior quant都会用到。
John Hull 非常厉害,各个方面都有开创性的成果。
2.Arbitrage theory in continuous time--Tomas Bjork这本书非常适合数学/物理背景的人读,注重数学理论的培养。
3.Financial Calculus--Martin Baxter& Rennie非常薄但是elegant的一本书,1996年,算是比较早了,但是和Hull的书齐名。
4.Financial calculus for finance I II--ShreveShreve的书,非常elegant,非常仔细,适合有数学背景的人读。
I是讲离散模型,II是讲连续模型。
5.Martingale methods in Financial modelling--Musiela & Rutkovski6. Brownian motion and stochastic calculus--Shreve& Karasatz7.Stochastic differential equations--Oksendal8.Stochastic integration and differential equations--Protter9.Numerical analysisJunior quant:10.Concepts and practice of Mathematical Finance--Mark Joshi非常适合刚入行的quant,对于学生不推荐。
非常实用,作者非常聪明。
11. C++ design patterns and derivatives pricing--Mark Joshi对于懂得C++基础的人来说很重要,更重要的是教你学会Monte Carlo。
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.
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.
期权波动率与定价：高级交易策略与技巧(原书第2版)
读书笔记
期权波动率与定价没看透，需要反复验证，希望在实践中取得更优异的结果。 本书仿佛一直暗示：高数学的怎么样，知道数学建模的重要性了吧。 看了很久，感觉还是很多没看懂。 这书对新手来说，有些太难了！但是只要静下心来，反复研读收获还是很大的。 对于期权定价讲解仅限于简单的解读，拓展简单认知足矣，想了解细节应该是不能够的。 这是一本期权理论知识科普+投资技巧相结合的书，对于不懂期权或者刚接触的人来说是一本不错的书籍，不 过专业性还是比较强，读起来可能会比较枯燥，不禁让人回想起了大学《金融工程》上课的情节…。 书写的比较详细吧我老公推荐给我的书但是我第一次接触期权这本书对于小白来说太深奥一次性不能够全部 接纳吸收需要时间。 国内市场不完善，股市大暴跌，大量做空期权，结果证交所一句话全封，一分钱都没出就给了封了，政策风 险太大，而且股指失真，几十年前，股市都扩容几百倍了，而指数失真，现在已注意了，正在改进。 John Hull那本虽然是经典，但是属于入门级大学教材，广泛且浅显，略显枯燥。
精彩摘录
（3）与行权价格相同的短期期权相比，波动率的变化将对长期期权产生更大的影响。
（1）以价格点数的形式，波动率的变化对平值期权的影响将大于相应的实值期权或虚值期权。（2）以百分 比形式，波动率的变化对虚值期权的影响将大于相应的实值期权或平值期权。
事实上，一个Gamma值为负的头寸表明了交易者希望标的市场不变或只是缓慢变动。一个Gamma值为正的头寸 表明了交易者希望标的市场出现大幅显著的变动。
18.4 Theta
5 18.5 Gamma、
Theta和Vega 的最大值
01
19.1一个 风险中性的 世界
02
19.2期权 估值
03
19.3 Delta
第二单元(全单元上课资料,吐血推荐!)-2.ppt
杰 克 伦 敦
热 爱 生 命
·
杰克· 伦敦(1876～1916)
美国著名的小说家，批判现实主义作家。他一生共 创作了约50卷作品，其中最为著名的有《荒野的呼 唤》、《海狼》、《白牙》、《马丁· 伊登》和一系 列优秀短篇小说《老头子同盟》、《北方的奥德 赛》、《马普希的房子》等。被人们称为“美国无 产阶级文学之父”、“美国的马克思”。 杰克· 伦敦是一个自幼当童工，漂泊在海上，跋涉 在雪原，而后半工半读才取得成就的作家。他那带 有传奇浪漫色彩的短篇小说，往往描写太平洋岛屿 和阿拉斯加冰天雪地的土著人和白人生活，大部分 都可说是他短暂一生的历险记。多少年来一直深深 吸引着不同时代、不同经历的读者。《热爱生命》 就曾受到列宁的赞赏，直到逝世的前几天，列宁的 手里还捧着它。
一些你可能不会读的词
骸骨hái 鲦鱼tiáo 窒息zhì 耷拉dā 黏膜nián 提防dī 舐shì 跛bǒ 辗转zhǎn 吮吸shǔn 巉岩chán 躯壳qiào 半身不遂 suí
吹毛求疵cī：故意挑毛病，找差错。 缺点，毛病。 海市蜃楼shèn：比喻虚无缥缈的事物。 踉跄liàng qiàng：走路不稳的样子。
2018/12/8
胜利
需要更完整的资源请到 新世纪教 育网 -
失败
11
逼着他向前走的，是他的生命，因为它不愿意 死。 ……可是，一想到自己要喂到这么一只令人 作呕、只剩下一口气的狼的胃里，他就觉得 非常厌恶。他就是这样吹毛求疵。 ……他会凭着一种奇怪的心灵作用，另外 找到一丝毅力，比较坚强的划着。 ……是纯粹凭着一纸给灌下去的……
2018/12/8
需要更完整的资源请到 新世纪教 育网 -
舌头暗黄，蒙上粗糙的、 半干的粘膜
9
人狼的对峙（相互较量）
热 爱 生 命
·
杰克· 伦敦(1876～1916)
美国著名的小说家，批判现实主义作家。他一生共 创作了约50卷作品，其中最为著名的有《荒野的呼 唤》、《海狼》、《白牙》、《马丁· 伊登》和一系 列优秀短篇小说《老头子同盟》、《北方的奥德 赛》、《马普希的房子》等。被人们称为“美国无 产阶级文学之父”、“美国的马克思”。 杰克· 伦敦是一个自幼当童工，漂泊在海上，跋涉 在雪原，而后半工半读才取得成就的作家。他那带 有传奇浪漫色彩的短篇小说，往往描写太平洋岛屿 和阿拉斯加冰天雪地的土著人和白人生活，大部分 都可说是他短暂一生的历险记。多少年来一直深深 吸引着不同时代、不同经历的读者。《热爱生命》 就曾受到列宁的赞赏，直到逝世的前几天，列宁的 手里还捧着它。
一些你可能不会读的词
骸骨hái 鲦鱼tiáo 窒息zhì 耷拉dā 黏膜nián 提防dī 舐shì 跛bǒ 辗转zhǎn 吮吸shǔn 巉岩chán 躯壳qiào 半身不遂 suí
吹毛求疵cī：故意挑毛病，找差错。 缺点，毛病。 海市蜃楼shèn：比喻虚无缥缈的事物。 踉跄liàng qiàng：走路不稳的样子。
2018/12/8
胜利
需要更完整的资源请到 新世纪教 育网 -
失败
11
逼着他向前走的，是他的生命，因为它不愿意 死。 ……可是，一想到自己要喂到这么一只令人 作呕、只剩下一口气的狼的胃里，他就觉得 非常厌恶。他就是这样吹毛求疵。 ……他会凭着一种奇怪的心灵作用，另外 找到一丝毅力，比较坚强的划着。 ……是纯粹凭着一纸给灌下去的……
2018/12/8
需要更完整的资源请到 新世纪教 育网 -
舌头暗黄，蒙上粗糙的、 半干的粘膜
9
人狼的对峙（相互较量）
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Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.14
Executive Stock Options
continued • They become vested after a period ot time • They cannot be sold • They often last for as long as 10 or 15 years
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.5
Terminology
Moneyness : –At-the-money option –In-the-money option –Out-of-the-money option
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.6
Terminology
(continued)
• • • •
Option class Option series Intrinsic value Time value
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.9
Market Makers
• Most exchanges use market makers to facilitate options trading • A market maker quotes both bid and ask prices when requested • The market maker does not know whether the individual requesting the quotes wants to buy or sell
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.11
Warrants
• Warrants are options that are issued (or written) by a corporation or a financial institution • The number of warrants outstanding is determined by the size of the original issue and changes only when they are exercised or when they expire
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.8
Dividends & Stock Splits
(continued) • Consider a call option to buy 100 shares for $20/share • How should terms be adjusted: – for a 2-for-1 stock split? – for a 5% stock dividend?
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.3
Assets Underlying Exchange-Traded Options
Page 151-152
• • • •
Stocks Foreign Currency Stock Indices Futures
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.13
Executive Stock Options
• Option issued by a company to executives • When the option is exercised the company issues more stock • Usually at-the-money when issued
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.10
Margins (Page 158-159)
• Margins are required when options are sold • When a naked option is written the margin is the greater of: 1 A total of 100% of the proceeds of the sale plus 20% of the underlying share price less the amount (if any) by which the option is out of the money 2 A total of 100% of the proceeds of the sale plus 10% of the underlying share price • For other trading strategies there are special rules
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.16
Convertible Bonds
(continued) • Very often a convertible is callable • The call provision is a way in which the issuer can force conversion at a time earlier than the holder might otherwise choose
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.15
Convertible Bonds
• Convertible bonds are regular bonds that can be exchanged for equity at certain times in the future according to a predetermined exchange ratio
7.1
Mechanics of Options Markets
Chapter 7
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.2
Types of Options
• A call is an option to buy • A put is an option to sell • A European option can be exercised only at the end of its life • An American option can be exercised at any time
Options, Futures, and Other Derivatives, 5th edition © 2002 by s, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.4
Specification of Exchange-Traded Options
• • • • Expiration date Strike price European or American Call or Put (option class)
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.7
Dividends & Stock Splits
(Page 154-155) • Suppose you own N options with a strike price of K : – No adjustments are made to the option terms for cash dividends – When there is an n-for-m stock split, • the strike price is reduced to mK/n • the no. of options is increased to nN/m – Stock dividends are handled in a manner similar to stock splits
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull
7.12
Warrants
(continued) • Warrants are traded in the same way as stocks • The issuer settles up with the holder when a warrant is exercised • When call warrants are issued by a corporation on its own stock, exercise will lead to new treasury stock being issued