Over-the-counter forward contracts and spot price volatility in shipping
口译天下2金融
一级市场上发行的证券和金融工具如股票，债券，期权和期货在另一个市场上供人们买进卖出，这就是二级市场。“二级市场”也指进行旧货交易的二手市场，或因现有产品或资产的功能拓展而产生的二级消费市场。比如，传统市场上玉米的首要功能是生产食品和喂养牲畜，但是其可以生产酒精的功能被发掘后，二级甚或三级消费市场就产生了。此外,证券交易市场和柜台交易市场也属于二级市场。
二级市场上的资产种类繁多，从借贷到股票，从零碎资产到大笔集中资金，从非流动资金到流动资金,各不相同。主要的证券交易所内进行的就是二级市场中流动资产的交易，这种情况下,股票都来自公开募股的公司。像纽约证券交易所，纳斯达克和美国证券交易所之类的交易所为合格的投资者提供了一个集中买卖流动资产的二级市场，而投资者必须拥有可以在这些交易所内流通的证券或股票。大部分的债权和结构产品在场外交易，即直接与对方的经纪人在电话里交易。有时候，贷款交易使用在线借贷交易市场进行。
柜台交易或场外交易是指交易双方直接向对方买卖股票，债券，商品期货或衍生品等金融工具,相对的,场内交易是通过期货交易所或股票交易所等设施进行,这些设施正是为交易而造.在美国,股票的场外交易由报价商开展,报价商们通过粉单报价(由粉单场外交易公司<Pink OTC Markets>操作)和场外柜台交易系统(OTCBB)等交易商之间的报价服务在场外柜台交易系统（OTCBB）和粉单市场上交易。虽然交易所内买卖的股票可以在三级市场上进行场外交易，但是场外交易的股票一般不在任何股票交易所上市交易。在场外柜台交易系统（OTCBB）上报价的股票必须遵守美国证监会（SEC）的规定，而其他场外交易（OTC）股票如粉单证券等没有此类要求，因为这些被归为高级市场类（OTCQX）的股票已经符合粉单场外交易公司（Pink OTC Markets）的信息披露规定。场外交易合同是一份双边契约，根据合同，交易双方商定在未来的某个时间实践某项特定的交易或约定，通常由投资银行直接交给其客户。远期和互换是此类合同的主要类型，多数情况下通过电脑或电话完成。通常情况下，如果合同涉及到衍生品交易，则必须遵守国际掉期业务和衍生投资工具协会的规定。
CFA一级笔记-第九部分 衍生品
CFA一级考试知识点第九部分衍生品衍生品derivative是特殊金融工具，是基于标的资产underlying asset 派生出来的金融产品。
标的资产的交易市场成为现货市场spot market，与衍生品市场相对应。
衍生品与保险合同非常相似。
标的资产类型分为：金融衍生品、实物衍生品、其他衍生品（天气、总统竞选）买方buyer，也称为holder，同时也是衍生品多头或持有多头头寸long position。
卖方seller，也称为writer，同时也是衍生品空头或持有空头头寸short position。
交易所交易市场exchange-traded markets，也称为场内市场：标准化合约、没有违约风险、受到监管、交易透明。
场外市场over-the-counter markets，OTC，做市商扮演重要角色，充当买卖双方对手方，通过低买高卖争取差价。
特点：合约个性化、存在违约风险/交易对手风险、缺少监管、交易不透明。
衍生品类别：远期承诺：远期、期货、互换。
或有索取权contingent claim：单务合同，一方有权利无义务，权利义务不对等，期权。
远期合约forward contracts是场外OTC衍生品合约交易价格事先约定，也称为远期价格forward price，是一种零和博弈。
交割分为：实物交割delivery、现金交割cash settlement/nondeliverable forwards，简称NDFs（俗称补差价contracts for differences）。
期货合约futures contracts是特殊的远期合约，是标准化standardized，且在期货交易所中交易的合约。
因此期货合约流动性更好，并且不容易违约。
期货价格futures price合约中约定的资产未来某一时刻交易的价格。
盯市制度mark to market / daily settlement每日结算制度，结算机构会根据当天的结算价格settlement price来确定收益，确保“当日无负债”。
英文翻译-金融市场学
the menu of choices facing private investors, corporate issuers, and governments in the 1960s was , in retrospect, fairly limited. Corporate issuers relied on bank financing, investment-grade bonds, or common equity shares that were issued, most often, in their local domestic market and denominated in their domestic currency. forward contracts could be used to hedge unanticipated exchange rate changes. Futures contracts for major agricultural and industrial commodities permitted hedging of specific risks in these industries。
The menu of financial choices in the 1990s has become long and complex. A firm wanting a fixed-rate, US$ loan has many alternative means to achieve this basic form of financing. For example, the firm could begin with a bond denominated in pounds, yen, or euros, either in fixed-rate or floating-rate terms issued either in the dornestic or offshore market, and combine this bond with a swap to produce the desired fixed-rate US$ loan. “financial engineering” of this sort has become routine. Corporate issuers and private investors have at their disposal innumerable futures and option contracts (on currencies, commodities, securities, interest rates , and indexes) to acquire or lay off risks associated with economywide shocks (such as a general rise in interest rates ) or with firm -specific events (such as a change in the firm’s credit rating). Beyond these “plain vanilla” contracts, we find their “exotic” offspring such as options on swaps (swaptions), options whose prices depend on where prices have been prior to maturity(pathdependent options ) and options on options. In an environment of volatile exchange rates, interests rates, and securities prices, the demand for new financial instruments and hedging vehicles has soared.The surging volume of activity on new markets is testimony to the importance of these new financial products. In the early 1960s, the eurocurrency and eurobond markets were of negligible size. In 1999, the gross size of the eurocurrency market surpassed $9.5 trillion (more than double the size of the U.S.money supply as measured by M2 ) and the volume of Eurobonds issued reached $1.1 trillion (similar to the volume of new issues in the U.S. Corporate bond market). Equally important, eurocurrency interest rates (the london interbank offer rate , or libor) have become key reference rates for the cost of funds for most corporate and sovereign loans The 1970s witnessed the introduction of futures and options on equities and other financial instruments. By 1990, the notional value of trading in futres and options on equities surpassed the underlying cash markets by a factor of 5-10. The first interest rate and currency swaps were completed in the early 1980s. By 1999, the notional value of swaps outstanding exceeded $45 trillion, and swaps had gained an important place in the menu of capital market products. Greater Volatility as a feature of financial marketsOver the past three decades, financial markets have experienced unusually large price swings. Whether measured in nominal or real (inflation-adjusted ) terms, prices of most financial variables--exchange rates, interest rates, and share prices--and the prices of key commodities reached extreme values in the 1970s and 1980s. Not only did the levels of financial prices take on extreme values, but also the speed and volatility of price movements accelerated. For example, the US$ traded at 3.47 DM/$ in February 1985 compared with 1.75 DM/$ in 1979 and 1989；and the japanese stock market index hit 39000 in december 1989 compared with 15000 in 1989 and 1992. Volatility on this magnitude led to increased demands for financial forecasting. But the difficulty of financial forecasting led to a greater emphasis on risk management. New derivative instruments (such as futures, options, and swaps ) can be used to protect a portfolio against certain kinds of price shocks. But these new instruments themselves may carry their own risks, such as Counterparty risk: the risk that a counterparty will default on a financial obligation.Liguidity risk : the risk that a financial position cannot be sold quickly at prevailing prices.Delivery risk : the risk that a buyer will not deliver payment of funds after a seller has delivered securities or foreign currencies that were purchased.Rollover risk : the risk of being closed out from a financial market and unable to renew (or roll over ) a short-term contract.Each of these risks must be taken into consideration. As some managers and shareholders leamed to their apparent surprise, these same derivative securities carry price risk and may be used for speculation that exposes the counterparties to substantial losses when prices do not move as expected.The surge in derivative transactions with their attendant risks has fostered concern that the system of payments among financial counterparties is more at risk. Systemic risk refers to the possibility that a default by one counterparty somewhere in the world could provoke a ripple or cascade effect, jeopardizing the integrity of the international banking and financial system. While a growing number of firms have lost substantial amounts in connection with derivatives transactions (pushing some firms into banktupty), the financial system for trading contracts and for delivery and settlement of payments has held firm. Some of the more sizable financial debacles of recent years are listed in box 1.1Increased competition within and among financial marketsFinally, the last three decades have brought a higher degree of competition in numerous respects. Countries are competing with one another so that financial activities (such as underwriting, trading, fund management, or simply back-office administrative work) can be performed within their borders. Within a country , equity exchanges compete with one another and futures exchanges compete with equity exchanges and with interbank or over-the-counter trading arrangements. Also within a country, institutions such as commercial banks, investment banks, securities firms, and insurance firms compete with one another for similar lines of business. Even regulators are competing as the securities and exchange commission(SEC) and the Commodity Futures Trading Commission(CFTC) vie for control over the same contracts. Through the bank for international settlements (BIS), however, an agreement to fix capital-adequacy requirements for certain bank products acts to restrict competition among bank regulators while leaving competitive matters in doubt when similar products are offered by nonbanking firms.The transformation of financial markets places new demands on regulators. The product line of banks, for example, has expanded to include large amounts of contingent and off-balance-sheet exposures that were not covered by earlier regulations. The boundaries between banks, securities markets, and futures exchange has been blurred, creating confusion regarding regulatory procedures and responsibities. The removal of barriers to the movement of capital and the expanded capabilities in telecommunications have strengthened the linkages across national financial markets. Creation of a level international playing field suggests the need for consistent and equitable regulation of national financial markets. However, the short history of many of these products and the complexity of the risks involved, especially when the products are held in porfolios, makes it difficult to assess the risks of these new products and activities and to describe the characteristics of prudent regulation.The final point embodies the central problem facing market regulators. As international financial markets become more integrated and homogeneous, it is logical to expect that competitive forces will drive financial market regulations toward uniformity. However, becausethe risks involves are complex, it is difficult for a regulatory body to determine what these uniform standards ought to be. Therefore, uniform (“one size fits all ”) international financial regulations are likely to be too strict or too liberal. By definition, agreement on international financial regulations are likely to be too strict or too liberal. By definition, agreement on international financial regulations stifles international competition among regulators and retards the pace of regulatory adjustments in response to new financial products and retards the pace of regulatory adjustments in response to new financial products and environmental change. The central problem facing regulators is whether national financial policies and regulations ought to be harmonized or left free to adjust to each country’s individual environment and interests. Financial crises and contagion among international financial marketsAnother important aspect in the transformation of international financial markets comes from the speed, severity, and scope of market reactions. As we will discuss further in this chapter, policymakers who try to stimulate growth through either expansionary monetary or fiscal policy must face an external constraint imposed by a pegged exchange rate or a limit on how much can be borrowed from foreigners. Throughtout most of the post-word war 2 period, imbalabces resulting from differences in national economic polices or macroeconomic performance were slow to develop. Capital mobility was limited, and there was less opportunity for capital flight. At some point, the overstretched country would devalue (by 10 percent, 20 percent, or so) and the cycle would start again---with no great headlines, no great drop in national income, and no knock-on effects to neighboring countries.Over the last 10 years, the nature of international financial adjustment has changed. With the increase in size and mobility of capital internationally, a substantial amount of national debts may be to foreigners, denominated in foreign currencies（$,￥，or DM）and in practice these debts are often short-term. As long as foreigners feel confident about the macroeconomic performance of a country, existing short-term debts are rolled over and new capital flows may follow thus furthering the expansion.However, any event that shakes confidence (a corporate failure, a bank failure, a commodity price drop, a political speech, or a scandal ) could halt the flow of capital and jeopardize the rollover of debt on existing terms. A scenario of this sort triggers a demand for international reserves,ehich are limited supply at the central bank. Once the supply of international reserves is threatened, the country’s central bank may be forced to step aside, allowing the currency to depreciate without any assurance of where the next stable anchor will be. We can call this a currency crisis. Because bank debts are in foreign currencies, the devaluation worsens bank balance sheets and banks may be forced to stop lending or call in existing loans to raise cash. Domestic banks are likely to fail (i.e, a banking crisis is likely ) if these steps are unsuccessful. Thus, the domestic economy may weaken severely following the currency crisis. If other countries have pursued similar macroeconomic strategies, or face simalar macroeconomic conditions, or if foreign lenders feel they are overexposed to simalar risks in other countries, or if trade flows link countries in a region, the process may repeat itself in other countries. The recurrence of crises in other countries is commonly called contagion.Accidents along the international financial superhighwayAutomobiles are considered safe, if driven at prudent speeds by trained drivers. But automobiles can be deadly when the driver is inexperienced, driving too fast for conditions, or drunk behind the wheel.So too with financial instruments and derivative securities. These are generally considered safe and a useful addition to the financial marketplace. But inexperienced or badly informed users, and users who take positions too large relative to their financial capital and market volatility, can easily get into trouble.In the last 10 years, a growing list of market participants have experienced substantial losses stemming from transactions involving financial instruments and derivative securities. These cases have involved participants from all sectors of the markets--from the united states, japan, and germany; from large and small private companies and public institutions; from corporations, banks, and institutional invertors. The surprising element is that all of these oncidents involve institutions and people with access to expertise who should have known the riskiness of their strategies. In many cases, the losses were associated with a single “rogue trader” who managed to conceal losses from colleagues and superiors (usually by being responsible for recording and settling his own trading book) for years.Extending the automobile analogy, a single bad driver often involves other safe drives in accidents. In financial markets today, regulators are concerned that excessive risk taking or lack of adequate safeguards in the use of financial derivatives could impact not only the immediate firms but also their counterparties, customers, and other market participants far removed from the accident scene.。
商务英语常用外汇专业词语标准(2)
商务英语常用外汇专业词语（三）(2)指交割日期不确定在某一天，而允许顾客在某一特定期间内，都可以进行交割事宜的远期外汇交易。
Order: 交易指示单顾客给予交易员或经纪中介商的买卖指示，交易员或经纪中介商根据交易指示单的指示而进场买卖。
基本上交易指示单的型式有停损点指示单、限价指示单、市场价格指示单、时间限制指示单，价格指示单等。
Out of the Money(OTM): 价外若选择权买方立即执行此选择权，则面临远期市场汇率与履约价格之间差额的损失。
就报价币的买权而言，履约价格高于目前远期市场价格。
就报价币的卖权而言，履约价格低于目前远期市场价格。
Outright Forward: 远期直接汇率外汇市场的报价者直接报出远期汇率给询价者。
虽然远期直接汇率是经由即期汇率及换汇汇率计算得到的。
但远期直接汇率的报价者却不分别标明即期汇率及换汇汇率的部分。
Over Bought: 超买或买超(一) 外汇交易中，银行或外汇交易员对某货币的买入金额超过卖出金额者。
(二) 技术分析用语。
指价格上涨时，在技术指标中显示有超涨现象，暗示可能有多头获利回吐，价格极可能回跌的现象。
Over-Night: 当日交割的隔夜拆放资金简称为O/N。
在外汇市场的换汇交易及货币拆放中，以交易日为第一个交割日，而次一营业为第二个交割日。
Overnight Limit: 隔夜限额交易员在营业时间之外，被允许持有的净部位。
隔夜限额设立的目的在于控制营业时间之外，交易员所持有部位的价格波动风险。
Oversold：超卖或卖超(一)外汇交易中，银行或外汇交易员对某货币的卖出金额超过买入金额者。
(二)技术分析用语。
指价格下跌时，在技术指标中显示超跌现象，暗示可能有空头回补，价格极可能回升的现象。
Over-The-Counter Market(OTC)：店头市场，柜台交易市场此种交易形态的债券或股票通常是小规模公司所发行的，或买卖金额较小，而无法以一般市场成交金额的交易方式来成交的。
金融英语第十三章答案
金融英语第十三章答案Chapter13 (exercises)I .Answer the following questions in English.1.Carefully describe a futures contract.A future contract is a blinding agreement between a seller and a buyer to make and to take delivery of the underlying commodity at a specified future date with agreed upon payment terms.Futures contracts are standardized with respect to the delivery month.2.Explain how futures contracts are valued daily,It is possible to calculate a theoretical fair value for a futures contract.The fair value of a futures contract should approximately equal the current value of the underlying shares or index,plus an amount referred to as the “cost of carry”.The full value of the contract is not paid or received when the contract is established-instead both buyer and seller pay a small initialmargin.3.Describe the role of the clearinghouse in futures trading.The clearinghouse,an agency or separate corporation of a futures exchange.The clearinghouse becomes the buyer to each seller and assumes responsibility for protecting buyers and sellers from financial loss by assuring performance on each contract.4. Explain the differences between a hedger and a speculator.The difference between hedgers an speculators is the risk.Hedgers are parties at risk with a commodity or an asset,but speculators trads futures with the objective of making a profit by being on the right side of a price move.5. Give a brief description of the history of futures.Both the histories of futures are focused on that how people have tried to improve the effectiveness of the commercial marketplace. 6. What is key difference between forward and futures?Forward contracts and futures comparison: the former is a standardized contract, OTC, flexible and high transaction cost, risk is big. The latter are standardized contracts, exchange as a medium, investors and unlike forward contracts as the direct trading, risk is small.Options and futures comparison: futures trading both sides has rights and obligations. While the option buyer the right to sell only, only obligation. In addition from the gains and losses, the futures of profit and loss is uncertain, but the option buyer 's loss is the option premium.Ⅱ. Fill in the e ach blank with an appropriate word or expression.1. Futures are binding agreements made between two partiesthrough a regulated futures exchange. Each futures contract specifies the quantity and quality of the item, expirationmonth, the time of delivery and virtually all the detailsof the transaction except price , which the two partiesnegotiate based on current market conditions.2. The clearinghouse, an agency or separate corporation of afutures exchange, is responsible for settlingtrading accounts, collecting and margin monies,regulating delivery and reporting trade data.3. A futures contract is an agreement to purchase or sell acommodity for delivery in the future: ( 1 ) at a price thatis determined at initiation of the contract; (2) whichobligates each party to the contract to the contract at thespecified price; (3) which is used to assume or shift pricerisk ; and(4) which may be satisfied by delivery or offset４. The key to any hedge is that a futures position is taken opposite to the position in the cash market. That is, the nature of cash market position determines the hedge in the futures market.5. Currency futures are standardized contracts that tradelike conventional commodity futures on the floor of a futures exchange.6. These orders,from companies,individuals,and evenmarket-making commercial banks, are happened to the floor ofthe futures exchange.Ⅲ. Translate the following sentences into English.1．商品生产者和经营者在生产和经营过程中，时刻面临着价格波动的风险。
金融外汇买卖相关英语词汇翻译
金融外汇买卖相关英语词汇翻译accepted 承兑accrued interest累计利息advance 放款american style 美式选择权appreciation 升值arbitrage 套利交易asset allocation 资产分配原则asset swap 就持有的资产利息进行交换asset/liability management 资产负债管理assets liquidity 资产的流动性assets safety 资产安全assets yield 资产的获利性at the money (atm) 价平auction 标售authority letter 授权书banker’s acceptance银行承兑汇票basis swap (floating -against floating irs) bear call spread 买权看空价差bear put spread 卖权看空价差bearer form 持有人形式best order 最佳价格交易指示单bid rate 借入利率（或买入价格，汇率）big figure 大数（交易时忽略不报的前几位数）book entry form 无实体形式break-even exchange rate 两平点汇率bretton woods system 布莱登国际货币制度broken date 畸零天期(见odd date)bull call spread 买权看多价差bull put spread 卖权看多价差buy call 买入买权buy or sell forward 买卖远期buy or sell spot 买卖即期buy put 买入卖权buyer 买方calendar spread 水平式价差策略call option 买权calling customer 询价者calling party 询价者cash flow book 现金流量登记薄cash flow gap 现金流量缺口cash flow gap 资金缺口cash flow projection现金流量之预期cash 当日交割cd(certificate of deposit) 存单chain method 联算法chief money dealer首席货币交易员clearing house 清算所commercial hedge 进出口商避险commercial paper商业本票commodity futures trading commission 美国期货交易委员会competitive bid 竞标contract date 定约日contract limit 契约额度contract risk 契约风险counter party 交易对手country limit 国家额度coupon rate 票面利率coupon swap (fixed-against floating irs)cover 补回，冲销covered interest arbitrage 无汇率波动风险的套利操作credit risk 信用风险cross hedge 交叉避险cross rates 交叉汇率（通过第三种货币计算两种货币的汇率）currency future 外汇期货currency futures contracts 外汇期货契约currency futures 外汇期货current yield 当期收益率cut off time 营业截止时间day trading 当日冲销（使当日净部位为零）dealer’s authority 交易权限dealing day 交易日dealing room 交易室dealing ticket 交易单delivery date 交割日direct quotation=price quotation直接报价discount 贴水dj index future 道·琼斯指数期货合约draft 汇票duration 存续期间easy money 低价货币effective interest rate 有效利率engineered swap transaction操纵式换率交易（将买入卖出两个不同交易合并，使其具有换汇交易的效果）european currency unit(ecu)欧洲货币单位exchange control system 外汇管制制度exercise price 履约价格expiry date 到期日face value 面值（股票、票据上记载的名目价值）firm market 行情坚挺的市场firm order 确定指示单fixed exchange rate system 固定汇率制定fixed rate liability 利率固定负债fixing date 指标利率定订基准日flat yield curve 水平收益率曲线floating exchange 浮动汇率制度floor broker 场内经纪商floor trader 场内交易商follow up action 动态策略forward against forward远期对远期换汇交易forward rate agreement（fra）远期利率协定forward rate 远期汇率forward value date 远期外汇到期日ft-se 100 index future 伦敦金融时报指数期货futures 期货fx risk 汇率风险gapping 期差操作general floating 普遍浮动generic swap 标准型的irs 交易gold exchange standard金汇兑本位制度gold export point 黄金输出点gold rush 黄金抢购风gold standard 金本位制度government bonds 政府债券group of twenty 20国委员会hang seng index 恒生估价指数hedging interest rate risk规避利率波动风险hit 询价者以bid rate 卖出被报价币给报价银行holding position 持有部位if order 附条件交易指示单imm 芝加哥国际货币市场in the money (itm) 价内index swap 利率交换indirect quotation=quantity quotation 间接报价inter bank offer rates 银行同业拆放利率interest rate futures 利率期货interest rate parity theory 利率平价理论interest rate return 报酬率interest rate swaps(irs)利率交换intermediary 中间人international payment system 国际支付制度intra day limit 日间额度intra-day trader日间交易者，短线交易员intrinsic value 隐含价值junior money dealer资浅货币交易员libor 伦敦银行同业拆借利率liffe 伦敦国际金融期货交易所line of credit 信用额度line of limit 额度限制liquidity premium流通性风险补贴london inter bank bid rate (libid) 伦敦银行间存款利率long butterfly call spread 买入碟式买权价差long butterfly put spread 买入碟式卖权价差long currency future contract 买入外汇期货契约long straddle 买入跨式部位，下跨式部位long strangle 买入不同履约价格的跨式部位margin call 追加保证金margin trading 保证金交易mark to market 调整至市场价market order 市场价格指示单mismatch gapping 到期缺口money market swap irs持有时间短于两年者money position 货币部位long position 买超或长部位（借入的金额大于贷）monthly limit 每月限额multiple currency reserve system多种货币准备制度nasdaq index future 纳斯达克指数期货near the money 价近negative yield curve 负收益率曲线negotiable certificate of deposit 可转让定期存单net mismatch 净缺口nikki index future 日经指数期货nominal interest rate 名目利率nominal interest rate名目利率（票面或双方约定的利率，减通货膨胀等于实质利率）non earning asset 非利率敏感资产non profitable liability非利率敏感负债non reference currency 报价币notional amount 承作金额odd date（odd maturity）畸零天期，畸零期（fx交易非整周整月的日期，如10天，40天）off-balance sheet 表外交易工具（衍生性金融产品）offer rate 贷放利率（或卖出价格，汇率）offset 对冲，轧平open spot net position 即期净部位operation risk 作业风险option date forward 任选交割日的远期汇率option 选择权options reserve 选择权保留额度order 交易指示单out of the money(otm) 价外outright forward 远期直接汇率over the counter店头市场，柜台交易市场overall limit 总合限额overbought 买超overnight(o/n) 当日交割之隔夜拆放oversold 卖超par 报价与被报价币的利率相同，换汇汇率为零。
期权期货及衍生品 约翰赫尔 第九版 课后答案HullOFOD9eSolutionsCh10
CHAPTER 10Mechanics of Options MarketsPractice QuestionsProblem 10.1.An investor buys a European put on a share for $3. The stock price is $42 and the strike price is $40. Under what circumstances does the investor make a profit? Under what circumstances will the option be exercised? Draw a diagram showing the variation of the investor’s profit with the stock price at the maturity of the option.The investor makes a profit if the price of the stock on the expiration date is less than $37. In these circumstances the gain from exercising the option is greater than $3. The option will be exercised if the stock price is less than $40 at the maturity of the option. The variation of the investor’s profit with the s tock price in Figure S10.1.Figure S10.1: Investor’s profit in Problem 10.1Problem 10.2.An investor sells a European call on a share for $4. The stock price is $47 and the strike price is $50. Under what circumstances does the investor make a profit? Under what circumstances will the option be exercised? Draw a diagram showing the variation of the investor’s profit with the stock price at the maturity of the option.The investor makes a profit if the price of the stock is below $54 on the expiration date. If the stock price is below $50, the option will not be exercised, and the investor makes a profit of $4. If the stock price is between $50 and $54, the option is exercised and the investor makes a profit between $0 and $4. The variation of the investor’s profit with the stoc k price is asshown in Figure S10.2.Figure S10.2: Investor’s profit in Problem 10.2Problem 10.3.An investor sells a European call option with strike price of K and maturity T and buys a put with the sam e strike price and maturity. Describe the investor’s position.The payoff to the investor ismax (0)max (0)T T S K K S --,+-,This is T K S - in all circumstances. The investor’s position is the same as a short position in a forward contract with delivery price K .Problem 10.4.Explain why margin accounts are required when clients write options but not when they buy options.When an investor buys an option, cash must be paid up front. There is no possibility of future liabilities and therefore no need for a margin account. When an investor sells an option, there are potential future liabilities. To protect against the risk of a default, margins are required.Problem 10.5.A stock option is on a February, May, August, and November cycle. What options trade on (a) April 1 and (b) May 30?On April 1 options trade with expiration months of April, May, August, and November. On May 30 options trade with expiration months of June, July, August, and November.Problem 10.6.A company declares a 2-for-1 stock split. Explain how the terms change for a call option witha strike price of $60.The strike price is reduced to $30, and the option gives the holder the right to purchase twice as many shares.Problem 10.7.“Employee stock options issued by a company are different from regular exchange-traded call options on the company’s stock because they can affect the capital structure of the company.” Explain this statement.The exercise of employee stock options usually leads to new shares being issued by the company and sold to the employee. This changes the amount of equity in the capital structure. When a regular exchange-traded option is exercised no new shares are issued and the company’s capital structure is not affected.Problem 10.8.A corporate treasurer is designing a hedging program involving foreign currency options. What are the pros and cons of using (a) the NASDAQ OMX and (b) the over-the-counter market for trading?The NASDAQ OMX offers options with standard strike prices and times to maturity. Options in the over-the-counter market have the advantage that they can be tailored to meet the precise needs of the treasurer. Their disadvantage is that they expose the treasurer to some credit risk. Exchanges organize their trading so that there is virtually no credit risk.Problem 10.9.Suppose that a European call option to buy a share for $100.00 costs $5.00 and is held until maturity. Under what circumstances will the holder of the option make a profit? Under what circumstances will the option be exercised? Draw a diagram illustrating how the profit from a long position in the option depends on the stock price at maturity of the option.Ignoring the time value of money, the holder of the option will make a profit if the stock price at maturity of the option is greater than $105. This is because the payoff to the holder of the option is, in these circumstances, greater than the $5 paid for the option. The option will be exercised if the stock price at maturity is greater than $100. Note that if the stock price is between $100 and $105 the option is exercised, but the holder of the option takes a loss overall. The profit from a long position is as shown in Figure S10.3.Figure S10.3:Profit from long position in Problem 10.9Problem 10.10.Suppose that a European put option to sell a share for $60 costs $8 and is held until maturity. Under what circumstances will the seller of the option (the party with the short position) make a profit? Under what circumstances will the option be exercised? Draw a diagram illustrating how the profit from a short position in the option depends on the stock price at maturity of the option.Ignoring the time value of money, the seller of the option will make a profit if the stock price at maturity is greater than $52.00. This is because the cost to the seller of the option is in these circumstances less than the price received for the option. The option will be exercised if the stock price at maturity is less than $60.00. Note that if the stock price is between $52.00 and $60.00 the seller of the option makes a profit even though the option is exercised. The profit from the short position is as shown in Figure S10.4.Figure S10.4:Profit from short position in Problem 10.10Problem 10.11.Describe the terminal value of the following portfolio: a newly entered-into long forward contract on an asset and a long position in a European put option on the asset with the same maturity as the forward contract and a strike price that is equal to the forward price of the asset at the time the portfolio is set up. Show that the European put option has the same value as a European call option with the same strike price and maturity.The terminal value of the long forward contract is:0T S F -where T S is the price of the asset at maturity and 0F is the forward price of the asset at thetime the portfolio is set up. (The delivery price in the forward contract is also 0F .)The terminal value of the put option is:0max (0)T F S -,The terminal value of the portfolio is therefore00max (0)T T S F F S -+-,0max (0]T S F =,-This is the same as the terminal value of a European call option with the same maturity as the forward contract and an exercise price equal to 0F . This result is illustrated in the Figure S10.5.Figure S10.5: Profit from portfolio in Problem 10.11We have shown that the forward contract plus the put is worth the same as a call with the same strike price and time to maturity as the put. The forward contract is worth zero at the time the portfolio is set up. It follows that the put is worth the same as the call at the time the portfolio is set up.Problem 10.12.A trader buys a call option with a strike price of $45 and a put option with a strike price of $40. Both options have the same maturity. The call costs $3 and the put costs $4. Draw a diagram showing the va riation of the trader’s profit with the asset price.Figure S10.6 shows the variation of the trader’s position with the asset price. We can divide the alternative asset prices into three ranges:a) When the asset price less than $40, the put option provides a payoff of 40T S - and thecall option provides no payoff. The options cost $7 and so the total profit is 33T S -.b) When the asset price is between $40 and $45, neither option provides a payoff. There is a net loss of $7.c) When the asset price greater than $45, the call option provides a payoff of 45T S - and the put option provides no payoff. Taking into account the $7 cost of the options, the total profit is 52T S -.The trader makes a profit (ignoring the time value of money) if the stock price is less than $33 or greater than $52. This type of trading strategy is known as a strangle and is discussed in Chapter 12.Figure S10.6: Profit from trading strategy in Problem 10.12Problem 10.13.Explain why an American option is always worth at least as much as a European option on the same asset with the same strike price and exercise date.The holder of an American option has all the same rights as the holder of a European option and more. It must therefore be worth at least as much. If it were not, an arbitrageur could short the European option and take a long position in the American option.Problem 10.14.Explain why an American option is always worth at least as much as its intrinsic value.The holder of an American option has the right to exercise it immediately. The Americanoption must therefore be worth at least as much as its intrinsic value. If it were not anarbitrageur could lock in a sure profit by buying the option and exercising it immediately.Problem 10.15.Explain carefully the difference between writing a put option and buying a call option.Writing a put gives a payoff of min(0)T S K -,. Buying a call gives a payoff ofmax(0)T S K -,. In both cases the potential payoff is T S K -. The difference is that for a written put the counterparty chooses whether you get the payoff (and will allow you to get it only when it is negative to you). For a long call you decide whether you get the payoff (and you choose to get it when it is positive to you.)Problem 10.16.The treasurer of a corporation is trying to choose between options and forward contracts to hedge the corporation’s foreign exchange risk. Discuss the a dvantages and disadvantages of each.Forward contracts lock in the exchange rate that will apply to a particular transaction in the future. Options provide insurance that the exchange rate will not be worse than some level. The advantage of a forward contract is that uncertainty is eliminated as far as possible. The disadvantage is that the outcome with hedging can be significantly worse than the outcome with no hedging. This disadvantage is not as marked with options. However, unlike forward contracts, options involve an up-front cost.Problem 10.17.Consider an exchange-traded call option contract to buy 500 shares with a strike price of $40 and maturity in four months. Explain how the terms of the option contract change when there isa) A 10% stock dividendb) A 10% cash dividendc) A 4-for-1 stock splita) The option contract becomes one to buy 50011550⨯.= shares with an exercise price401.13636=..b) There is no effect. The terms of an options contract are not normally adjusted for cash dividends.c) The option contract becomes one to buy 50042000⨯=, shares with an exercise price of404$10=.Problem 10.18.“If most of the call options on a stock are in the money, it is likely that the stock price has risen rapidly in the last few months.” Discuss this statement.The exchange has certain rules governing when trading in a new option is initiated. These mean that the option is close-to-the-money when it is first traded. If all call options are in the money it is therefore likely that the stock price has increased since trading in the option began.Problem 10.19.What is the effect of an unexpected cash dividend on (a) a call option price and (b) a put option price?An unexpected cash dividend would reduce the stock price on the ex-dividend date. This stock price reduction would not be anticipated by option holders. As a result there would be a reduction in the value of a call option and an increase the value of a put option. (Note that the terms of an option are adjusted for cash dividends only in exceptional circumstances.)Problem 10.20.Options on General Motors stock are on a March, June, September, and December cycle. What options trade on (a) March 1, (b) June 30, and (c) August 5?a)March, April, June and Septemberb)July, August, September, Decemberc)August, September, December, March.Longer dated options may also trade.Problem 10.21.Explain why the market maker’s bid-offer spread represents a real cost to options investors.A “fair” price for the option can reasonably be assumed to be half way between the bid and the offer price quoted by a market maker. An investor typically buys at the market maker’s offer and sells at the market maker’s bid. Each time he or she does this there i s a hidden cost equal to half the bid-offer spread.Problem 10.22.A United States investor writes five naked call option contracts. The option price is $3.50, the strike price is $60.00, and the stock price is $57.00. What is the initial margin requirement?The two calculations are necessary to determine the initial margin. The first gives⨯.+.⨯-=,500(3502573)5950The second gives⨯.+.⨯=,500(350157)4600The initial margin is the greater of these, or $5,950. Part of this can be provided by the initial amount of 50035$1750⨯.=,received for the options.Further QuestionsProblem 10.23.Calculate the intrinsic value and time value from the mid-market (average of bid andoffer) prices the September 2013 call options in Table 1.2. Do the same for the September 2013 put options in Table 1.3. Assume in each case that the current mid-market stock price is $871.30.For strike prices of 820, 840, 860, 880, 900, and 920 the intrinsic values of call options are 51.30, 31.30, 11.30, 0, 0, and 0. The mid-market values of the options are 76.90, 63.40, 51.75, 41.30, 32.45 and 25.20. The time values of the options are given by what is left from themid-market value after the intrinsic value has been subtracted. They are 25.60, 32.10, 40.45, 41.30, 32.45, and 25.20, respectively.For strike prices of 820, 840, 860, 880, 900, and 920, the intrinsic values of put options are 0, 0, 0, 8.70, 28.70, and 48.70. The mid-market values of the options are 24.55, 31.40, 39.65, 49.30, 60.05, and 72.55. The time values of the options are given by what is left from the mid-market value after the intrinsic value has been subtracted. They are 24.55, 31.40, 39.65, 40.60, 31.35 and 23.85, respectively.Note that for both puts and calls the time value is greatest when the option is close to the money.Problem 10.24.A trader has a put option contract to sell 100 shares of a stock for a strike price of $60. What is the effect on the terms of the contract of:(a) A $2 dividend being declared(b) A $2 dividend being paid(c) A 5-for-2 stock split(d) A 5% stock dividend being paid.(a)No effect(b)No effect(c)The put option contract gives the right to sell250 shares for $24 each(d)The put option contract gives the right to sell 105 shares for 60/1.05 = $57.14 Problem 10.25.A trader writes five naked put option contracts, with each contract being on 100 shares. The option price is $10, the time to maturity is six months, and the strike price is $64.(a) What is the margin requirement if the stock price is $58?(b) How would the answer to (a) change if the rules for index options applied?(c) How would the answer to (a) change if the stock price were $70?(d) How would the answer to (a) change if the trader is buying instead of selling the options?(a)The margin requirement is the greater of 500×(10 + 0.2×58) = 10,800 and500×(10+0.1×64) = 8,200. It is $10,800.(b)The margin requirement is the greater of 500×(10+0.15×58) = 9,350 and500×(10+0.1×64) = 8,200. It is $9,350.(c)The margin requirement is the greater of 500×(10+0.2×70-6) = 9,000 and500×(10+0.1×64) = 8,200. It is $9,000.(d)No margin is required if the trader is buyingProblem 10.26.The price of a stock is $40. The price of a one-year European put option on the stock with a strike price of $30 is quoted as $7 and the price of a one-year European call option on the stock with a strike price of $50 is quoted as $5. Suppose that an investor buys 100 shares, shorts 100 call options, and buys 100 put options. Draw a diagram illustrating how the investor’s profit or loss varies wi th the stock price over the next year. How does your answer change if the investor buys 100 shares, shorts 200 call options, and buys 200 put options?Figure S10.7 shows the way in which the investor’s profit varies with the stock price in the first case. For stock prices less than $30 there is a loss of $1,200. As the stock price increases from $30 to $50 the profit increases from –$1,200 to $800. Above $50 the profit is $800. Students may express surprise that a call which is $10 out of the money is less expensive than a put which is $10 out of the money. This could be because of dividends or the crashophobia phenomenon discussed in Chapter 20.Figure S10.8 shows the way in which the profit varies with stock price in the second case. In this case the profit pattern has a zigzag shape. The problem illustrates how many different patterns can be obtained by including calls, puts, and the underlying asset in a portfolio.Figure S10.7:Profit in first case considered Problem 10.26Figure S10.8:Profit for the second case considered Problem 10.26Problem 10.27.“If a company does not do better than its competitors but the stock market goes up, executives do very well from their stock options. This makes no sense” Discuss th is viewpoint. Can you think of alternatives to the usual executive stock option plan that take the viewpoint into account.Executive stock option plans account for a high percentage of the total remuneration received by executives. When the market is rising fast, many corporate executives do very well out of their stock option plans — even when their company does worse than its competitors. Large institutional investors have argued that executive stock options should be structured so that the payoff depends how the company has performed relative to an appropriate industry index. In a regular executive stock option the strike price is the stock price at the time the option is issued. In the type of relative-performance stock option favored by institutional investors, the strike price at time t is 00t S I I where 0S is the company’s stock price at the time theoption is issued, 0I is the value of an equity index for the industry in which the companyoperates at the time the option is issued, and t I is the value of the index at time t . If the company’s performance equals the performance of the industry, the options are alway sat-the-money. If the company outperforms the industry, the options become in the money. If the company underperforms the industry, the options become out of the money. Note that a relative performance stock option can provide a payoff when both the market and the company’s stock price decline.Relative performance stock options clearly provide a better way of rewarding seniormanagement for superior performance. Some companies have argued that, if they introduce relative performance options when their competitors do not, they will lose some of their top management talent.Problem 10.28.Use DerivaGem to calculate the value of an American put option on a nondividend paying stock when the stock price is $30, the strike price is $32, the risk-free rate is 5%, the volatility is 30%, and the time to maturity is 1.5 years. (Choose B inomial American for the “option type” and 50 time steps.)a. What is the option’s intrinsic value?b. What is the option’s time value?c. What would a time value of zero indicate? What is the value of an option with zero time value?d. Using a trial and error approach calculate how low the stock price would have to be for the time value of the option to be zero.DerivaGem shows that the value of the option is 4.57. The option’s intrinsic value is 3230200-=.. The option’s time value is therefore 457200257.-.=.. A time value of zero would indicate that it is optimal to exercise the option immediately. In this case the value of the option would equal its intrinsic value. When the stock price is 20, DerivaGem gives the value of the option as 12, which is its intrinsic value. When the stock price is 25, DerivaGem gives the value of the options as 7.54, indicating that the time value is still positive (054=.). Keeping the number of time steps equal to 50, trial and error indicates the time value disappears when the stock price is reduced to 21.6 or lower. (With 500 time steps this estimate of how low the stock price must become is reduced to 21.3.)Problem 10.29.On July 20, 2004 Microsoft surprised the market by announcing a $3 dividend. Theex-dividend date was November 17, 2004 and the payment date was December 2, 2004. Its stock price at the time was about $28. It also changed the terms of its employee stock options so that each exercise price was adjusted downward to Pre-dividend Exercise Price ClosingPrice 300ClosingPrice$-.⨯The number of shares covered by each stock option outstanding was adjusted upward to⨯Number of Shares Pre-dividend ClosingPrice-.ClosingPrice300$"Closing Price" means the official NASDAQ closing price of a share of Microsoft common stock on the last trading day before the ex-dividend date.Evaluate this adjustment. Compare it with the system used by exchanges to adjust for extraordinary dividends (see Business Snapshot 10.1).Suppose that the closing stock price is $28 and an employee has 1000 options with a strike price of $24. Microsoft’s adjustment involves changing the strike price to ⨯=.and changing the number of options to 100028251120 242528214286⨯=,. The system used by exchanges would involve keeping the number of options the same and reducing the strike price by $3 to $21.The Microsoft adjustment is more complicated than that used by the exchange because it requires a knowledge of the Microsoft’s stock price immediately before the stock goesex-dividend. However, arguably it is a better adjustment than the one used by the exchange. Before the adjustment the employee has the right to pay $24,000 for Microsoft stock that is worth $28,000. After the adjustment the employee also has the option to pay $24,000 for Microsoft stock worth $28,000. Under the adjustment rule used by exchanges the employee would have the right to buy stock worth $25,000 for $21,000. If the volatility of Microsoft remains the same this is a less valuable option.One complication here is that Microsoft’s volatility does not remain the same. It can be expected to go up because some cash (a zero risk asset) has been transferred to shareholders. The employees therefore have the same basic option as before but the volatility of Microsoft can be expected to increase. The employees are slightly better off because the value of an option increases with volatility.。
期货期权期末考试复习必备
1.1 When a trader enters into a long forward contract, she is agreeing to buy the underlying asset for a certain price at a certain time in the future. When a trader enters into a short forward contract, she is agreeing to sell the underlying asset for a certain price at a certain time inthe future.1.2. A trader is hedging when she has an exposure to the price of an asset and takes a position in a derivative to offset the exposure. In a speculation the trader has no exposure to offset. She is betting on the future movements in the price of the asset. Arbitrage involves taking a position in two or more different markets to lock in a profit.1.3. In the first case the trader is obligated to buy the asset for $50. (The trader does not havea choice.) In the second case the trader has an option to buy the asset for $50. (The trader does not have to exercise the option.)1.4. The investor is obligated to sell pounds for 1.4000 when they are worth 1.3900. The gain is (1.4000-1.3900) ×100,000 = $1,000.The investor is obligated to sell pounds for 1.4000 when they are worth 1.4200. The loss is (1.4200-1.4000)×100,000 = $2,0001.5. You have sold a put option. You have agreed to buy 100 shares for $40 per share if the party on the other side of the contract chooses to exercise the right to sell for this price. The option will be exercised only when the price of stock is below $40. Suppose, for example, that the option is exercised when the price is $30. You have to buy at $40 shares that are worth $30; you lose $10 per share, or $1,000 in total. If the option is exercised when the price is $20, you lose $20 per share, or $2,000 in total. The worst that can happen is that the price of the stock declines to almost zero during the three-month period. This highly unlikely event would cost you $4,000. In return for the possible future losses, you receive the price of the option from the purchaser.1.6 One strategy would be to buy 200 shares. Another would be to buy 2,000 options. If the share price does well the second strategy will give rise to greater gains. For example, if the share price goes up to $40 you gain [2000($40$30)]$5800$14200,⨯--,=,from the second strategy and only 200($40$29)$2200⨯-=,from the first strategy. However, if the share price does badly, the second strategy gives greater losses. For example, if the share price goes down to $25, the first strategy leads to a loss of 200($29$25)$800⨯-=, whereas the second strategy leads to a loss of the whole $5,800 investment. This example shows that options contain built in leverage.1.7 The difference between Exchanges and Over-the-Counter Markets is that in an exchange markets buyers and sellers meet in one central location to conduct trades and in an over the counter market buyers and sellers in different location that are ready to buy or sell over the counter to any one who comes up and are willing to pay the price.1.9 An exchange-traded stock option provides no funds for the company. It is a security sold by one investor to another. The company is not involved. By contrast, a stock when it isfirst issued is sold by the company to investors and does provide funds for the company.1.10 If an investor has an exposure to the price of an asset, he or she can hedge with futures contracts. If the investor will gain when the price decreases and lose when the price increases, a long futures position will hedge the risk. If the investor will lose when the price decreases and gain when the price increases, a short futures position will hedge the risk. Thus either a long or a short futures position can be entered into for hedging purposes.If the investor has no exposure to the price of the underlying asset, entering into a futures contract is speculation. If the investor takes a lo ng position, he or she gains when the asset’s price increases and loses when it decreases. If the investor takes a short position, he or she loses when the asset’s price increases and gains when it decreases.1.11 he farmer can short 3 contracts that have 3 months to maturity. If the price of cattle falls, the gain on the futures contract will offset the loss on the sale of the cattle. If the price of cattle rises, the gain on the sales of the cattle will be offset by the loss on the futures contract. Using futures contracts to hedge has the advantage that it can at no cost reduce risk to almost zero. Its disadvantage is that farmer no longer gains from favourable movements in cattle prices.1.13. The holder of the option will gain if the price of the stock is above $52.50 in March. (This ignores the time value of money.) The option will be exercised if the price of the stock is above $50.00 in March. The profit as a function of the stock price is shown in Figure S1.1.1.14.The seller of the option will lose money if the price of the stock is below $56.00 in June.(This ignores the time value of money.) The option will be exercised if the price of the stock is below $60.00 in June. The profit as a function of the stock price is shown in Figure S1.2.1.16The trader makes a gain if the price of the stock is above $26 in December.1.18. The company could enter into a long forward contract to buy 1 million Canadian dollars in six months. This would have the effect of locking in an exchange rate equal to the current forward exchange rate. Alternatively the company could buy a call option giving it the right (but not the obligation) to purchase 1 million Canadian dollars at a certain exchange rate in six months. This would provide insurance against a strong Canadian dollar in six months while still allowing the company to benefit from a weak Canadian dollar at that time.1.19. The statement means that the gain (loss) to the party with the short position is equal to the loss (gain) to the party with the long position. In aggregate, the net gain to all parties is zero.1.20 The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0074 per yen. The gain is 10000006⨯. millions of dollars or $60,000.The trader sells 100 million yen for $0.0080 per yen when the exchange rate is $0.0091 per yen. The loss is 10000011⨯. millions of dollars or $110,000.1.22 A long position in four month but option can provide insurance against the exchange rate falling below the strike price . It ensures that the foreign currency can be sold at least the strike price.1.24 The arbitrageur should borrow money to buy a certain number of ounces of gold today and short forward contracts on the same number of ounces of gold for delivery in one year. This means that gold is purchased for $500 per ounce and sold for $700per ounce. Assuming the cost of borrowed funds is less than 20% per annum this generates a riskless profit.1.26 The investment in call options entails higher risks but can lead to higher returns. If the stock price stays at $94, an investor who buys call options loses $9,400 whereas an investor who buys shares neither gains nor loses anything. If the stock price rises to $120, the investor who buys call options gains2000(12095)940040600$⨯--=,An investor who buys shares gains100(12094)2600$⨯-=,The strategies are equally profitable if the stock price rises to a level, S , where100(94)2000(95)9400S S ⨯-=--or100S = The option strategy is therefore more profitable if the stock price rises above $100.1.28 The trader has a long European call option with strike price K and a short European put option with strike price K . Suppose the price of the underlying asset at the maturity of the option is T S . If T S K >, the call option is exercised by the investor and the put option expires worthless. The payoff from the portfolio is then T S K -. If T S K <, the call option expires worthless and the put option is exercised against the investor. The cost to the investor is T K S -. Alternatively we can say that the payoff to the investor in this case is T S K - (a negative amount). In all cases, the payoff is T S K -, the same as the payoff from the forward contract. The trader’s position is equivalent to a forward contract with delivery price K . Suppose that F is the forward price. If K F =, the forward contract that is created has zero value. Because the forward contract is equivalent to a long call and a short put, this shows that the price of a call equals the price of a put when the strike price is F .2.3 保证金账户最大的变动范围为($4000-$3000)=$1000,所以当银价格上涨到5.2+1000/5000= $ 5.4每盎司时，将收到保证金催付通知，如果没有及时补足保证金，合约将被强制平仓。
干散货航运市场运费期权定价计算方法研究
干散货航运市场运费期权定价计算方法研究林国龙;尹利贤【摘要】In this paper we establish the theoretical framework for the valuation of the Asian -style options traded in the freight derivatives market. However, due to freight option is an arithmetic average Asian option, spot freight no longer follows a geometric Brownian motion. So, it is difficult to draw out the explicit solutions. The author uses approximate geometric Brownian motion under the discrete - time arithmetic average Asian option price, and then works out the first order moment and second moment, and to find the limit. The results are equal to the first moment and the second moment of the continuous-time arithmetic average Asian options.%采用挪威奥斯陆国际海事交易所推出的运费期权为研究对象,借鉴金融市场中的期权定价方法,建立亚式期权定价的理论框架.运费期权属于算术平均亚式期权,原生资产——运价就不再服从几何布朗运动,也就难以得到显性解.文中用几何布朗运动近似代替离散时间下的算术平均亚式期权,然后求出其一阶矩和二阶矩,并对其求极限,这样得到的结果就与连续情况下算术平均亚式期权价格的一阶矩和二阶矩相等.【期刊名称】《武汉理工大学学报（交通科学与工程版）》【年(卷),期】2012(036)003【总页数】4页(P484-487)【关键词】运费期权;算术平均亚式期权;干散货市场;风险管理【作者】林国龙;尹利贤【作者单位】上海海事大学物流研究中心上海200135;上海海事大学物流研究中心上海200135【正文语种】中文【中图分类】U695.20 引言鉴于干散货航运市场自身的市场特性，其在受到企业自身经营状况的影响外，注定还受到世界经济和政治发展、干散货航运市场的供求关系、投机因素、自然因素等的冲击，这就引起干散货国际航运市场运价的剧烈波动，给市场参与者带来了巨大的经营风险．为此，Tvedt［1］以BIFFEX（波罗的海运费指数期货）为基础建立了一个期权定价模型，给出了航运费率市场的一些特征．Kavussanos和Nomikos［2］提出了关于运价期货市场最优对冲的理论并给出实证研究结果．1992年，远期运费协议（forward freight agreement，FFA）进入市场．Kavussanos［3］与其他学者合作既研究了远期与即期运价之间的波动性关系，也检验了FFA随时间变化的套期保值率在降低运费风险上的有效性．Kavussanos［4］等人就注意到相较于目前干散货FFA的结算价格是基于交割月的最后七个交易日的平均价格，1999年11月以前的干散货FFA的结算价格是基于交割月的最后5个交易日的平均价格．这样的清算方法能很好的模拟船队的现金流，也就能提高对冲能力．Kemna和Vorst［5］通过改变波动率和敲定价格提出了一个几何平均期权的定价解析公式，但是得不出算术平均期权模型．Rogers和Shi［6］提出了用有限差分法来解析亚式期权问题，他们根据比例缩放的性质，将平均亚式期权价格计算简化为解一个二元抛物线偏微分方程．但这种方法仅适用于较低的波动率和较短的到期时间．运费期权的意义在于，它为航运经营者和投资者提供了一种效率更高的航运金融工具．将期权引入航运市场，只是为航运经营者和投资者提供了一种新的选择，而航运经营者和投资者可以根据其对风险的承受程度选择更适合自己的运价交易工具．运费期权既可以在OTC场外交易，也可以选择交易所进行清算．1 定价模型框架1．1 模型的假设条件假设市场投资者能自由进出市场，且借入利率和贷出利率相等，均为无风险利率r．另外，假设存在风险中性测度Q与测度P等价的鞅测度．基本的FFA是一种现金结算合同，等于St的算术平均值与FFA价格F（t，0，T）之差再乘以一个常数D，D不仅取决于价格是按美元／天还是美元／吨计算，D还取决于FFA协议覆盖的日历年的天数以及协议中涉及的船型等．FFA的值可通过T时刻得到的现金流折算得到，并计算鞅测度Q下的条件期望．因为进入FFA市场不需要花费任何成本，因此，可得下式在Black－Scholes环境下，即期和远期价格均服从对数正态分布（或几何布朗运动）．在风险中性世界中，在鞅测度下，原生资产的连续模型是适合几何布朗运动的，因此，用几何布朗运动来描述即期运费的动态性．式中：St为t时刻原生资产（航运运价指数）的现货价格，不可交易；μ，σ均为常数，其中μ为期望回报率，σ为波动率；W t为随机布朗运动．根据Girsanov定理，进行测度变换得到St在风险中性测度Q下的微分为式中：λ＝（μ－σr）为一实值函数，其中r为风险溢价，且r＝式（4）的解即为在鞅测度Q意义下，原生资产价格的运行规律为亚式期权可以看作是欧式期权在远期协议下的一种推广．下面仅以亚式看涨期权为例．亚式看涨期权的价格在到期日T的值依赖于整个路径的均值于是，该期权在到期日的收益为max（St－K）＋．由于在鞅测度Q下，原生资产（航运均价指数）折现价格为一鞅，因此，敲定价格为K的算术平均亚式上涨期权的价格由折现条件期望给出：式中：CF（K，t）为敲定价为K的算术平均亚式看涨期权在时刻t的价格；EQ（·）为在概率测度Q下求期望．1．2 FFA价格的近似计算由式（2）知，FFA价格F（t，0，T）为测度Q 下现货价格S期望的算术平均，即F（t，0，T）由平均价格决定．为计算平均价格，将期权的有效期［0，T］进行n等分，设第i个时刻为T i，则Si为运费在T i时刻的值，则其算术平均价格SA＝根据假设，各个时段的运费价格均遵循几何布朗运动，但算术平均价格SA已不再服从对数正数分布，这样就很难找到SA的密度函数．所以，考虑用对数正态分布Q（t）近似代替运费现货价格的算术平均值SA，从而找到亚式看涨期权价格C（t，T）的近似值．式中：W（t）为维纳过程．由于用Q（t）近似作为SA的近似值，所以参数¯μ，¯σ必须使Q（t）与SA的一阶矩和二阶矩相等．当对n取极限，离散情况就转换成连续情况，有这样，由Q（t）与SA的一阶矩和二阶矩相等，列方程可解得因此，在无风险收益率为¯μ，运费价格St的波动率为¯σ的情形下，初始价格为S0，执行价格为K的欧式看涨期权价格则为由于用几何布朗运动Q（t）＝S0 e X（t），作为SA的近似值，因此用 E ｛［Q（T）－K］＋｝代替E｛［SA－K］＋｝就可得到无风险利率r，波动率σ，初始价格S0和执行价格K的情形下的看涨期权价格C（t，T）的近似值，即为式中：N（x）是标准累积正态分布函数．相应的，看跌期权也可以近似得出．1．3 运费期权价格从式（1）和式（2）可以看出FFA的合约价格F（t，0，T）可以被定义为［0，T］时间段内，时刻t到交付时间T之间价格的算术平均，即亚式期权就是欧式期权在远期协议下的应用．由式（2）知，设定运费期权中存在敲定价格K，且以T为到期日的看涨期权的收益可以等价的表示为类似的，看跌期权的表达式为从金融学理论可知，未定权益期权的价值可由定价测度下的预期收益减去无风险利率产生的收益给出．相应的，对于到期日为T的亚式期权，在t＜T时刻看涨期权的价值C（t，T）和看涨期权价值P（t，T）分别可由以下式子得出：具有固定敲定价格K和交易日期的亚式看涨期权可以表述为同理，相应的看跌期权可以表示为2 实际操作如前所述，FFA合约和运费期权的结算价格均为结算期合同航线的平均价格，而结算期一般为合约月份的最后7个交易日或者整个合约月份．这2种结算程序不会同时使用于一份协议中（尽管在OTC市场上，参与双方可以根据自己的意愿自由协定结算合约），选择合适的固定期对运费期权定价来说是很有用的．假设租船人现有一份0．5 a后到期的看涨期权合约，即期运费为22 500美元／d，敲定价格K＝25 000美元／d，即期运费的隐含波动率为σ＝30%．设定风险中性运费漂移率为λ＝0．03．在实际的定价实例中，将观察到的FFA价格作为输入量，常数D为每个月的日历天数，为便于计算将0．5 a计为180 d，根据之前的公式用EXCEL求解可得相应的日期权价格为1 200美元．如果一个看涨期权在到期时市场的运费价格高于合约中的敲定价格，就可以执行手中这个看涨期权，这时，总的运费率就是该期权执行的敲定价格与期权价格之和．当市场的运费价格低于期权敲定价格的时候，该期权是没有价值的，这时总的运费率就是市场上即期运费率与期权价格之和．通过EXCEL进行蒙特卡洛模拟（模拟10 000次）得到半年后的平均运费为26 562美元，因为高于敲定价格，所以行使期权，那么运费率即为4 717 000美元．如果没有买期权合约，则所付费用为4 781 160美元．这样就实现了套期保值，维护了自己的利益［7－9］．3 结束语考虑到具有固定敲定价格的算术平均亚式期权不能轻易得到显性解，本文将运费期权转化为一类特殊的欧式期权来进行计算期权金．但是在对FFA的价格进行推导的过程中，运费现货价格的算术平均值SA不再服从几何布朗运动，因此采用数学上对连续问题所惯常采用的方法，即转换成离散问题，最后求极限．在此笔者用几何布朗运动近似代替离散时间下的算术平均亚式期权价格，得到其一阶矩和二阶矩后，通过对一阶矩和二阶矩求极限，得到了与连续情况下算术平均价格的一阶矩和二阶矩相等的结果，这样，连续问题就被转换成离散问题，给实际操作带来了便利．但运费期权作为一种新兴的期权，其定价问题仍处于初步探索阶段，如运费期权的其他特性，周期变化，以及隐含波动率的估算本文都没有涉及到，这也是日后值得研究的课题．参考文献［1］Tvedt J．Valuation of a european futures option in the BIFFEX market ［J］．Journal of Futures Markets，1998，18（2）：167－175．［2］Kavussanos M G，Nomikos N．Futures hedging when the structure of the underlying asset changes：the case of the BIFFEX contract ［J］．Journal of Futures Markets，2000，20（23）：775－801．［3］Kavussanos M G，Visvikis I，Roy A．Batchelor，over－the－Counter forward contracts and spot price volatility in shipping ［J］．Transportation Research Part E，2004，40：273－296．［4］Kavussanos M G，Visvikis M A．An investigation of the use of risk management and shipping derivatives［C］∥Proceedings for the annual conference of the International Association of Maritime Economists （IAME），Limassol，Cyprus，2005：23－25 June．［5］Kemna A，Vorst A．A pricing method for options based on average asset values［J］．Journal of Banking and Finance，1990，14：129－133．［6］Rogers L C G，Shi Z．The value of an Asian option［J］．Journal of Applied Probatility，1995，32：1 077－1 088．［7］Dinwoodie，Morris．Tanker forward freight agreements：the future for freight future［J］．Maritime Police and Management，2003，30（1）：45－58．［8］姜礼尚．期权定价的数学模型和方法［M］．北京：高等教育出版社，2003．［9］许子飞．油轮市场亚式期权定价和操作策略研究［D］．大连：大连海事大学经济管理学院，2010．。
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翻译词汇，日积月累计划单列市city specifically designated in the state plan农机具补贴subsidy for agricultural machinery and tools附加税VAT(value-added tax)/extra duties/surtax/super tax/tax surcharge三资企业three kinds of foreign-invested enterprise or ventures 中外合资企业Sino-foreign joint ventures外商独资企业exclusively foreign-owned company in china中外合作企业cooperative business经济萧条economic slump/economic recession/economic depression business depression发展才是硬道理development as a task of overriding importance driven by consumption, investment ,import and export统筹城乡发展coordinate development in rural and urban regions 拓宽农村增收渠道seek new ways to increase farmer's incomes区域协调互动发展机制 a mechanism for promoting balance and interactive development among regions粗放型增长方式the extensive/inefficient mode /model of growth 密集的增长模式the intensive mode of growth国民经济性支柱产业pillar industry of national economy英汉词汇homecoming 同学会agent 代理crowdsourcing 众包lion's share 大部分ecological civilization 生态文明surrealism 超现实主义Central Ballet Troupe 中央芭蕾舞歌舞团myth of China's peaceful rise 中国的和平崛起的神话currency manipulator 货币操纵国sample survey 抽样检查core competiveness 核心竞争力intellectual property infringement 知识产权侵权multi-polar world 多极世界unabridged dictionary 足本词典Chic lit（文学）年轻女性小说缩略语交货前付款CBD（Cash Before Delivery）泛太平洋伙伴关系TPP（trans-pacific partnership）万国邮政联盟UPU（Universal Postal Union）订金CBD（Cash Before Delivery）有线电视CATV（Cable Television）汉英词汇转变经济增长方式the transformation of the economic growth mode弥补外需缺口compensate for weak external demand重点产业调整振兴规划the plan for restructuring and reinvigorating key industries县级基本财力保障机制 a mechanism for ensuring basic funding for county-level governments对外工程承包和劳务合同营业额the total turnover of contracted overseas construction and labor contracts激发经济内在活力stimulate the internal vitality of the economy 消除经济不利影响overcome the adverse effects of imported and structural inflation进出口许可证管理the import and export licensing administration 货物实际进出境口岸the port of the actual entry and exit of the goods进口环节增值税和消费税import value added tax and consumption tax劳动报酬在初次分配中的比重the ratio of worker's incomes in the primary distribution of national income区域发展总体战略the master strategy of regional development 登月舱lunar module服务舱service module指令舱command module英汉词汇reentry module 返回舱propelling module 推进舱orbital module 轨道舱geosynchronous satellite 同步轨道卫星satellite in sun geosynchronous 太阳同步卫星weather satellite 气象卫星recoverable satellite 返回卫星communication satellite 通讯卫星remote sensing satellite 遥感卫星The long marchⅡrocket launcher 长征2号运载火箭low earth orbit 近地轨道orbit the earth 绕地球飞行fine-tune orbit 调整轨道personnel type 人才类型talent competitiveness 人才竞争力缩略语特别行政区SAR（Special Administrative Region）联合国旅游组织WTO（World Tourism Organization）军事委员会CMA（Committee of Military Affairs）仅供参考FRI（for your information）仅供参考FYR（for your reference）汉英词汇人才流失brain drain海外人才overseas talents人才库talent pool人才管理talent management人才政策personnel policy人才发展talent development尊重人才value talent/ talented people党管人才human resources under the Party leadership 党政人才Party and government officials青年英才young talents高素质教育人才high-quality educators海外高层人才high-quality overseas professionals全民健康卫生人才national health professionals高技能人才the highly skilled/highly skilled workers企业经营管理人才enterprise management talents英汉词汇military talents 高素质军事人才professional medical personnel 专业医药人才innovative skilled sci-tech workers 创新性科技人才急需紧缺专门人才professionals in short supplybuilding of talent team 人才队伍建设talent management 人才工作管理体制major projects for talent development 重大人才工程HR= human resources 人力资源overseas Chinese students' home 全球留学人才之家cramming method of teaching 填鸭式教学be released from regular work for study 脱产学习locally-granted student loan 生源地助学贷款pseudo-science 伪科学academic credit system 学分制talent pool 人才贮备汉英词汇保障性住房indemnificatory housing包工头labor contractor首期按揭down payment筒子楼tube-shaped apartment危房dilapidated building违章建筑unapproved construction project样板房model unit活动板房movable plank house/ movable house违章借贷abusive lending包装风险房贷packaging of risky mortgages住房公积金贷款housing accumulation fund/ housing provident fund保障性住房low-income housing/government subsidized housing 小产权房house/apartment with limited/incomplete property rights棚改房housing run-down areas that will undergo renovation一定让人民安居乐业we must ensure peace and security for the people出让、划拨和转让grant, allocation and transfer of right to use land英汉词汇relief fund 救济金under-the-counter deals 开后门pet phrase 口头禅flash mob 快闪族Malthusian Theory of Population 马尔萨斯人口论the Matthew Effect 马太效应rule of thumb 拇指规则door-to-door service 上门服务probationary period 试用期human trafficking 人口贩卖sugar-coated bullet 糖衣炮弹job-hopping 跳槽ostrich policy/ostrichism 鸵鸟政策die-hard fans 铁杆粉丝sister cities 友好城市缩略语首次公开募股IPOs（initial public offerings）中国民航CAAC（Civil Aviation Authority of China）域名服务器DNS（Domain Name Server）亚洲石油公司APC（Asian Petroleum Company）最惠国待遇原则MFNS（Most-Favored-Nation Treatment）汉英词汇邮政储蓄postal savings回扣sales commission/kickback潘多拉魔盒Pandora's box霹雳舞break dancing诺亚方舟Noah‘s Ark软肋soft spot/Achilles’ heel软着陆soft landing汇演joint performance花边新闻tidbit西气东输pipeline for transmitting natural gas from the west to the east政府保障力the government’s capacity for safeguard people’s livelihood开辟了中国特色社会主义道路blaze a trial of socialism with Chinese characteristics生产安全事故workplace accident ; work-related accident/work accident/accident at work/accident due to lack of work safety 行政事业性收费administrative charges/fees/public service charges/fees一次性补偿lump-sum compensation/once-and-for-all compensation/one-off compensation/flat compensation英汉词汇property tax 物业税vacant property 闲置地产complete apartment 现房first/second stage 一期/二期monthly installment payment 月供added-value fees 增值地价depreciation allowances 折旧费policy-related house 政策性住房key zones for development 重点开发区residential property 住宅地产owner-occupied homes /houses 自住型住房消费run-down areas 棚户区commercial housing with price ceilings 限价商品房change hand 房屋转手（易主）jelly-built projects 豆腐渣工程缩略语中国银监会CBRC（China Banking Regulatory Commission）多边贸易谈判MTN（multilateral trade negotiations）国内生产总值GDP（Gross Domestic Product）石油输出国家组织OPEC（Organization of Petroleum Exporting Countries）东南亚国家联盟（东盟）ASEAN（Association of Southeast Asian Nations）汉英词汇观望态度wait-and-watch attitude旧区改造reconstruction of old area楼层建筑面积floor space普通购房者private homebuyer期房forward delivery housing容积率capacity rate商品房commercial /residential building商业地产commercial property商住综合楼commercial/ residential complex社区community首付down payment售后回租（租回已租出财产）leaseback塔楼tower building停车位parking space停车场parking lot英汉词汇land reserves 囤地second-hand house 二手房property ownership certificate 房产证real estate agent 房产中介property bubble 房地产泡沫real estate/property market 房地产市场overheated property sector 房地产市场过热property price/housing price 房价payment by installment 分期付款tenement 分租合住的经济公寓property deed tax 购房契税housing bubble 房地产泡沫land use certificate 土地使用证allowances for repairs and maintenance 维修费speculative property transaction 投机性房产交易缩略语科学技术开发应用咨询委员会ACASTD（Advisory Committee on the Application of Science and Technology Development）联合国可持续发展委员会CSD（Commission on Sustainable Development）粮食及农业组织FAO（Food and Agriculture organization）联合国大会GA（general assembly)国际法院ICJ（International Court of Justice）汉英词汇花钱炫富spend money thoughtlessly and flaunt one's wealth 土豪newly rich and powerful people南水北调工程South-to-North water diversion project政绩考核assess the performance of local authorities生态脆弱fragile eco-system妥善处理敏感问题和分歧properly handle sensitive questions and disputes安居工程housing project for low-income urban residents住房空置率housing vacancy rate地王property king /land king/top bidder廉租房low-rent housing经济实用型住房affordable housing限价房price-capped housing公租房public rental housing按揭购房buy a house on mortgage板楼slap-type apartment building英汉词汇civil service exam 公务员考试interdisciplinary talent 复合型人才college/university entrance exam 高考divergent thinking 发散思维top student 高材生teaching to the test/exam-oriented education 应试教育quality-oriented education 素质教育senior cadre/high-ranking official 高干enrollment expansion 扩招real estate speculator 炒房者unpaid mortgage balance 抵押贷款欠额location classification 地段等级nail household/nail house residents 钉子户planned enrollment 计划内招生correspondence university 函授大学缩略语独联体CIS（Commonwealth of Independence States）东盟自由贸易区AFTA（Asian Free Trade Area）联合国教科文组织UNESCO（United Nations Educational，Scientific，and Cultural Organization）全国人民代表大会NPC(National People's Congress）中华人民共和国PRC（People's Republic of China）汉英词汇各类型，多层次人才队伍 a skilled, diversified and multilevel workforce高级人才high-end professionals/top talents国家中长期人才发展规划纲要national program for medium and long-term talent development中国国际人才交流协会Conference on InternationalExchange of Professionals科教兴国战略和人才强国战略the strategy of reinvigorating China through science, education and human resources文化渗透cultural infiltration玛雅文化Mayan civilization国家非物质文化遗产national intangible cultural heritage以人为本的城镇化human-centered urbanization打破城乡二元经济结构break up the city-country dualistic economic structure释放巨大的内需潜力unleash huge potential in domestic demand 公共文化服务体系public service system of culture国家文化软实力the country’s soft power in cultural fields全民族文明素质the Chinese people‘s civil education对外文化宣传international cultural publicity英汉词汇Trojan Horse 特洛伊木马cultural industry 文化产业cultural undertaking 文化事业hard-disk drive 硬盘驱动器organic nanomaterial 有机（生化）纳米材料lunar rover 月球车live broadcast 直播chief editor 主编candid camera 抓拍镜头special dispatch 专电sulfur dioxide emissions 二氧化硫排放wind break 防风林charm of oriental culture 东方神韵the Oriental Hawaii 东方夏威夷holiday resort 度假村缩略语转基因动物GMA（Genetically Modified Animal）转基因食品GMF（Genetically Modified Food）国家环境保护总局SEPA（State Environmental Protection Administration）联合国气候变化框架公约UNFCCC（The United Nations Framework Convention on Climate Change）中国人民政治协商会议CPPCC（Chinese People's Political Consultative Conference）汉英词汇两岸包机the cross-Straits charter flight历史遗留问题problems left over by history领土管辖权territorial jurisdiction落实共识implement the consensus民间外交people-to people diplomacy白色污染white pollution悬浮颗粒物suspended particles烟尘排放soot emission野生动植物wild animals and plant；wild fauna and flora有毒废料toxic waste加强文化建设加强文化建设strengthen cultural development efforts高雅艺术high art培养青少年思想道德建设cultivate ideals and ethics among young people满足人民群众不断增长的精神文化需求satisfy the people'sever-growing demand for cultural products加强公民道德建设工程carry out the program for improving civic morality英汉词汇joint venture 合资企业gold reserve 黄金储备reciprocal trade agreement 互惠贸易协定exchange risks 汇率风险demand deposit 活期存款judge by default 缺席判决rights of the person 人身权力determine facts 认定事实petition for appeal 上诉状cases involving foreign interests 涉外案件boarding school 寄宿学校education in the home 家庭教育education in home economics 家政教育contingent of teachers 教师队伍innovation in pedagogy 教学方法创新缩略语合格境内机构投资者QDII（Qualified Domestic Institutional Investor）合格境外机构投资者QFII（Qualified Foreign Institutional Investors）计算机辅助教学CAI（computer-aided instruction或computer-assisted instruction）计算机辅助设计CAD（Computer - Aided Design）计算机辅助翻译CAT（Computer Aided Translation）汉英词汇"爱国者"导弹PatriotmissileAA制Dutchtreatment;goDutch百闻不如一见Seeingisbelieving.百慕大三角BurmudaTriangle闭关政策closed-doorpolicy闭卷closed-bookexam冰雕icesculpture本垒打circuitclout,four-master,roundtrip本票cashier'scheque本本主义bookishness吃皇粮"receivesalaries,subsidies,orothersupportedfromthegovernmen t"充值卡rechargeablecard出入平安Safetripwhereveryougo敞蓬轿车open-toppedlimousine畅通工程SmoothTrafficProject英汉词汇deadaccount 呆帐packingcredit(loan) 打包贷款sun-top 吊带衫revokelicense 吊销执照firstinning 第一发球权countdown 倒计时globalvillage 地球村24-hour(service) 全天候all-weatehraircraft 全天候飞机performanceofenterprises 企业效益listingofacompany 企业上市braindrain人才流失competitionfortalentedpeople 人才战administrativeprogram 施政纲领double-edgedsword 双刃剑缩略语有线电视CATV（Cable Television）首席信息主管CIO（Chief Information Officer）注册会计师CPA（Certified Public Accountant）情商EQ（Emotional Quotient）超文本传输协议HTTP（Hyper Text Transfer Protocol）汉英词汇女汉子tough girl, manly woman殡葬改革funeral and interment reform生态安葬an ecological way of burial多功能生态保护实验区multifunction ecological experimentation zone谨言慎行be cautious in words and deeds包二奶have a concubine (originally a Cantonese expression) 变相涨价disguised inflation保证金margins, collateral保证金帐户margin account背投屏幕rear projection screen背黑锅to become a scapegoat不夜城"sleepless city, ever-bright city"不败记录clean record, spotless record存款准备金制度reserve against deposit system粗放式管理extensive management英汉词汇target hitting activities 达标活动grand slam 大满贯paid holiday 带薪假期penalty kick 点球loan loss provision, provisions of risk 风险准备金quota-free products 非配额产品burglarproof door; antitheft door 防盗门real estate evaluator 房产估价师real estate management 房管Time and tide wait for no man 时不我待break a butterfly on the wheel 杀鸡用牛刀be disengaged from work; divorce oneself from one's work 脱产talk show 脱口秀inter-bank borrowing 同业拆借geostationary satellilte 同步卫星缩略语强迫性神经官能症OCD（obsessive-compulsive disorder）艾滋病病毒HIV（human immunodeficiency virus）疯牛病BSE(bovine spongiform encephalopathy)非处方药OTC(over the counter)联合国儿童基金会UNICEF（United Nations International Children'sEmergency Fund）。
国际金融第十三讲 衍生证券
- 空头套期：如果持有一个多头的实物资产被险头寸，
则卖出一个相应的衍生证券，以构造一个空头套期保 值组合
结果：无论市场出现什么样的价格变化，组合资 产保持不变
No. 33
衍生证券的基本特性
高杠杆性 高风险性 高收益性
No. 34
与衍生证券相似的交易过程
汇率为1GBP=1.7500USD 如何套利?
No. 29
期权交易所
芝加哥期权交易所 美国证券交易所ASE 费城证券交易所PSE 欧洲期权交易所EOE 其他
No. 30
期货交易的过程
开仓：建立帐户－存入资金－建立一个期货头寸 盯市：期货是一种基于保证金的交易，具有高杠杆特
征。交易所根据每天交易收盘价格进行保证金的计算 。如果保证金数量低于一定的水平，摧交保证金。如 不及时缴纳保证金，则强化平仓。 平仓：与开仓相反的操作 交割：如果不再交易期间平仓，进入最好交割。交割 即最后进行现货对现金的交易 期权的交易与此类似
交易者的类型
• 套期保值者 • 投机者 • 套利者
No. 26
套期保值举例
一美国公司在6个月内需支付£1000000英 镑进口英国商品 ，决定用外汇远期合约 进行套期保值。
某投资者持有 500 股IBM 股票，现价为 $102 每股，2个月期的执行价为$100 每 股的IBM看跌期权的权利金为 $4，该投 资者购买了5份看跌期权对所持股票进行 套期保值。
一份IBM 欧式看涨期权定义为: 期权价格 = $5, 执行价 = $100, 期限 = 2 个月
Profit ($)
5
110 120 130
0 70 80 90 100
CFA衍生工具(Derivatives)考点解析20200129
CFA衍生工具(Derivatives)考点解析对于很多想参加CFA考试的同学来说，对于CFA的考试内容还不是很了解。
我就为大家分享一下CFA考试的考试科目：1、道德与职业行为标准(Ethics and Professional Standards)2、定量分析(Quantitative)3、经济学(Economics)4、财务报表分析(Financial Statement Analysis)5、公司理财(Corporate Finance)6、权益投资(Equity Investments)7、固定收益投资(Fixed Income)8、衍生工具(Derivatives)9、其他类投资（Alternative Investments）10、投资组合管理(Portfolio Management)Derivatives（金融衍生品）很多CFA考生都认为一级里的Derivatives（金融衍生品）非常难，碰到这个章节就觉得十分头疼。
好在这个部分在考试中占比仅为5%，有些考生甚至采取了丢车保帅的做法。
提醒大家，不必对此产生畏难情绪。
CFA一级考试金融衍生品科目考试以前有一些计算，但现在以定性题目为主，要求考生能理解其中原由，难度有所下降。
随着国内逐渐开放衍生品市场，越来越需要有衍生品专业知识的人才。
这部分的衍生品主要介绍衍生品的一些基本知识，包括衍生品的种类及市场区分，4大类衍生品的基本定价原理，以及简单期权策略。
CFA一级考试的Derivatives（金融衍生品）具体的内容知识点包含1个study session，3个reading。
其中，Reading 57对衍生品市场进行了区别，并对4大类衍生品进行了基本定义；Reading 58讲衍生品的定价和估值的基本原理，并对4大类衍生品的基本定价做了介绍；Reading 59对期权做了进一步分析，介绍两种期权及两种期权策略的应用。
从CFA考试的重要度来看，Reading 58、Reading 59是最重要的，Reading 57其次，其他Reading重要性不大。
最新CFA衍生工具(Derivatives)考点解析
CFA衍生工具(Derivatives)考点解析对于很多想参加CFA考试的同学来说，对于CFA的考试内容还不是很了解。
我就为大家分享一下CFA考试的考试科目：1、道德与职业行为标准(Ethics and Professional Standards)2、定量分析(Quantitative)3、经济学(Economics)4、财务报表分析(Financial Statement Analysis)5、公司理财(Corporate Finance)6、权益投资(Equity Investments)7、固定收益投资(Fixed Income)8、衍生工具(Derivatives)9、其他类投资（Alternative Investments）10、投资组合管理 (Portfolio Management)Derivatives（金融衍生品）很多CFA考生都认为一级里的Derivatives（金融衍生品）非常难，碰到这个章节就觉得十分头疼。
好在这个部分在考试中占比仅为5%，有些考生甚至采取了丢车保帅的做法。
提醒大家，不必对此产生畏难情绪。
CFA一级考试金融衍生品科目考试以前有一些计算，但现在以定性题目为主，要求考生能理解其中原由，难度有所下降。
随着国内逐渐开放衍生品市场，越来越需要有衍生品专业知识的人才。
这部分的衍生品主要介绍衍生品的一些基本知识，包括衍生品的种类及市场区分，4大类衍生品的基本定价原理，以及简单期权策略。
CFA一级考试的Derivatives（金融衍生品）具体的内容知识点包含1个study session，3个reading。
其中，Reading 57对衍生品市场进行了区别，并对4大类衍生品进行了基本定义；Reading 58讲衍生品的定价和估值的基本原理，并对4大类衍生品的基本定价做了介绍；Reading 59对期权做了进一步分析，介绍两种期权及两种期权策略的应用。
从CFA考试的重要度来看，Reading 58、Reading 59是最重要的，Reading 57其次，其他Reading重要性不大。
国际金融英文版课后答案
International Finance 国际金融Notes to the answers:1、All the terms can be found in the text.2、The discussions can be attained by reading the original text.Chapter 1Answers:II. T T F F F T TIII. 1. reserve currency 2. appreciate 3. was pegged to 4. deficit 5. fixed exchange rates 6. floating exchange rates 7. depreciate 8. market forcesIV. 1. Confidence in the ability of the U.S. to redeem dollars for gold began to fall as potential claims against the dollar increased and U.S. gold reserves fell.2.Under the fixed exchange rate system, the value of the dollar was tied to gold through itsconvertibility in to gold at the U.S. Treasury, and other nations’ currencies were tied to the dollar by the maintenance of a fixed rate of exchange.3.IMF has adjusted its role in the exchange rate system in view of the development of thesituation.4.After the collapse of the Bretton Woods System, the task of “rigorous monitoring”theexchange rate policy of member countries fell on the shoulder of IMF.5.Under normal conditions the stabilizing operations were sufficient to contain short-runfluctuations in a currency’s price within the required bounds of 1% of par value and thereby maintain a system of fixed exchange rates.Chapter 2Answers:I. liquid, turnover, due to, hedge, cross trading, electronic broking, outright forwards,Over-the-counter, futures and options, derivatives, remainder.II.. 1. The fundamental changes occurred in post-war world economy. The international flow of commodities, capital and labor is intensifying, thus leading to integration of international markets.1.Often referred to as “financial institutions with a soul”, credit unions are member-ownedcooperatives that offer checking accounts, savings accounts, credit cards, and consumer loans.2.If you think the price of gold will rise, you can buy a most simple kind of financial derivativewhich is called “futures”. If by that time the price really goes up, then you make a gain. But if you make a wrong guess and the price declines, then you suffer a loss.3.Financial derivatives are financial commodities deriving from such spot market products asinterest rate or bond, foreign exchange or foreign exchange rate and stock or stock indexes.There are mainly three types of derivatives: futures, options and swaps, each of which involves a mix of financial contracts.panies and investment funds are using basic currency futures and currency options, onesthat are regarded as traditional hedging products for investors who want to protect their international assets from sharp gains and declines in currency prices.Chapter 3Answers：II. 1. deposit accounts 2. securitization 3. Deregulation 4. consolidation 5. portfolio 6. thrift institutions 7. listing 8. liquidity 9. banking supervision 10. Credit riskIII. 1. Depository institutions 2. commercial banks 3. credit analysis 4. working capital 5. consolidation 6. financing 7. moral hazard 8. Bank supervision and regulation 9. Credit risk 10. Liquidity riskIV. 1. If a bank’s base rate was below money market rates, a customer could borrow from a bank and lend these funds to the money market, thus making a profit on the deal.2.Financing of international trade is one of the basic functions of a commercial bank. Not onlydoes it father deposits (demand, time and savings accounts), but it also grants loans.3.If you have a credit card, you buy a car, eat a dinner, take a trip,a nd even get a haircut bycharging the cost to your account.4.As the central bank and under the leadership of the State Council, the People’s Bank ofChina will formulate and implement monetary policies, execute supervision and control power over the banking industry.5.One of major function of the central bank is the supervision of the clearing mechanism. Areliable clearing mechanism which can settle inter-bank transaction with high efficiency is crucial to a well-operated financial system.Chapter 4 Answers:II. 1．integrity 2. pretext 3. released 4. produce 5. facilities 6. obliged 7. alleging 8. Claims 9. cleared 10. deliveryIII. 1. in favor of 2. consignment 3. undertaking, terms and conditions 4. cleared 5. regardless of 6. obliged to 7. undervalue arrangement 8. on the pretext of 9. refrain from 10. hinges onIV. 1. The objective of documentary credits is to facilitate international payment by making use of the financial expertise and credit worthiness of one or more banks.2.In compliance with your request, we have effected insurance on your behalf and debited youraccount with the premium in the amount of $1000.3.When an exporter is trading regularly with an importer, he will offer open account terms.4.Exporters usually insist on payment by cash in advance when they are trading with oldcustomers.5.Cash in advance means that the exporter is paid either when the importer places his order orwhen the goods are ready for shipment.Chapter 5.II．1. b 2. c 3. c 4. a 5. b 6. b 7. a 8. cIII. 1. guaranteed 2. without recourse 3. defaults 4. on the buyer’s account 5. is equivalent to 6. in question 7. devaluation 8. validity 9. discrepancy 10. inconsistent withChapter 6Answers:II. 1. open account, creditworthiness 2. demand 3. draw on, creditor 4. protest 5. schedule, discrepancies 6. acceptance 7. drawee 8. guranteedIII. 1. collecting bank 2. tenor 3. the proceeds 4. protest 5. deferred payment 6. presentation 7. the maturity date 8. a document of title 9. the shipping documents 10. transshipmentIV. 1. Documentary collection is a method by which the exporter authorizes the bank to collect money from the importer.2.When a draft is duly presented for acceptance or payment but the acceptance or paymentis refused, the draft is said to be dishonored.3.In the international money market, draft is a circulative and transferable instrument.Endorsement serves to transfer the title of a draft to the transferee.4. A clean bill of lading is favored by the buyer and the banks for financial settlementpurposes.5.Parcel post receipt is issued by the post office for goods sent by parcel post. It is both areceipt and evidence of dispatch and also the basis for claim and adjustment if there is any damage to or loss of parcels.Chapter 7II. financing, discounting, factoring, forfaiting, without recourse, accounts receivable, factor, trade obligations, promissory notes, trade receivables, specialized.III. 1. a cash flow disadvantage 2. without recourse 3. negotiable instruments 4. promissory notes 5. profit margin 6. at a discount, maturity, credit risk 7. A bill of exchange, A promissory noteIV. 1. When a bill is dishonored by non-acceptance or by non-payment, the holder then has an immediate right of recourse against the drawer and the endorsers.2.If a bill of lading is made out to bearer, it can be legally transferred without endorsement.3.The presenting bank should endeavor to ascertain the reasons non-payment ornon-acceptance and advise accordingly to the collecting bank.4.Any charges and expenses incurred by banks in connection with any action for protection ofthe goods will be for the account of the principal.5.Anyone who has a current account at a bank can use a cheque.Chapter EightStructure of the Foreign Exchange Market外汇市场的构成1. Key Terms1）foreign exchange：“Foreign exchange” refers to money denomi nated in the currency of anothernation or group of nations.2）payment“payment”is the transmission of an instruction to transfer value that results from a transaction in the economy.3）settlement“set tlement” is the final and unconditional transfer of the value specified in a payment instruction.2. True or False1) true 2) true 3) true 4) true1)Tell the reasons why the dollar is the market's most widely tradedcurrency?key points: U.S.A economic background; the leadership of USD in the world economy ; the role it plays in investment , trade, etc.2)What kind of market is the foreign exchange market?Make reference to the following parts:（8.7 The Market Is Made Up of An International Network of Dealers）Chapter 9Instruments交易工具1. Key Terms1) spot transactionA spot transaction is a straightforward (or “outright”) exchange of one currency for another. The spot rate is the current market price, the benchmark price.Spot transactions do not require immediate settlement, or payment “on the spot.” By convention, the settlement date, or “value date,” is the second business day after the “deal date” (or “trade date”) on which the transaction is agreed to by the two traders. The two-day period provides ample time for the two parties to confirm the agreement and arrange the clearing and necessary debiting and crediting of bank accounts in various international locations.2) American termsThe phrase “American terms” means a direct quote from the point of view of someone located in the United States. For the dollar, that means that the rate is quoted in variable amounts of U.S. dollars and cents per one unit of foreign currency (e.g., $1.2270 per Euro).3) outright forward transactionAn outright forward transaction, like a spot transaction, is a straightforward single purchase/ sale of one currency for another. The only difference is that spot is settled, or delivered, on a value date no later than two business days after the deal date, while outright forward is settled on any pre-agreed date three or more business days after the deal date. Dealers use the term “outright forward” to make clear that it is a single purchase or sale on a future date, and not part of an “FX swap”.4) FX swapAn FX swap has two separate legs settling on two different value dates, even though it is arranged as a single transaction and is recorded in the turnover statistics as a single transaction. The two counterparties agree to exchange two currencies at a particular rate on one date (the “near date”) and to reverse payments, almost always at a different rate, on a specified subsequent date (the “far date”). Effectively, it is a spot transaction and an outright forward transaction going in opposite directions, or else two outright forwards with different settlement dates, and going in opposite directions. If both dates are less than one month from the deal date, it is a “short-dated swap”; if one or both dates are one month or more from the deal date, it is a “forward swap.”5) put-call parity“Put-call parity” says that the price of a European put (or call) option can be deduced from the price of a European call (or put) option on the same currency, with the same strike price and expiration. When the strike price is the same as the forward rate (an “at-the-money” forward), the put and the call will be equal in value. When the strike price is not the same as the forward price, the difference between the value of the put and the value of the call will equal the difference in the present values of the two currencies.2. True or False1) true 2) true 3) true3. Cloze1) Traders in the market thus know that for any currency pair, if the basecurrency earns a higher interest rate than the terms currency, the currency will trade at a forward discount, or below the spot rate; and if the base currency earns a lower interest rate than the terms currency, the base currency will trade at a forward premium, or above the spot rate. Whichever side of the transaction the trader is on, the trader won't gain (or lose) from both the interest rate differential and the forward premium/discount. A trader who loses on the interest rate will earn the forward premium, and vice versa.2) A call option is the right, but not the obligation, to buy the underlyingcurrency, and a put option is the right, but not the obligation, to sell the underlying currency. All currency option trades involve two sides—the purchase of one currency and the sale of another—so that a put to sell pounds sterling for dollars at a certain price is also a call to buy dollars for pounds sterling at that price. The purchased currency is the call side of the trade, and the sold currency is the put side of the trade. The party who purchases the option is the holder or buyer, and the party who creates the option is the seller or writer. The price at which the underlying currency may be bought or sold is the exercise , or strike, price. The option premium is the price of the option that the buyer pays to the writer. In exchange for paying the option premium up front, the buyer gains insurance against adverse movements in the underlyingspot exchange rate while retaining the opportunity to benefit from favorable movements. The option writer, on the other hand, is exposed to unbounded risk—although the writer can (and typically does) seek to protect himself through hedging or offsetting transactions.4. Discussions1)What is a derivate financial instrument? Why is traded?2)Discuss the differences between forward and futures markets in foreigncurrency.3)What advantages do foreign currency futures have over foreigncurrency options?4)What is meant if an option is “in the money”, “out of the money”,or “atthe money”?5)What major international contracts are traded on the ChicagoMercantile Exchange ? Philadelphia Stock Exchange?Chapter 10Managing Risk in Foreign Exchange Trading外汇市场交易的风险管理1. Key Terms1) Market riskMarket risk, in simplest terms, is price risk, or “exposure to (adverse)price change.” For a dealer in foreign exchange, two major elements of market risk are exchange rate risk and interest rate risk—that is, risks of adverse change in a currency rate or in an interest rate.2) VARVAR estimates the potential loss from market risk across an entire portfolio, using probability concepts. It seeks to identify the fundamental risks that the portfolio contains, so that the portfolio can be decomposed into underlying risk factors that can be quantified and managed. Employing standard statistical techniques widely used in other fields, and based in part on past experience, VAR can be used to estimate the daily statistical variance, or standard deviation, or volatility, of the entire portfolio. On the basis of that estimate of variance, it is possible to estimate the expected loss from adverse price movements with a specified probability over a particular period of time (usually a day).3) credit riskCredit risk, inherent in all banking activities, arises from the possibility that the counterparty to a contract cannot or will not make the agreed payment at maturity. When an institution provides credit, whatever the form, it expects to be repaid. When a bank or other dealing institution enters a foreign exchange contract, it faces a risk that the counterparty will not perform according to the provisions of the contract. Between the time of the deal and the time of the settlement, be it a matter of hours, days, or months, there is an extension of credit by both parties and an acceptance of credit risk by the banks or other financial institutions involved. As in the case of market risk, credit risk is one of the fundamental risks to be monitored and controlled in foreign exchange trading. 4) legal risksThere are legal risks, or the risk of loss that a contract cannot be enforced, which may occur, for example, because the counterparty is not legally capable of making the binding agreement, or because of insufficient documentation or a contract in conflict with statutes or regulatory policy.2. True or False1)True 2) true3. Translation1) Broadly speaking, the risks in trading foreign exchange are the same asthose in marketing other financial products. These risks can be categorized and subdivided in any number of ways, depending on the particular focus desired and the degree of detail sought. Here, the focus is on two of the basic categories of risk—market risk and credit risk (including settlement risk and sovereign risk)—as they apply to foreign exchange trading. Note is also taken of some other important risks in foreign exchange trading—liquidity risk, legal risk, and operational risk2) It was noted that foreign exchange trading is subject to a particular form ofcredit risk known as settlement risk or Herstatt risk, which stems in part from the fact that the two legs of a foreign exchange transaction are often settled in two different time zones, with different business hours. Also noted was the fact that market participants and central banks have undertaken considerable initiatives in recent years to reduce Herstatt risk.4. Discussions2)Discuss the way how V AR works in measuring and managing marketrisk?3)Why are banks so interested in political or country risk?4)Discuss other forms of risks which you know in foreign exchange. Chapter 11The Determination of Exchange Rates汇率的决定1. Key Terms1) PPPPurchasing Power Parity (PPP) theory holds that in the long run, exchange rates will adjust to equalize the relative purchasing power of currencies. This concept follows from the law of one price, which holds that in competitive markets, identical goods will sell for identical prices when valued in the same currency.2) the law of one priceThe law of one price relates to an individual product. A generalization of that law is the absolute version of PPP, the proposition that exchange rates will equate nations' overall price levels.3) FEER“fundamental equilibrium exchange rate,” or FEER,envisaged as the equilibrium exchange rate that would reconcile a nation's internal and external balance. In that system, each country would commit itself to a macroeconomic strategy designed to lead, in the medium term, to “internal balance”—defined as unemployment at the natural rate and minimal inflation—and to “external balance”—defined as achieving the targeted current account balance. Each country would be committed to holding its exchange rate within a band or target zone around the FEER, or the level needed to reconcile internal and external balance during the intervening adjustment period.4) monetary approachThe monetary approach to exchange rate determination is based on the proposition that exchange rates are established through the process of balancing the total supply of, and the total demand for, the national money in each nation. The premise is that the supply of money can be controlled by the nation's monetary authorities, and that the demand for money has a stable and predictable linkage to a few key variables, including an inverse relationship to the interest rate—that is, the higher the interest rate, the smaller the demand for money.5) portfolio balance approachThe portfolio balance approach takes a shorter-term view of exchange rates and broadens the focus from the demand and supply conditions for money to take account of the demand and supply conditions for other financial assets as well. Unlike the monetary approach, the portfolio balance approach assumes that domestic and foreign bonds are not perfect substitutes. According to the portfolio balance theory in its simplest form, firms and individuals balance their portfolios among domestic money, domestic bonds, and foreign currency bonds, and they modify their portfolios as conditions change. It is the process of equilibrating the total demand for, and supply of, financial assets in each country that determines the exchange rate.2. True or False1) true 2) true3. Cloze1）PPP is based in part on some unrealistic assumptions: that goods are identical; that all goods are tradable; that there are no transportationcosts, information gaps, taxes, tariffs, or restrictions of trade; and—implicitly and importantly—that exchange rates are influenced only byrelative inflation rates. But contrary to the implicit PPP assumption,exchange rates also can change for reasons other than differences ininflation rates. Real exchange rates can and do change significantly overtime, because of such things as major shifts in productivitygrowth, advances in technology, shifts in factor supplies, changes inmarket structure, commodity shocks, shortage, and booms.2）Each individual and firm chooses a portfolio to suit its needs, based on a variety of considerations—the holder's wealth and tastes, the level ofdomestic and foreign interest rates, expectations of future inflation,interest rates, and so on. Any significant change in the underlying factorswill cause the holder to adjust his portfolio and seek a new equilibrium.These actions to balance portfolios will influence exchange rates.4. Discussions1）How does the purchasing power parity work?2）Describe and discuss one model for forecasting foreign exchange rates.3）Make commends on how good are the various approaches mentioned in the chapter.4）Central banks occasionally intervene in foreign exchange markets. Discuss the purpose of such intervention. How effective is intervention?Chapter 12The Financial Markets金融市场1. Key Terms1）money marketThe money market is really a market for short-term credit, or the option to use someone else's money for a period of time in return for the payment of interest. The money market helps the participants in the economic process cope with routine financial uncertainties. It assists in bridging the differences in the timing of payments and receipts that arise in a market economy.2）capital marketMarkets dealing in instruments with maturities that exceed one year are often referred to as capital markets.3）primary marketThe term “primary market” applies to the original issuance of a credit market instrument. There are a variety of techniques for such sales, including auctions, posting of rates, direct placement, and active customer contacts by a salesperson specializing in the instrument4） secondary marketOnce a debt instrument has been issued, the purchaser may be able to resell it before maturity in a “secondary market.” Again, a number of techniques are available for bringing together potential buyers and sellers of existing debt instruments. They include various types of formal exchanges, informal telephone dealer markets, and electronic trading through bids and offers on computer screens. Often, the same firms that provide primary marketing services help to create or “make” secondary markets.5）RPsIn addition to making outright purchases and sales in the secondary market, entities with money to invest for a brief period can acquire a security temporarily, and holders of debt instruments can borrow short term by selling securities temporarily. These two types of transactions are repurchase agree-ments (RPs) and reverse RPs,respectively. In the wholesale market, banks and government securities dealers offer RPs at competitive rates of return by selling securities under contracts providing for their repurchase from one day to several months later6）BAs 7）CDs (reference to 13.1)8） EurodollarEurodollars are U.S. dollar deposits at banking offices in a country other than the United States.9） EurobankEurobanks—banks dealing in Eurodollar or some other nonlocal currency deposits, including foreign branches of U.S. banks— originally held deposits almost exclusively in Europe, primarily London. While most such deposits are still held in Europe, they are also held in such places as the Bahamas, Bahrain, Canada, the Cayman Islands, Hong Kong, Singapore, and Tokyo, as well as other parts of the world.10）LIBOR (reference to 13.2.2 Certificates of Deposit)London inter-bank offer rate11）mortgage-backed securities12）Eurobond market (details make reference to13.3.3 )The Eurobond market, centered in London, is an offshore market in intermediate- and long-term debt issues. It serves as a source of capital for multinational corporations and for foreign governments. It developed after the United States instituted the interest equalization tax in 1963 to stem capital outflows inspired by relatively low U.S. interest rates.2. True or False1) true 2) true 3) true3. Discussions1) Describe the characteristics of Interest Rate Swap and the role of it in thebank-related financial market.2) What risks are encountered in the swaps markets?3) Discuss one or two specific examples of derivative products and their use.4. Translations1) Markets dealing in instruments with maturities that exceed one year are often referred to as capital markets, since credit to finance investments in new capital would generally be needed for more than one year. The time division is arbitrary. A long-term project can be started with short-term credit, with additional instruments may need to be renewed before a project is completed. Debt instruments that differ in maturity share other characteristics. Hence, the term “capital market” could be –and occasionally is applied to some shorter maturity transactions.2) The secondary market for Treasure securities consists of a network of dealers, brokers, and investors who effect transactions either by telephone or electronically. Telephone trades are generally between dealers and their customers. Electronics trading is arranged through screen-based systems provided by some of the dealers to their customers. It allows selected trades to take place without a conversation. When dealers trade with each other, they generally use brokers. Brokers provide information on screen, but the final trades are made by telephone.Chapter 13Concepts of Financial Assets Value金融资产价值的概念1. Key Terms1) absolute measure of valueAn absolute measure of value is used when one must compare it to a nominal amount: purchase price, amount to invest, target sum of money to raise2) relative measure of valueA relative measure of rate of return is more convenient to use when onewishes to compare one financial asset to a set of numerous alternative assets. A rate of return is the most commonly used relative measure of value.3) discountingFuture benefits must be discounted (or converted) to their present (or today's) value, before they are summed. Discounting is part of the study of time value of money, or actuarial mathematics, and a complete treatment of it can be found in specialized textbook.4) time value of moneyTime value of money studies how amounts of money are made equivalent over time. Converting amounts today into their future equivalent consists in adding interest to principal, i.e. compounding. Converting amounts in the future into today's equivalent consists of charging an interest, i.e. discounting. Thus, discounting is the exact inverse of compounding.5) FV 6) PV 7) annuity8) short term securitiesShort term securities (i.e. securities with maturity less than one year) are sold at a discount (i.e. nominal value less the interest to be earned over the remaining number of days to maturity). There is no coupon, and no additional benefits such as conversion right, but there may be a penalty for early redemption in the case of some bank certificates of deposit.9) P/E ratio (make reference to 15.5.3 --Earnings Multiple or P/E Ratio)Another approach which is used as a short-cut by a large number of investors, is the earnings multiple. It is sometimes referred to as earnings multiplier, and it is most commonly known as price-to-earnings or P/E ratio. In many instances, the approach, rather than being an oversimplification, can be an improvement over the previous format. In its most common presentation, the idea is that the price P of a share should be a multiple m of its earnings per share E. The multiple m is an industry average because it is assumed that all companies in an industry face similar marketing, technological and resource challenges, and thus, should have similar organizational and production patterns.10) intrinsic valueintrinsic value, or difference between market price of the underlying stock and strike price (which is also known as exercise price because it is the price at which an option holder can buy from or sell to the option writer the underlying stock through the options exchange)。
期货期权术语中英文对照
期货期权术语中英文对照一、期货1 Futures market 期货市场2 Futures contract 期货合约3 Financial futures 金融期货4 Commodity futures 商品期货5 Financial futures contract 金融期货合约6 Currency futures contract 货币期货合约7 Interest rate futures contract 利率期货合约8 Stock index futures contract 股票指数期货合约9 Financial forward contract 金融远期合约10 Clearing house 清算所11 Initial margins 初始保证金12 Settlement 交割13 Short seller 卖空者14 The Gilts 金边债券15 Futures delivery 期货交割16 Futures transaction 期货交易17 Hedging mechanism 规避机制18 Market expectation 市场预期19 To defuseattempted monopoly positions 冲破形成的市场垄断状况20 Net settlement status 净结算状况,净结算头寸21 Synthetic financial futures position 综合金融期货头寸22 Status inquiry 信用状况调查23 Stock indexes 股票指数24 Stock index futures 股票指数期货25 Currency futures 外币期货26 Distant futures 远期期货27 Nearby futures 近期期货28 On a discount basis 以折价形式29 A long position 多头部位,利多形势30 A short position 空头部位,短缺头寸31 Short purchase 买空,空头补进32 Shifting risk 转嫁风险,转移风险33 Basis risk 基差风险34 Converge 集聚期货和现货价格35 Swing 变动幅度,摆动,涨跌36 Cross hedge 交叉套做37 Volatile 易变的,不稳定的38 Volatile market 不稳定的市场行情39 Margin money 预收保证金,开设信用证保证金40 position 头寸,交易部位,部位41 Long position 多头寸,买进的期货合同42 Short position 空头43 Exchange position 外汇头寸,外汇动态44 Interest position 利率头寸45 Swap position 调期汇率头寸46 Square position 差额轧平未抵冲的外汇买卖余额的轧平状况47 Brokerage firm 经纪商号48 Security bond 保付单49 Post 登记总帐,过帐50 Brokerage 经纪业,付给经纪人的佣金51 FX futures contract 外汇期货合约52 Foreign currency futures 外汇期货53 Futures price 期货价格54 Go long 入金,多头55 Total FX portfolio 外汇投资总额56 A long position 多头寸,买进的期货合约57 Go short 短缺,卖空,空头58 A short position 空头,卖出的期货合约59 Place an order 订购,下单60 Trading pit 交易场61 Open outcry 公开喊价,公开叫价62 Floor broker 场内经纪人63 Transactions costs 交易费用64 Zero-sum game 零和竞争游戏65 Current futures price 现时的期货价格66 The open interest 未结清权益67 Building agreement 具有约束力的协定68 Pay up 付清,缴清69 In force 法律上的有效的70 Kill a bet 终止赌博71 Settlement price 结算价格72 Date of delivery 交割期73 Point of delivery 交割地点74 Futures commission merchants 期货经纪公司75 Market order 市价订单76 Time order 限时订单77 Opening order 开市价订单78 Closing order 收市价订单79 Basis order 基差订单80 Corners 垄断81 Outright position 单笔头寸82 Direct hedging 直接套做83 Indirect hedging 间接套做84 Short hedging 空头套做85 Long arbitrage 多头套做86 Back spreads 反套利87 Margin call 保证金统治88 Price discovery 价格发现二、期权1 Option 期权,选择权,买卖期权2 Call and put options 买入期权和卖出期权3 Option buyer 期权的买方4 Option seller 期权的卖方5 Underlying securities 标的证券6 Exercise price, striking price 履约价格,认购价格7 Option fee =option premium or premium on option 期权费8 Intrinsic value 实际价值,内部价值9 Intrinsic utility 内在效用10 Arbitrage opportunity 套价机会11 Arbitrage 套购,套利,套汇12 Arbitrage of exchange or stock 套汇或套股13 Speculation on foreign exchange 外汇投机14 Speculation in stock 股票投机15 To be hedging 进行套期保值16 A put option on a debt security 债务证券的卖出期权17 Call options on an equity 权益证券的买入期权18 Cover 弥补,补进卖完的商品等19 Write 签发,签署,承保,编写20 Margin call 追加保证金的通知21 Close out 平仓,结清帐22 Notional sum 名义金额23 Notional principal 名义本金24 Equity portfolio 股票资产25 Predetermined 预先约定的26 Strike price 协定价格27 Put option 卖方期权,看跌期权28 Call option 买方期权,看涨期权29 Open market 公开市场30 Premium 期权费31 Downside 下降趋势32 Open-ended 开口的,无限制的,无限度的33 Out-of-the-money 无内在价值的期权34 In-the-money 有内在价值的期权35 At-the-money 平值期权36 Crop upout 出现,呈现37 Cap 带利率上限的期权38 Floor 带利率下限的期权39 Floor trader 交易员40 Break-even 不亏不盈,收支相抵41 Asymmetry 不对称42 Symmetry 对称43 Sell forward 远期卖出44 Up-front fee 预付费用,先期费用45 Change hands 交换,换手46 Contractual value 合同价格47 Over-the-counter 场外的,不同过交易所的48 Customize 按顾客要求制作49 Futures margin 期货保证金50 Initial margin 初始保证金51 Open position 头寸52 Maintenance margin 最低保证金,维持保证金53 Variation margin 盈亏保证金,变动保证54 Market makers 造市者55 Extrinsic value 外在价值56 Contracts of difference 差异合约57 Market-clearing 市场结算58 Adaptive expectations 适应性预期59 Bid-ask spread 递盘虚盘差价60 Small-order automatic system 小额定单执行系统61 Dealers 批发商62 Dual trading 双重交易63 Mature liquid contracts 到期合约64 Backwardation 现货溢价65 Nearby contract 近期合约66 Short-lived securities 短期有效证券67 Cash-and-carry arbitrage 现货持有套利68 Open positions 敞口头寸69 Uncovered interest arbitrage 未担保利率套利70 Premium 期权权利金71 Call-options 认购期权72 Put-options 认沽期权73 Speculation 投机74 Cross hedging 交叉保值75 Hedging risk 套期保值风险76 Synthetic options 合成期权77 Option purchase price 期权的购进价格78 Options on futures contract 期货合同的期权交易79 Forward swap 远期掉期80 Swap rate 掉期率81 Risk transformation 风险转移82 Contract size 合约容量83 Daily limit 每日涨跌停板84 Double option 双向期权三、市场1 Physical trading现货交易2 Arbitrage 市场间套利3 Basis Price/ Strike Price 基本价格,履约价格4 Bear 卖空者,看跌者5 Bear market 空头市场,熊市6 Bull market7 Bottom 底价：某时间段内的最低价8 Peak 高价：某时间段的最高价9 Business day 交易日10 Primary market 初级市场11 Secondary market 二级市场12 Principal 委托人,货主本人13 Profit Taking 获利回吐14 Prompt 即付15 Rally 回升16 Range 波幅17 Recovery 复苏18 Depression 萧条19 Scalp 小投机,日内多次交易20 Security deposit 保证金21 Session 交易时段22 Settlement price 结算价格23 Short hedge 卖出套期保值24 Long Hedge 买入套期保值25 Speculator 投机者26 Spot 现货27 Spread 价差：两个相关市场之间或相关商品之间的价格差异28 Switching转月：由一个期货合约转为另一个期货合约29 Technical analysis 技术分析法30 Tick size 最小价位31 Time value 时间价值32 Turnover/Volume 交易量33 Variation margin价格变动保证金34 Warehouse receipt 仓单35 American-style options 美式期权36 European-style options 欧式期权37 Arbitration 仲裁38 Assignment 转让39 Average daily volume 平均每日交易量40 Board of trade 交易委员会41 Breakeven 平衡点收支相抵42 Brokerage/Commission 佣金43 Brokerage house 经纪行44 Buy to close 买进平仓45 Buy to open 买入建仓46 Canceling order 取消订单47 Clearing fee 结算费48 Close 收盘、收市49 Closing price 收盘价50 Coupon 票面利率51 Customer margin 客户保证金52 Daily trading limits 日交易限制53 Day trader 当日交易者54 Deferred 延期55 Delivery 交割,交收56 Delivery month 交割月57 Delivery points 交割点58 Equilibrium price 均衡价格59 Exhaustion gap 消耗缺口60 Expanded trading hours 延迟交易时间61 Expiration 到期,截止期限62 Federal funds rate 联邦基金利率63 Financial instrument 金融工具64 Floor trader 场内交易员65 Gross domestic product GDP 国内生产总值66 High limit 涨停价67 Historical volatility 历史波幅68 Index 指数69 Initial margin 原始保证金70 Intrinsic value 内在价值71 Introducing broker IB 中介经纪商72 Lagging indicators 滞后指标73 Last trading day 最后交易日74 Lead month 最近合约月75 Leading indicators 领先指标76 Leverage 杠杆作用77 Limit order 限价委托单78 Liquid 流动性79 Liquidate 平仓,斩仓80 Mark-to-market 逐日结算81 Market order 市价委托单82 Market segment 市场划分83 Market value 市场价值84 Matched trade 配对交易85 Maturity 到期期间86 Notice day 通知日87 Position limit 持仓限额88 Purchasing power 购买力89 Quotation 报价90 Reference price 参考价格91 Resistance line 阻力线92 Retracement 背离93 Support line支撑线94 Symbol 符号95 Target price 目标价格96 Trade balance 贸易收支97 Treasury bill 美国短期国债98 Variable limit 可变限度99 Writer 期权卖家100 Yield 收益率101 Yield curve 收益率曲线102 Yield to maturity 到期收益率。
chapter5currencyderivatives练习
Chapter 5 Currency Derivatives1. Kalons, Inc. is a MNC that frequently imports raw materials from Canada. Kalons is typically invoiced for these goods in Canadian dollars and is concerned that theCanadian dollar will appreciate in the near future. Which of the following is not anappropriate hedging technique under these circumstancesA) purchase Canadian dollars forward.B) purchase Canadian dollar futures contracts.C) purchase Canadian dollar put options.D) purchase Canadian dollar call options.ANSWER: C2. Graylon, Inc., based in Washington, exports products to a German firm and will receive payment of €200,000 in three months. On June1, the spot rate of the euro was $, and the 3-month forward rate was $. On June 1, Graylon negotiated a forward contract with a bank to sell €200,000 forward in three spot rate of the euroon September 1 is $. Graylon will receive $_________ for the euros.A) 224,000B) 220,000C) 200,000D) 230,000ANSWER: BSOLUTION: €200,000 x $ = $220,0003. The one-year forward rate of the British pound is quoted at $, and the spot rate ofthe British pound is quoted at $. The forward ________ is _______ percent.A) discount;B) discount;C) premium;D) premium;p = F–SSANSWER: BSOLUTION: (F/S) – 1 = ($$ – 1 = percent.4. The 90-day forward rate for the euro is $, while the current spot rate of theeuro is$. What is the annualized forward premium or discount of the euroA) percent discount.B) percent premium.C) percent premium.D) percent discount.ANSWER: Cp = F–S ? 360S nSOLUTION: [(F/S) – 1] x 360/90 = percent.5. Thornton, Inc. needs to invest five million Nepalese rupees in its Nepalese subsidiary tosupport local operations. Thornton would like its subsidiary to repay the rupees in oneyear. Thornton would like to engage in a swap transaction. Thus, Thornton would: A) convert the rupees to dollars in the spot market today and convert rupees to dollarsin one year at today's forward rate.B) convert the dollars to rupees in the spot market today and convert dollars to rupees inone year at the prevailing spot rate.C) convert the dollars to rupees in the spot market today and convert rupees to dollars inone year at today's forward rate.D) convert the dollars to rupees in the spot market today and convert rupees to dollarsin one year at the prevailing spot rate.ANSWER: C6. In the U.S., the typical currency futures contract is based on a currency value in termsof:A) euros.B) . dollars.C) British pounds.D) Canadian dollars.ANSWER: B7. Currency futures contracts sold on an exchange:A) contain a commitment to the owner, and are standardized.B) contain a commitment to the owner, and can be tailored to the desire of the owner.C) contain a right but not a commitment to the owner, and can be tailored to the desireof the owner.D) contain a right but not a commitment to the owner, and are standardized. ANSWER: A8. Currency options sold through an options exchange:A) contain a commitment to the owner, and are standardized.B) contain a commitment to the owner, and can be tailored to the desire of the owner.C) contain a right but not a commitment to the owner, and can be tailored to the desire ofthe owner.D) contain a right but not a commitment to the owner, and are standardized. ANSWER: D9. Currency options are traded through the GLOBEX system at the:A) Chicago Board Options Exchange when the trading floor is open.B) Chicago Mercantile Exchange when the trading floor is open.C) Chicago Mercantile Exchange even after the trading floor is closed.D) Philadelphia Exchange even after the trading floor is closed.E) Chicago Board Options Exchange even after the trading floor is closed. ANSWER: C10. Forward contracts:A) contain a commitment to the owner, and are standardized.B) contain a commitment to the owner, and can be tailored to the desire of the owner.C) contain a right but not a commitment to the owner, and can be tailored to the desire of theowner.D) contain a right but not a commitment to the owner, and are standardized. ANSWER: B11. Which of the following is the most likely strategy for a U.S. firm that will be receivingSwiss francs in the future and desires to avoid exchange rate risk (assume the firm has nooffsetting position in francs)A) purchase a call option on francs.B) sell a futures contract on francs.C) obtain a forward contract to purchase francs forward.D) all of the above are appropriate strategies for the scenario described.ANSWER: B12. Which of the following is the most unlikely strategy for a U.S. firm that will bepurchasing Swiss francs in the future and desires to avoid exchange rate risk (assume thefirm has no offsetting position in francs)A) purchase a call option on francs.B) obtain a forward contract to purchase francs forward.C) sell a futures contract on francs.D) all of the above are appropriate strategies for the scenario described. ANSWER: C13. If your firm expects the euro to substantially depreciate, it could speculate by _______euro call options(看涨期权) or _______ euros forward in the forward exchange market.A) selling; sellingB) selling; purchasingC) purchasing; purchasingD) purchasing; sellingANSWER: A14. When you own _______, there is no obligation on your part; however, when you own_______, there is an obligation on your part.A) call options; put optionsB) futures contracts; call optionsC) forward contracts; futures contractsD) put options; forward contractsANSWER: D15. The greater the variability of a currency, the _______ will be the premium ofa call optionon this currency, and the _______ will be the premium of a put option on this currency, other things equal.A) greater; lowerB) greater; greaterC) lower; greaterD) lower; lowerANSWER: B16. When currency options are not standardized and traded over-the-counter, there is ______liquidity and a ________ bid/ask spread. 买卖差价A) less; narrowerB) more; narrowerC) more; widerD) less; widerANSWER: D17. The shorter the time to the expiration date for a currency, the _______ will be thepremium of a call option, and the _______ will be the premium of a put option, other things equal.A) greater; greaterB) greater; lowerC) lower; lowerD) lower; greaterANSWER: C18. Assume that a speculator purchases a put option on British pounds (with a strike price of$ for $.05 per unit. A pound option represents 31,250 units. Assume that at the time of the purchase, the spot rate of the pound is $ and continually rises to $ by the expiration date. The highest net profit possible for the speculator based on theinformation above is:A) $1,.B) -$1,.C) -$1,.D) -$.ANSWER: BSOLUTION: The premium of the option is $.05 x (31,250 units) = $1,. Since the option will not be exercised, the net profit is -$1,.19. Which of the following is trueA) The futures market is primarily used by speculators while the forward market is primarily used for hedging. 期货—投机远期——套利B) The futures market is primarily used for hedging while the forward market is primarily used for speculating.C) The futures market and the forward market are primarily used for speculating.D) The futures market and the forward market are primarily used for hedging. ANSWER: A20. Which of the following is trueA) Most forward contracts between firms and banks are for speculative purposes.B) Most future contracts represent a conservative approach by firms to hedge foreign trade.C) The forward contracts offered by banks have maturities for only four possible dates inthe future.D) none of the aboveANSWER: D21. If you expect the euro to depreciate, it would be appropriate to _______ for speculativepurposes.A) buy a euro call and buy a euro putB) buy a euro call and sell a euro putC) sell a euro call and sell a euro putD) sell a euro call and buy a euro putANSWER: D。
期权期货及衍生品 约翰赫尔 第九版 课后答案HullOFOD9eSolutionsCh10
CHAPTER 10Mechanics of Options MarketsPractice QuestionsProblem 10.1.An investor buys a European put on a share for $3. The stock price is $42 and the strike price is $40. Under what circumstances does the investor make a profit? Under what circumstances will the option be exercised? Draw a diagram showing the variation of the investor’s profit with the stock price at the maturity of the option.The investor makes a profit if the price of the stock on the expiration date is less than $37. In these circumstances the gain from exercising the option is greater than $3. The option will be exercised if the stock price is less than $40 at the maturity of the option. The variation of the investor’s profit with the s tock price in Figure S10.1.Figure S10.1: Investor’s profit in Problem 10.1Problem 10.2.An investor sells a European call on a share for $4. The stock price is $47 and the strike price is $50. Under what circumstances does the investor make a profit? Under what circumstances will the option be exercised? Draw a diagram showing the variation of the investor’s profit with the stock price at the maturity of the option.The investor makes a profit if the price of the stock is below $54 on the expiration date. If the stock price is below $50, the option will not be exercised, and the investor makes a profit of $4. If the stock price is between $50 and $54, the option is exercised and the investor makes a profit between $0 and $4. The variation of the investor’s profit with the stoc k price is asshown in Figure S10.2.Figure S10.2: Investor’s profit in Problem 10.2Problem 10.3.An investor sells a European call option with strike price of K and maturity T and buys a put with the sam e strike price and maturity. Describe the investor’s position.The payoff to the investor ismax (0)max (0)T T S K K S --,+-,This is T K S - in all circumstances. The investor’s position is the same as a short position in a forward contract with delivery price K .Problem 10.4.Explain why margin accounts are required when clients write options but not when they buy options.When an investor buys an option, cash must be paid up front. There is no possibility of future liabilities and therefore no need for a margin account. When an investor sells an option, there are potential future liabilities. To protect against the risk of a default, margins are required.Problem 10.5.A stock option is on a February, May, August, and November cycle. What options trade on (a) April 1 and (b) May 30?On April 1 options trade with expiration months of April, May, August, and November. On May 30 options trade with expiration months of June, July, August, and November.Problem 10.6.A company declares a 2-for-1 stock split. Explain how the terms change for a call option witha strike price of $60.The strike price is reduced to $30, and the option gives the holder the right to purchase twice as many shares.Problem 10.7.“Employee stock options issued by a company are different from regular exchange-traded call options on the company’s stock because they can affect the capital structure of the company.” Explain this statement.The exercise of employee stock options usually leads to new shares being issued by the company and sold to the employee. This changes the amount of equity in the capital structure. When a regular exchange-traded option is exercised no new shares are issued and the company’s capital structure is not affected.Problem 10.8.A corporate treasurer is designing a hedging program involving foreign currency options. What are the pros and cons of using (a) the NASDAQ OMX and (b) the over-the-counter market for trading?The NASDAQ OMX offers options with standard strike prices and times to maturity. Options in the over-the-counter market have the advantage that they can be tailored to meet the precise needs of the treasurer. Their disadvantage is that they expose the treasurer to some credit risk. Exchanges organize their trading so that there is virtually no credit risk.Problem 10.9.Suppose that a European call option to buy a share for $100.00 costs $5.00 and is held until maturity. Under what circumstances will the holder of the option make a profit? Under what circumstances will the option be exercised? Draw a diagram illustrating how the profit from a long position in the option depends on the stock price at maturity of the option.Ignoring the time value of money, the holder of the option will make a profit if the stock price at maturity of the option is greater than $105. This is because the payoff to the holder of the option is, in these circumstances, greater than the $5 paid for the option. The option will be exercised if the stock price at maturity is greater than $100. Note that if the stock price is between $100 and $105 the option is exercised, but the holder of the option takes a loss overall. The profit from a long position is as shown in Figure S10.3.Figure S10.3:Profit from long position in Problem 10.9Problem 10.10.Suppose that a European put option to sell a share for $60 costs $8 and is held until maturity. Under what circumstances will the seller of the option (the party with the short position) make a profit? Under what circumstances will the option be exercised? Draw a diagram illustrating how the profit from a short position in the option depends on the stock price at maturity of the option.Ignoring the time value of money, the seller of the option will make a profit if the stock price at maturity is greater than $52.00. This is because the cost to the seller of the option is in these circumstances less than the price received for the option. The option will be exercised if the stock price at maturity is less than $60.00. Note that if the stock price is between $52.00 and $60.00 the seller of the option makes a profit even though the option is exercised. The profit from the short position is as shown in Figure S10.4.Figure S10.4:Profit from short position in Problem 10.10Problem 10.11.Describe the terminal value of the following portfolio: a newly entered-into long forward contract on an asset and a long position in a European put option on the asset with the same maturity as the forward contract and a strike price that is equal to the forward price of the asset at the time the portfolio is set up. Show that the European put option has the same value as a European call option with the same strike price and maturity.The terminal value of the long forward contract is:0T S F -where T S is the price of the asset at maturity and 0F is the forward price of the asset at thetime the portfolio is set up. (The delivery price in the forward contract is also 0F .)The terminal value of the put option is:0max (0)T F S -,The terminal value of the portfolio is therefore00max (0)T T S F F S -+-,0max (0]T S F =,-This is the same as the terminal value of a European call option with the same maturity as the forward contract and an exercise price equal to 0F . This result is illustrated in the Figure S10.5.Figure S10.5: Profit from portfolio in Problem 10.11We have shown that the forward contract plus the put is worth the same as a call with the same strike price and time to maturity as the put. The forward contract is worth zero at the time the portfolio is set up. It follows that the put is worth the same as the call at the time the portfolio is set up.Problem 10.12.A trader buys a call option with a strike price of $45 and a put option with a strike price of $40. Both options have the same maturity. The call costs $3 and the put costs $4. Draw a diagram showing the va riation of the trader’s profit with the asset price.Figure S10.6 shows the variation of the trader’s position with the asset price. We can divide the alternative asset prices into three ranges:a) When the asset price less than $40, the put option provides a payoff of 40T S - and thecall option provides no payoff. The options cost $7 and so the total profit is 33T S -.b) When the asset price is between $40 and $45, neither option provides a payoff. There is a net loss of $7.c) When the asset price greater than $45, the call option provides a payoff of 45T S - and the put option provides no payoff. Taking into account the $7 cost of the options, the total profit is 52T S -.The trader makes a profit (ignoring the time value of money) if the stock price is less than $33 or greater than $52. This type of trading strategy is known as a strangle and is discussed in Chapter 12.Figure S10.6: Profit from trading strategy in Problem 10.12Problem 10.13.Explain why an American option is always worth at least as much as a European option on the same asset with the same strike price and exercise date.The holder of an American option has all the same rights as the holder of a European option and more. It must therefore be worth at least as much. If it were not, an arbitrageur could short the European option and take a long position in the American option.Problem 10.14.Explain why an American option is always worth at least as much as its intrinsic value.The holder of an American option has the right to exercise it immediately. The Americanoption must therefore be worth at least as much as its intrinsic value. If it were not anarbitrageur could lock in a sure profit by buying the option and exercising it immediately.Problem 10.15.Explain carefully the difference between writing a put option and buying a call option.Writing a put gives a payoff of min(0)T S K -,. Buying a call gives a payoff ofmax(0)T S K -,. In both cases the potential payoff is T S K -. The difference is that for a written put the counterparty chooses whether you get the payoff (and will allow you to get it only when it is negative to you). For a long call you decide whether you get the payoff (and you choose to get it when it is positive to you.)Problem 10.16.The treasurer of a corporation is trying to choose between options and forward contracts to hedge the corporation’s foreign exchange risk. Discuss the a dvantages and disadvantages of each.Forward contracts lock in the exchange rate that will apply to a particular transaction in the future. Options provide insurance that the exchange rate will not be worse than some level. The advantage of a forward contract is that uncertainty is eliminated as far as possible. The disadvantage is that the outcome with hedging can be significantly worse than the outcome with no hedging. This disadvantage is not as marked with options. However, unlike forward contracts, options involve an up-front cost.Problem 10.17.Consider an exchange-traded call option contract to buy 500 shares with a strike price of $40 and maturity in four months. Explain how the terms of the option contract change when there isa) A 10% stock dividendb) A 10% cash dividendc) A 4-for-1 stock splita) The option contract becomes one to buy 50011550⨯.= shares with an exercise price401.13636=..b) There is no effect. The terms of an options contract are not normally adjusted for cash dividends.c) The option contract becomes one to buy 50042000⨯=, shares with an exercise price of404$10=.Problem 10.18.“If most of the call options on a stock are in the money, it is likely that the stock price has risen rapidly in the last few months.” Discuss this statement.The exchange has certain rules governing when trading in a new option is initiated. These mean that the option is close-to-the-money when it is first traded. If all call options are in the money it is therefore likely that the stock price has increased since trading in the option began.Problem 10.19.What is the effect of an unexpected cash dividend on (a) a call option price and (b) a put option price?An unexpected cash dividend would reduce the stock price on the ex-dividend date. This stock price reduction would not be anticipated by option holders. As a result there would be a reduction in the value of a call option and an increase the value of a put option. (Note that the terms of an option are adjusted for cash dividends only in exceptional circumstances.)Problem 10.20.Options on General Motors stock are on a March, June, September, and December cycle. What options trade on (a) March 1, (b) June 30, and (c) August 5?a)March, April, June and Septemberb)July, August, September, Decemberc)August, September, December, March.Longer dated options may also trade.Problem 10.21.Explain why the market maker’s bid-offer spread represents a real cost to options investors.A “fair” price for the option can reasonably be assumed to be half way between the bid and the offer price quoted by a market maker. An investor typically buys at the market maker’s offer and sells at the market maker’s bid. Each time he or she does this there i s a hidden cost equal to half the bid-offer spread.Problem 10.22.A United States investor writes five naked call option contracts. The option price is $3.50, the strike price is $60.00, and the stock price is $57.00. What is the initial margin requirement?The two calculations are necessary to determine the initial margin. The first gives⨯.+.⨯-=,500(3502573)5950The second gives⨯.+.⨯=,500(350157)4600The initial margin is the greater of these, or $5,950. Part of this can be provided by the initial amount of 50035$1750⨯.=,received for the options.Further QuestionsProblem 10.23.Calculate the intrinsic value and time value from the mid-market (average of bid andoffer) prices the September 2013 call options in Table 1.2. Do the same for the September 2013 put options in Table 1.3. Assume in each case that the current mid-market stock price is $871.30.For strike prices of 820, 840, 860, 880, 900, and 920 the intrinsic values of call options are 51.30, 31.30, 11.30, 0, 0, and 0. The mid-market values of the options are 76.90, 63.40, 51.75, 41.30, 32.45 and 25.20. The time values of the options are given by what is left from themid-market value after the intrinsic value has been subtracted. They are 25.60, 32.10, 40.45, 41.30, 32.45, and 25.20, respectively.For strike prices of 820, 840, 860, 880, 900, and 920, the intrinsic values of put options are 0, 0, 0, 8.70, 28.70, and 48.70. The mid-market values of the options are 24.55, 31.40, 39.65, 49.30, 60.05, and 72.55. The time values of the options are given by what is left from the mid-market value after the intrinsic value has been subtracted. They are 24.55, 31.40, 39.65, 40.60, 31.35 and 23.85, respectively.Note that for both puts and calls the time value is greatest when the option is close to the money.Problem 10.24.A trader has a put option contract to sell 100 shares of a stock for a strike price of $60. What is the effect on the terms of the contract of:(a) A $2 dividend being declared(b) A $2 dividend being paid(c) A 5-for-2 stock split(d) A 5% stock dividend being paid.(a)No effect(b)No effect(c)The put option contract gives the right to sell250 shares for $24 each(d)The put option contract gives the right to sell 105 shares for 60/1.05 = $57.14 Problem 10.25.A trader writes five naked put option contracts, with each contract being on 100 shares. The option price is $10, the time to maturity is six months, and the strike price is $64.(a) What is the margin requirement if the stock price is $58?(b) How would the answer to (a) change if the rules for index options applied?(c) How would the answer to (a) change if the stock price were $70?(d) How would the answer to (a) change if the trader is buying instead of selling the options?(a)The margin requirement is the greater of 500×(10 + 0.2×58) = 10,800 and500×(10+0.1×64) = 8,200. It is $10,800.(b)The margin requirement is the greater of 500×(10+0.15×58) = 9,350 and500×(10+0.1×64) = 8,200. It is $9,350.(c)The margin requirement is the greater of 500×(10+0.2×70-6) = 9,000 and500×(10+0.1×64) = 8,200. It is $9,000.(d)No margin is required if the trader is buyingProblem 10.26.The price of a stock is $40. The price of a one-year European put option on the stock with a strike price of $30 is quoted as $7 and the price of a one-year European call option on the stock with a strike price of $50 is quoted as $5. Suppose that an investor buys 100 shares, shorts 100 call options, and buys 100 put options. Draw a diagram illustrating how the investor’s profit or loss varies wi th the stock price over the next year. How does your answer change if the investor buys 100 shares, shorts 200 call options, and buys 200 put options?Figure S10.7 shows the way in which the investor’s profit varies with the stock price in the first case. For stock prices less than $30 there is a loss of $1,200. As the stock price increases from $30 to $50 the profit increases from –$1,200 to $800. Above $50 the profit is $800. Students may express surprise that a call which is $10 out of the money is less expensive than a put which is $10 out of the money. This could be because of dividends or the crashophobia phenomenon discussed in Chapter 20.Figure S10.8 shows the way in which the profit varies with stock price in the second case. In this case the profit pattern has a zigzag shape. The problem illustrates how many different patterns can be obtained by including calls, puts, and the underlying asset in a portfolio.Figure S10.7:Profit in first case considered Problem 10.26Figure S10.8:Profit for the second case considered Problem 10.26Problem 10.27.“If a company does not do better than its competitors but the stock market goes up, executives do very well from their stock options. This makes no sense” Discuss th is viewpoint. Can you think of alternatives to the usual executive stock option plan that take the viewpoint into account.Executive stock option plans account for a high percentage of the total remuneration received by executives. When the market is rising fast, many corporate executives do very well out of their stock option plans — even when their company does worse than its competitors. Large institutional investors have argued that executive stock options should be structured so that the payoff depends how the company has performed relative to an appropriate industry index. In a regular executive stock option the strike price is the stock price at the time the option is issued. In the type of relative-performance stock option favored by institutional investors, the strike price at time t is 00t S I I where 0S is the company’s stock price at the time theoption is issued, 0I is the value of an equity index for the industry in which the companyoperates at the time the option is issued, and t I is the value of the index at time t . If the company’s performance equals the performance of the industry, the options are alway sat-the-money. If the company outperforms the industry, the options become in the money. If the company underperforms the industry, the options become out of the money. Note that a relative performance stock option can provide a payoff when both the market and the company’s stock price decline.Relative performance stock options clearly provide a better way of rewarding seniormanagement for superior performance. Some companies have argued that, if they introduce relative performance options when their competitors do not, they will lose some of their top management talent.Problem 10.28.Use DerivaGem to calculate the value of an American put option on a nondividend paying stock when the stock price is $30, the strike price is $32, the risk-free rate is 5%, the volatility is 30%, and the time to maturity is 1.5 years. (Choose B inomial American for the “option type” and 50 time steps.)a. What is the option’s intrinsic value?b. What is the option’s time value?c. What would a time value of zero indicate? What is the value of an option with zero time value?d. Using a trial and error approach calculate how low the stock price would have to be for the time value of the option to be zero.DerivaGem shows that the value of the option is 4.57. The option’s intrinsic value is 3230200-=.. The option’s time value is therefore 457200257.-.=.. A time value of zero would indicate that it is optimal to exercise the option immediately. In this case the value of the option would equal its intrinsic value. When the stock price is 20, DerivaGem gives the value of the option as 12, which is its intrinsic value. When the stock price is 25, DerivaGem gives the value of the options as 7.54, indicating that the time value is still positive (054=.). Keeping the number of time steps equal to 50, trial and error indicates the time value disappears when the stock price is reduced to 21.6 or lower. (With 500 time steps this estimate of how low the stock price must become is reduced to 21.3.)Problem 10.29.On July 20, 2004 Microsoft surprised the market by announcing a $3 dividend. Theex-dividend date was November 17, 2004 and the payment date was December 2, 2004. Its stock price at the time was about $28. It also changed the terms of its employee stock options so that each exercise price was adjusted downward to Pre-dividend Exercise Price ClosingPrice 300ClosingPrice$-.⨯The number of shares covered by each stock option outstanding was adjusted upward to⨯Number of Shares Pre-dividend ClosingPrice-.ClosingPrice300$"Closing Price" means the official NASDAQ closing price of a share of Microsoft common stock on the last trading day before the ex-dividend date.Evaluate this adjustment. Compare it with the system used by exchanges to adjust for extraordinary dividends (see Business Snapshot 10.1).Suppose that the closing stock price is $28 and an employee has 1000 options with a strike price of $24. Microsoft’s adjustment involves changing the strike price to ⨯=.and changing the number of options to 100028251120 242528214286⨯=,. The system used by exchanges would involve keeping the number of options the same and reducing the strike price by $3 to $21.The Microsoft adjustment is more complicated than that used by the exchange because it requires a knowledge of the Microsoft’s stock price immediately before the stock goesex-dividend. However, arguably it is a better adjustment than the one used by the exchange. Before the adjustment the employee has the right to pay $24,000 for Microsoft stock that is worth $28,000. After the adjustment the employee also has the option to pay $24,000 for Microsoft stock worth $28,000. Under the adjustment rule used by exchanges the employee would have the right to buy stock worth $25,000 for $21,000. If the volatility of Microsoft remains the same this is a less valuable option.One complication here is that Microsoft’s volatility does not remain the same. It can be expected to go up because some cash (a zero risk asset) has been transferred to shareholders. The employees therefore have the same basic option as before but the volatility of Microsoft can be expected to increase. The employees are slightly better off because the value of an option increases with volatility.。
CFA一级典型例题 Derivatives 衍生品
Derivatives1. In contrast to over-the-counter options, futures contracts:A. are not exposed to default risk.B. are private, customized transactions.C. represent a right rather than a commitment.Answer: AA is correct. Over-the counter options are exposed to default risk but futures contracts are standardized transactions that take place on futures exchanges and are not exposed to default risk.2. Which of the following best describes how derivatives are priced?A. A hedge portfolio is used that eliminated arbitrage opportunities.B. The payoff of the underlying is adjusted downward by the derivative value.C. The expected future payoff of the derivative is discounted at the risk-free rate plus a risk premium. Answer: AA is correct. A hedge portfolio is formed that eliminated arbitrage opportunities and implies a unique price for the derivative. The other answers are incorrect because the underlying payoff if not adjusted by the derivative value and the discount rate of the derivative does not include a risk premium.3. Which of the following factors does not affect the forward price?A. The cost of holding the underlying.B. Dividends or interest paid by the underlying.C. Whether the investor is risk averse, risk seeking, or risk neutral.Answer: CC is correct. The costs of holding the underlying, known as carrying costs, and the dividends and interest paid by the underlying are extremely relevant to the forward price. How the investor feels about risk is irrelevant, because the forward price is determined by arbitrage.4. Which of the following best describes the forward rate of an FRA?A. The spot rate implied by the term structureB. The forward rate implied by the term structureC. The rate on a zero-coupon bond of maturity equal to that of the forward contractAnswer: BFRAs are based on Libor, and they represent forward rates, not spot rates. Spot rates are needed to determine forward rates, but they are not equal to forward rates. The rate on a zero-coupon bond of maturity equal to that of the forward contract describes a spot rate.-1-5. Which of the following conditions will not make futures and forward prices equivalent?A. Interest rates are known.B. Futures prices are uncorrelated with interest rates.C. The volatility of the forward price is different from the volatility of the futures price.Answer: CC is correct. Known interest rates and the condition that futures prices are uncorrelated with forward prices will make forward and futures prices equivalent. The volatility of forward and futures prices has no relationship to any difference.6. Based on put-call parity for European options, a synthetic put is most likely equivalent to a:A. long call, short underlying asset, long bond.B. long call, long underlying asset, short bond.C. short call, long underlying asset, short bond.Answer: AA is correct. A Synthetic Put is equivalent to a Long Call + Short Underlying + Long Bond.7. Which statement best describes option price sensitivities? The value of a:A. call option increases as interest rates rise.B. put option increases as volatility decreases.C. put option decreases as interest rates decline.Answer: AA is correct. Call options increase in value as interest rates rise.8. Which of the following best describes the binomial option pricing formula?A. The expected payoff is discounted at the risk-free rate plus a risk premium.B. The spot price is compounded at the risk-free rate minus the volatility premium.C. The expected payoff based on risk-neutral probabilities is discounted at the risk-free rate. Answer: CC is correct. Risk-neutral probabilities are sued, and discounting is at the risk-free rate. There is no risk premium incorporated into option pricing because of the use of arbitrage.9. With respect to American calls, which of the following statements is most accurate?A. American calls should be exercised early if the underlying has reached its expected maximum price.B. American calls should be exercised early if the underlying has a lower expected return than therisk-free rate.C. American calls should be exercised early if there is a dividend or other cash payment on the-2-underlying.Answer: CC is correct. Cash payments on the underlying are the only reason to exercise American calls early. Interest rates, the expected return on the underlying, and any notion of a maximum price is irrelevant. But note that a dividend does not mean that early exercise should automatically be conducted. A dividend is only a necessary condition to justify early exercise for calls.10. An investor purchases ABC stock at $71 per share and executes a protective put strategy. The put option used in the strategy has a strike price of $66, expires in two months, and is purchased for $1.45. At expiration, the protective put strategy breaks even when the price of ABC is closest to:A. $64.55.B. $67.45.C. $72.45.Answer: CC is correct because to break even, the underlying stock must be at least as high as the amount expended up front to establish the position. To establish the protective put, the investor would have spent $71 + $1.45 = $72.45.-3-。
国际商务英语 术语解释
国际商务英语燕园术语解释1.Customs union：a customs area extengding beyond national boundaries toinclude two or more independent nations is called a customs union.关税同盟：一个海关区extengding以外国界包括两个或两个以上独立的国家被呼吁一个关税同盟。
2.Trade terms：trade terms are terms used in international trade to describlethe general information about the trade ,such as the unit price port of shipment,port of destination and the kind of currency. （贸易术语：贸易术语术语使用在国际贸易值得要的一般信息关于行业，例如单价装运港，目的港，币种。
）3.Protectionism：protectionism is a trade barrier to international trade forthe purpose of protecting a nation's own domestic market and industries.It includes tariff barriers and non-tariff barriers.（保护主义：保护主义一个贸易壁垒国际贸易为了保护一个国家的自己国内市场，industries。
it包括关税壁垒，非关税壁垒。
）4.Multinational enterprise：a multinational enterprise is a trade barrierto international trade for the purpose of protecting a nation's own domestic market and industries.It includes tariff barriers and non-tariff barriers. （跨国企业：一个跨国企业一个贸易壁垒国际贸易为了保护一个国家的自己国内市场，industries。
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Over-the-counter forward contracts and spotprice volatility in shippingManolis G.Kavussanosa,*,Ilias D.Visvikis b ,Roy A.Batchelor c aAthens University of Economics and Business,76Patission Street,Athens 10434,Greece b Department of Maritime Studies,University of Piraeus,80Karaoli &Dimitriou St,Piraeus 18534,Greece c Faculty of Finance,City University Cass Business School,106Bunhill Row,London EC1Y 8TZ,UKReceived 23October 2002;received in revised form 26August 2003;accepted 29August 2003AbstractThe purpose of this paper is to investigate the impact of the introduction of Forward Freight Agreement (FFA)trading on spot market price volatility in two panamax Atlantic (1and 1A)and two panamax Pacific (2and 2A)trading routes of the dry-bulk shipping industry.The results suggest that the onset of FFA trading:(a)decreased spot price volatility in all investigated routes,(b)has had an impact on the asym-metry of volatility in Pacific routes,and (c)substantially improved the quality and speed of information flow in three out of the four investigated routes.After introducing control variables,that may affect price volatility,the results indicate that only in voyage routes may the reduction in volatility be a direct con-sequence of FFA trading.It seems that the introduction of FFA trading has not had a detrimental effect on the spot market,with an improvement in the way information is transmitted into spot prices following the onset of FFA trading.Ó2003Elsevier Ltd.All rights reserved.JEL classification:G13;G14Keywords:Market microstructure;Derivatives trading;Volatility;Asymmetries;Shipping1.IntroductionThis study investigates whether,and to what extent,the introduction of trading in Forward Freight Agreement (FFA)contracts to the panamax dry-bulk sector of the shipping industry has*Corresponding author.Tel.:+30-210-8203167;fax:+30-210-8228816.E-mail addresses:mkavus@aueb.gr (M.G.Kavussanos),elias10@otenet.gr (I.D.Visvikis),r.a.batchelor@ (R.A.Batchelor).1366-5545/$-see front matter Ó2003Elsevier Ltd.All rights reserved.doi:10.1016/j.tre.2003.08.007Transportation Research Part E 40(2004)273–296/locate/tre274M.G.Kavussanos et al./Transportation Research Part E40(2004)273–296impacted on the price volatility of the underlying spot market.1While many derivatives markets can be seen to be enhancing economic welfare by allowing for new positions,expanding invest-ment sets,providing instruments for reducing risks or enabling existing positions to be taken at lower costs,they have been criticised for increasing spot market price volatility(see Antoniou and Holmes,1995,amongst others).This issue,of whether derivatives trading destabilises(increases volatility)or stabilises(reduces volatility)the spot market,which dates back almost to the inception of derivatives trading,has been the subject of considerable empirical analysis and has received the attention of policymakers.In currency markets,McCarthy and Najand(1993)employ a state-space model to provide mixed evidence on the stabilising influence of futures trading on daily futures currency prices.They found that,while the lagged levels of trading volume on the British Pound,Swiss Franc,and German Mark futures are found to have a stabilising relationship with the volatility of these currenciesÕrespective futures prices,lagged trading volume levels on Canadian Dollar futures are found to have a destabilising relationship with the volatility of futures prices(see also Grammatikos and Saun-ders,1986).Using a GARCH model to model the volatility of the exchange rates,Chatrath et al. (1996)suggest that currency futures trading has a significant destabilising impact on the volatility of foreign exchange rates of the British pound,Canadian Dollar,Japanese Yen,Swiss Frank and Deutsche Mark,with a weaker feedback from foreign exchange rate volatility to futures trading. In stock markets,Baldauf and Santoni(1991)use an ARCH model to examine for increased volatility in the S&P500stock index following the introduction of futures trading.Testing for changes in the parameters of the model did not yield any significantfindings,suggesting that the inception of futures trading had no significant effect on volatility.Brorsen(1991)argues that the autocorrelation of stock prices should be reduced by the introduction of futures trading in the US, UK,and Japanese markets.Since such trading reduces market friction,leading to prices adjusting more rapidly to new information.Board et al.(1997)report that contemporaneous FTSE-100 stock index futures trading,in the UK market,had no effect on spot market volatility.Bologna and Cavallo(2002)argue that the introduction of Fib30stock index futures trading in the Italian stock exchange has led to diminished volatility.McKenzie et al.(2001)report a general reduction in systematic risk on individual stocks after the listing of Individual Share Futures(ISFs)on the Sydney,a decline in unconditional volatility,and mixed evidence concerning the impact on conditional volatility.However,to the best of our knowledge,there have not been any studies investigating the impact of the introduction of FFA contracts in the price volatility of the freight(spot)market,mainly due to the,until now,unavailability of data.A special feature of this market is that the underlying commodity is a service,which cannot be stored.The theory governing the relationship between spot and derivatives prices of continuously storable commodities is developed in Working(1970), amongst others,while that of non-storable commodities is examined in studies such as Eydeland and Geman(1998),Geman and Vasicek(2001),and Besembinder and Lemmon(2002)in the electricity derivatives markets.The non-storable nature of the FFA market implies that spot and FFA prices are not linked by a cost-of-carry(storage)relationship,as infinancial and agricultural 1FFA contracts were introduced in London in October1991by the shipbroking company Clarkson Securities Ltd., originally marketing them through their joint-venture company,Clarkon Wolff.M.G.Kavussanos et al./Transportation Research Part E40(2004)273–296275 derivatives markets.The arbitrage strategies required to enforce the cost-of-carry relation include purchasing the asset at the spot price and storing it for subsequent sale at the forward price(e.g. see MacKinlay and Ramaswamy,1988).Since this strategy cannot be executed in freight markets, FFA prices need not conform to the cost-of-carry relation.Thus,the impact of FFA contracts in spot price volatility may not be as strong as it is for storable commodities.It is deemed important to understand this impact(if any)as the forward freight market is the only derivatives market that currently exists in the shipping industry.The features then of this market,in comparison to the existing literature on futures markets,are:(i)the non-storable nature of the underlying commodity,being that of a service;and(ii)the asymmetric transactions costs between spot and FFA markets.These costs are higher in the spot freight market(in relation to the FFA market),as it is the case for commodity spot versus futures markets.Some further ways that this study extends the empirical literature on the relationship between derivatives trading and spot market price volatility are the following:First,most previous studies investigate the impact of derivatives trading on spot price volatility from a stabilising or desta-bilising view point by comparing spot price volatility during the pre-and post-derivatives trading periods.We investigate the link between information and volatility and whether reduced asym-metry(linked to news arrival)has resulted from derivatives trading,as proposed in Antoniou and Holmes(1995),Chatrath et al.(1996),Chatrath and Song(1998),Antoniou et al.(1998)and McKenzie et al.(2001),amongst others.Such a testing framework may lead to appropriate policy responses.To this end,the conditional variance from Glosten et al.(1993)GJR-GARCH model is found to be the appropriate process of volatility of the spot freight rates(see Section3and Footnote5),enabling the investigation of the link between information and conditional volatility and of the market dynamics,as reflected by a change in the asymmetric volatility response. Antoniou et al.(1998)argue that derivatives markets may change the role of market dynamics in terms of the way in which volatility is transmitted and,therefore,how information is incorporated into prices.Merton(1995)argues that the introduction of derivatives markets can improve effi-ciency by reducing asymmetric responses to information.Second,if a stabilising/destabilising impact is found,we investigate whether the introduction of FFA trading is the only cause for a change in the spot market volatility.To account for the possibility of other factors affecting market volatility,a number of economic indicators––control variables––are included as proxies for market factors in the variance model.It should be noted that such variables are adhoc,in a way,and one can always think of more factors to include in a potential list of control variables in such an analysis.Third,the FFA market is organised quite differently from a futures market(see Section2).All trading is bilateral,there is no clearing-house,no open outcry,and no centralised exchange.Only at the end of the trading day is information widely disseminated on deals negotiated during the day.2 During the day,traders must rely on their contacts for information on the transactions performed. Fourth,much of the analysis in previous studies has been devoted to considering the impact of trading in stock indices.Such studies are useful in assessing the market-wide impact,but any effect in the underlying spot market can be dissipated across the many constituent assets in the index, making it difficult to detect.Because FFAs are route-specific contracts(the underlying asset is the 2Shipbrokers in London report the FFA quotes to their clients by email on a daily basis at around16:00UK time.276M.G.Kavussanos et al./Transportation Research Part E40(2004)273–296freight rate of a particular trading route)this study can contribute to the general literature by examining changes in the volatility of individual routes(assets).Finally,the study can provide regulators and practitioners with important insights into the FFA trading volume-spot market price volatility relationship.On one hand,the Forward Freight Agreements Brokers Association(FFABA),created in1997,may decide to increase the monitoring and regulation of the FFA trades if the latter are found to increase the level of volatility in the spot market.On the other hand,increased regulation of FFA trades may not be necessary if they lead to greater information availability due to more transactions,new channels of information,and a reduction in uniform investors(see discussion in Antoniou et al.,1998,in a different context). The remainder of this study is structured as follows.Section2presents the characteristics of the FFA derivatives market.Section3discusses the theoretical issues relating to the relationship between information and volatility and presents the research methodology.Section4describes the data and provides some preliminary statistics.The empirical results are presented in Section5. The last section concludes the paper.2.The forward freight agreements marketThe aim of the formalisation3(in1992)of the FFA contracts was to provide a mechanism for hedging freight rate risk in the dry-bulk and wet-bulk sectors of the shipping industry,besides the BIFFEX(Baltic International Freight Futures Exchange)contracts.FFA contracts are principal-to-principal contracts between a seller and a buyer to settle a freight or hire rate,for a specified quantity of cargo or type of vessel,for usually one,or a combination of the major trade routes. Over the last years participants in the shipping markets have been switching gradually from using BIFFEX to using FFA contracts for risk management purposes.The reasons for this are thought to be the following:BIFFEX contracts did not perform well as hedging instruments,as the underlying asset of the BIFFEX contract was an index,and as a consequence the hedge involved‘‘cross-hedging’’.Most market agents in the shipping industry operate in specific regions(routes)of the world,and therefore,demand route-specific derivatives contracts.FFAs could provide the solution as they are tailor made products for the needs of the market agents used.In addition,FFA con-tracts are perceived to be more easily understood by agents in the industry and do not involve mark-to-market costs.The above provides an explanation of why BIFFEX gradually fell out of favour in relation to FFAÕs.Of course contracts listed in an exchange,such as LIFFE,must generate suf-ficient revenue for the exchange to keep them listed.The interest on BIFFEX decreased,the volume of trading fell substantially over the last years of its existence and as a consequence LIFFE decided after long debates to stop listing the contract after April2002as it became unprofitable.FFA contracts are traded in over-the-counter(OTC)derivatives markets in any place of the world where two parties agree to do business with each other.As trading takes place between3The Baltic Exchange and the major shipbrokers created a forward derivatives market,with formal contract specifications,in order to represent a specific hedging instrument with legal clauses and settlement procedures. However,even before the formalisation of these procedures in1992players in the shipping market were able to negotiate their own FFAs.In the post1992era FFA trading became much more easy due to this formalisation of procedures.M.G.Kavussanos et al./Transportation Research Part E40(2004)273–296277ÔindividualsÕ,each party accepts credit risk from the other party.4To see how the process works, assume that a shipowner(or a charterer)feels that the freight market in a specific route and a specific vessel/cargo size might move against him/her.He/she approaches an approved broker to sell(buy)FFA contracts.The shipownerÕs broker will search tofind a charterer or another broker who has a client with opposite expectations to the shipowner and they negotiate the terms of the contract.If an agreement is reached then the FFA contract isfixed.The major FFA brokers are those in the panel of shipbrokers of the FFABA.They are:Clarkson Securities Ltd.,Fearnleys A/ S,Howe Robinson&Co.Ltd.,GNI Ltd.,Ifchor S.A.,Mallory Jones Lynch Flynn&Associates Inc,Simpson Spence&Young Ltd.,Pasternak,Baum&Company Inc.and Yamamizu Shipping Co.Ltd.London has established itself as the major FFA market.Currently,FFA contracts have as the underlying asset spot freight rates in routes of the Baltic Panamax Index(BPI),the Baltic Handymax Index(BHMI),the Baltic Capesize Index(BCI),and the Baltic International Tanker Index(BITR).Kavussanos et al.(2001),in testing the unbi-asedness hypothesis,show that FFA prices form unbiased predictors of the realised spot prices for all investigated routes in the BPI.Thus,the unbiasedness results indicate that FFA and spot prices move close together.Further details of the particular data used in the analysis of this paper are provided later on in the data section of the paper.Moreover,Kavussanos and Visvikis(in press), in testing the lead–lag relationship between spot and FFA prices in both returns and volatilities, demonstrate that FFA contracts discover information faster compared to spot markets.They further argue that these results on information transmission in the mean returns continue to hold, broadly speaking,in volatilities.For practical purposes information coming from price discovery vehicles can be used in decision-making.Batchelor et al.(2003)compare the performance of linear univariate and multivariate time-series models in generating short-term forecasts of spot shipping freight rates and FFA prices.Conditioning spot returns on lagged FFA returns generates more accurate forecasts of the spot prices for all forecast horizons.However,conditioning FFA returns on lagged spot returns enhances forecast accuracy only up to4-days ahead,and for longer forecast horizons the best model for the FFA rate is a simple univariate model.Thus,market agents by selecting the appropriate time-series model for forecasting purposes can design more efficient investment and speculative trading strategies.3.Methodology and theoretical considerationsTo test the impact of the introduction of FFA contracts on spot price volatility,a GARCH model is modified along the lines of the GJR-GARCH model of Glosten et al.(1993).5This4In futures markets,the trader is required to place with the clearing-house an initial margin,which is an amount of money on a per contract basis and is set at a size to cover the clearing-house against any loses which the traderÕs new position might incur during the day.Moreover,futures contracts are mark-to-market at the end of each trading day. That is,the resulting profit or loss is settled on that day.Traders are required to post a variation margin in order to cover the extent to which their trading positions show losses.FFA transactions costs are1%of the contract price, shared equally between the buyer and the seller.5In order to determine the best GARCH specification,several other specifications are used,such as the symmetric GARCH(Bollerslev,1986),and the asymmetric E-GARCH(Nelson,1991),but yield inferior results judged by the evaluation of the log-likelihood,in terms of residual specification tests,and in terms of a LR test which is v2distributed with degrees of freedom equal to the number of restrictions imposed.allows for the asymmetric impact of news (positive or negative)on volatility.Thus,the mean equation of the GJR-GARCH process can be defined as follows:D S t ¼u 0þXp À1i ¼1u i D S t Ài þe t ;e t $IN ð0;h t Þð1Þwhere S t is the natural logarithm of the daily spot price change,D is the first-difference operator and e t is the regression error term which follows a conditional normal distribution with mean zero and time-varying covariance,h t .The conditional variance of the process can be specified as follows:h t ¼a 0þa 1h t À1þb 1e 2t À1þc 1e 2t À1D Àt À1ð2Þwhere D Àt À1is a dummy variable that takes the value of unity if the error is negative (e t À1<0)and zero otherwise.When the coefficient of D Àt À1is zero (i.e.c 1¼0),the model of Eq.(2)is the symmetric GARCH model.A negative shock (D Àt À1¼1)can generate an asymmetric response on volatility,in comparison to a positive shock.When c 1>0(c 1<0),the model produces a larger (smaller)response for a negative shock compared to a positive shock of equal magnitude.A priori one expects a positive sign for the c 1coefficient,as there is evidence in the literature which shows that bad news have a larger impact on price volatility than good news -Nelson,1991.The impact of the onset of FFA trading is examined in two ways.One is to estimate the model of Eq.(2)for the period before and after the onset of FFA trading and compare the estimated coefficients in the two models.Thus,the asymmetry of the relationship between information and volatility before and after the onset of FFA trading may be inferred upon through the value of the estimated coefficient c 1before and after FFA Õs.Also,comparison of the rest of the coefficients in the variance before and after FFA Õs can provide information about the stability of spot market volatility following the onset of FFA trading.The second way to examine how the onset of FFA trading has affected volatility is to introduce a dummy variable in the variance equation of the process––Eq.(2),representing the time period before and after FFA trading,as follows:h t ¼a 0þa 1h t À1þa 2D 1d t À1h t À1þb 1e 2t À1þb 2D 1d t À1e 2t À1þc 1e 2t À1D Àt À1þc 2D 1^t ð3Þwhere D 1^t is a dummy variable that takes the value of unity after the introduction of FFA contracts and zero before.A significant positive c 2coefficient indicates increased unconditional spot price volatility in the post-FFA period,whereas a significant negative c 2coefficient indicates decreased unconditional spot price volatility in the post-FFA period.6The possible impact of the introduction of FFA trading on the conditional variance is also investigated through Eq.(3)6It is important to note that given the data used in this study,the liquidity of the FFA and spot markets is critical.Even if only one of these markets is illiquid,the link between the FFA and the spot market may be lost.For this reason the FFA volume figures could be added in Eq.(3)as another explanatory variable.Unfortunately,the FFA volume figures are not (publicly)available.To this end,in our analysis we compare two liquid routes (panamax Pacific routes 2and 2A)in terms of FFA trading with two less liquid routes (panamax Atlantic routes 1and 1A)and see if we have discrepancies between the results (for route identifiers/numbers please refer to Table 1).Besides the liquidity issue,the different trading and regional economic conditions,that characterise each shipping route,may also affect the spot freight rates and consequently,the results of this study.278M.G.Kavussanos et al./Transportation Research Part E 40(2004)273–296by testing the joint hypothesis a 2¼b 2¼0against the alternative of at least one coefficient being non-zero.Finally,the joint hypothesis that the introduction of FFAs had no impact on both unconditional and conditional volatility (a 2¼b 2¼c 2¼0)against the alternative of at least one coefficient being non-zero is tested.Moreover,Eq.(3)allows investigation of whether the introduction of FFA trading has changed the market dynamics in terms of how information is incorporated into prices.It is possible that factors other than the introduction of FFA contracts have had an impact on the spot market and the spot rate volatility.For example,market-wide changes may have oc-curred around the time of the FFA introduction date that altered the dynamics of the market.Should this have occurred,tests may erroneously attribute such a change to the introduction of FFAs.To this end,a control procedure is implemented under which the conditional variances of the spot freight rates are augmented by incorporating the conditional variances of economic indicators that may affect the freight market.Both demand and supply factors are considered.The S&P500Composite Index (SPI)and the S&P500Commodity Index 7(SPCI)are used as proxies of the world economic welfare and of commodity prices,both of which affect the demand for shipping services.Also,the London Brent Crude Oil Index (BCOI)and the West Texas Inter-mediate (WTI)crude oil index are factors which affect the cost side of the freight service providers.The model is then estimated in two-steps.First,estimate the conditional variance of the above four economic variables,computed through the most parsimonious GARCH model.In the next step,the model of Eq.(3)is augmented by incorporating the conditional variance of each economic variable.Thus,the augmented variance model is the following:h t ¼a 0þa 1h t À1þa 2D 1d t À1h t À1þb 1e 2t À1þb 2D 1d t À1e 2t À1þc 1e 2t À1D Àt À1þc 2D 1^t þd 1G t ð4Þwhere G t is the conditional variance of an economic variable.A significant d 1coefficient indicates that the conditional variance of the economic variable affects the conditional variance of the spot freight rates.Thus,if its inclusion in the model does not alter the significance level and sign of the c 2coefficient,then the unconditional volatility of the spot freight market has not increased/decreased due to this variable and the conclusions drawn with respect to the impact of the introduction of the FFA contracts are strengthened.Bollerslev and Wooldridge (1992)argue that excess kurtosis in the estimated standardised residuals (e t =ffiffiffiffih t p ),even after accounting for second moment dependencies,can invalidate tradi-tional inference procedures.Therefore,the GJR-GARCH processes are estimated with Quasi-Maximum-Likelihood Estimation (QMLE),which estimates robust standard errors,and thus,yields an asymptotically consistent normal covariance matrix (Bollerslev and Wooldridge,1992).8For symmetric departures from conditional normality,the QMLE is generally close to the exact Maximum-Likelihood Estimation (MLE).The Berndt et al.(1974)(henceforth,BHHH)7The SPCI covers a broad cross-section of commodities traded in the US,providing a broad and accurate picture of the commodity market.It tracks 17commodities in 6sectors (grains,meat and livestock,metals,softs,fibres and energy).8Besides using the QMLE,the GJR-GARCH models are also estimated by using the Student-t distribution of Bollerslev (1987).The results indicate that this distribution is not appropriate.M.G.Kavussanos et al./Transportation Research Part E 40(2004)273–296279optimisation algorithm is employed to obtain maximum-likelihood estimates of each of the coefficients in the mean and variance equations.4.Description of the data and preliminary statisticsFrom the formalisation of the FFA market on February 1st 1992until November 1st 1999,the eleven panamax and capesize voyage and time-charter routes of the Baltic Freight Index (BFI)served as the underlying assets of the FFA trades,in the dry-bulk sector of the shipping industry.After the latter date,capesize routes were excluded and renamed as the Baltic Panamax Index (BPI),since the underlying assets of the FFA contracts have become the panamax routes.9The composition of the BPI,as it stands on January 2001,is presented in Table 1.9We have to note that the composition change of the spot index (BPI)during November 1999had an impact on the spot-BIFFEX contract relationship,strengthening the price discovery role of the futures market (as the freight futures market had as the underlying asset the index itself).However,due to the fact that FFA trades are route specific,the aforementioned change seems to have no impact on the current analysis.Table 1Baltic panamax index (BPI)––route definitionsRoutesRoute description Cargo Vessel size (dwt)Weightings in BPI (%)11–2safe berths/anchorages US Gulf(Mississippi River not above Baton Rouge)to ARA (Antwerp,Rotterdam,Amsterdam)Light grain 55,000101A Transatlantic (including ECSA)round of45–60days on the basis of delivery andredelivery Skaw Passero rangeT/C 70,0002021–2safe berths/anchorages US Gulf(Mississippi River not above Baton Rouge)/1no combo port to South JapanHSS 54,00012.52A Basis delivery Skaw Passero range,for a tripvia Gulf to the Far East,redeliveryTaiwan–Japan range,duration 50–60daysT/C 70,00012.531port US North Pacific/1no combo port toSouth JapanHSS 54,000103A Transpacific round of 35–50days either viaAustralia or Pacific (but not including shortrounds such as Vostochy/Japan),delivery andredelivery Japan/South Korea rangeT/C 70,000204Delivery Japan/South Korea range for a tripvia US West Coast––British Columbia range,redelivery Skaw range,duration 50–60days T/C 70,00015Source:Baltic exchange.Notes:•Routes 1A,2A,and 3A refer to time-charter (T/C)contracts,while 1–4refer to voyage contracts.•HSS stands for Heavy Grain,Soya and Sorghum.280M.G.Kavussanos et al./Transportation Research Part E 40(2004)273–296M.G.Kavussanos et al./Transportation Research Part E40(2004)273–296281 Freight rates on the individual underlying trading routes are reported on a daily basis(at11:00 a.m.London time)by a panel of eleven independent London shipbrokers to the Baltic Exchange and the latter reports them to the market at13:00p.m.London time.Each member of the panel submits,to the Baltic Exchange,its daily view of the rate on each constituent route of the Baltic indices.Each freight rate assessment is derived from actualfixtures or,in the absence of an actual fixture,from the panellistÕs expert view of what the rate would be on that day if afixture had been agreed.Then the Baltic Exchange,for each trade route,after excluding the highest and lowest assessments of the day,takes an arithmetic average of the remaining.The average rate of each route is then multiplied by the Weighting Factor10(WF)to return the contribution of each route to the index.Finally,by adding all the route contributions,an overall average index is created, for example the daily BPI.The impact of FFA trading on the volatility of the underlying spot freight market in panamax Atlantic(1and1A)and Pacific(2and2A)routes,is investigated by estimating a model for a period which covers the time before and after the introduction of FFA contracts.Due to the specific nature of the FFA market it was not until the late1990s that this market started to attract a respectable number of market agents.From Fig.1it is clear that until1995the market was very thin,with only360contracts per month on average,rising to750contracts per month in1996and to830contracts per month in1997.This increase between1995and1997is taken as the cut offpoint for the investigation in the paper of whether the existence of FFA trading could impact upon spot market volatility.11Thus,in the ensuing analysis,January1997is taken as the threshold point that separates pre-and post-FFA trading.12Since the introduction of FFA contracts,the market has been growing steadily and market sources estimate that the number of dry FFA contracts per month on average was around1500in2000,and around2000in2001.The Atlantic routes are characterised by modest FFA trading.FFA trading is concentrated mostly on the Pacific routes2and2A,and therefore,these routes are the most liquid on the BPI.This reflectsfirstly,the spot market conditions,where the Pacific trades have witnessed excess volatility during the last years,and especially after the Asian crisis and secondly,the increased demand from market agents for those trades.The data set comprises daily observations of spot freight rates for four panamax routes,routes 1(voyage),1A(time-charter),2(voyage),and2A(time-charter).It covers the periods29 November1989to31July2000in route1,7August1990to31July2000in route1A,29 November1989to24August2001in route2,and12February1991to24August2001in route10The WF is a constant,unique for each route,and reflects the importance of each route to the index.For example, the WF for each BPI route is:11.185(route1),0.027(route1A),7.067(route2),0.015(route2A),9.307(route3),0.031 (route3A),0.023(route4).11The relationship between volume or liquidity and volatility is examined in amongst others,Sutcliffe(1997)and Karpoff(1987).For instance,models are developed which link the volume/value of trading to the rate of information arrival in the market,which is thought to be positively related to the volatility of prices.12Following the suggestion of an anonymous referee other threshold dates,such as1996and1998,were also used in the ensuing analysis.They were found to yield qualitatively the same results.These are not reported here,but are available from the authors on request.It should be also noted at this point that after discussing this issue with two major London-based FFA brokers they also suggested January1997as the approximate threshold date.Moreover,the creation of the FFABA in1997,which promoted the liquidity and the standardisation of FFAÕs,supports further the selection of the aforementioned year.。