金融工程学课件：Introduction

Short selling
Short selling, sometimes called short, means that investors sell an asset that is not owned by them but borrowed from a broker.
Call vs put
An option to buy something is referred to as a call; an option to sell something is called a put.
OTC market vs options exchange
• Over-the-counter market is a market where option trading is conducted privately between two parties.
• Risk neutral: investors are indifferent to risk, they require no compensation for risk and the expected return on all securities is the risk-free interest rate.
Some important concepts
• Risk preference • Short ng • Return and risk • Market efficiency and the theoretical fair
value
Risk preference
• Risk aversion: individuals expect to get risk premium to justify taking the risk.
• Options exchange is a place where options are publicly traded.
Forward contracts
A forward contract is a contract between two parties to purchase or sell something at a later date at a price agreed upon today. Forward contracts are traded strictly in an OTC market consisting of direct communications among major financial institutions.
Swaps and other derivatives
A swap is a contract in which two parties agree to exchange cash flows. Some of these types of contracts are referred to as hybrids because they combine the elements of several other types of contracts.
Introduction
Derivatives
Derivatives are financial instruments whose returns are derived from those of other (financial) instruments. By using derivatives, one can transfer undesired risk to other parties.
Content
An introductory treatment of financial derivatives. • Characteristics of the institution and markets • The strategies used • How derivatives are used in managing the risk
Derivative markets and instruments
• Options • Forward contracts • Futures contracts • Options on futures • Swaps and other derivatives
Options
An option is a contract between two partiesa buyer and a seller-that gives the buyer the right, but not the obligation, to purchase or sell something at a later date at a price agreed upon today.
Futures contracts
Futures contracts evolved out of forward contracts and possess many of the same characteristics. Futures contracts differ from forward contracts in that they trade on organized exchange and they are subject to a daily settlement procedure.
Options on futures
Options on futures, sometimes called commodity options or futures options, gives the buyer the right to buy or sell a futures contract at a later date at a price agreed upon today.