Futures,Forwards,Options
options
• Calls vs. Puts
– Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. – Put options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices agreed upon today
Basic Option Profit Profiles
Profit If the call is inthe-money, it is worth ST – E. If the call is outof-the-money, it is worthless and the –c0 buyer of the call loses his entire investment of c0. loss
definition
• In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price.1 The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the corresponding obligation to fulfill the transaction. The price of an option derives from the difference between the reference price and the value of the underlying asset (commonly a stock, a bond, a currency or a futures contract) plus a premium based on the time remaining until the expiration of the option. Other types of options exist, and options can in principle be created for any type of valuable asset.
毕业设计论文外文文献翻译
毕业设计(论文）外文文献翻译院系：财务与会计学院年级专业：201＊级财务管理姓名:学号：132148*＊*附件: 财务风险管理【Abstract】Although financial risk has increased significantly in recent years risk and risk management are not contemporary issues。
The result of increasingly global markets is that risk may originate with events thousands of miles away that have nothing to do with the domestic market。
Information is available instantaneously which means that change and subsequent market reactions occur very quickly。
The economic climate and markets can be affected very quickly by changes in exchange rates interest rates and commodity prices。
Counterparties can rapidly become problematic。
As a result it is important to ensure financial risks are identified and managed appropriately. Preparation is a key component of risk management。
【Key Words】Financial risk，Risk management，YieldsI. Financial risks arising1.1What Is Risk1.1.1The concept of riskRisk provides the basis for opportunity. The terms risk and exposure have subtle differences in their meaning. Risk refers to the probability of loss while exposure is the possibility of loss although they are often used interchangeably。
金融衍生工具
金融衍生工具金融衍生工具，也称金融衍生商品，其“衍生”两字，说明它源于原生性金融商品或称基础性金融工具(Underlying Instruments)。
由于是派生物，金融衍生工具不能独立存在，其价值在相当程度上受制于基础性金融工具。
根据目前发展，基础性金融工具主要有四大类：(1)外汇或者称货币；(2)利率工具，如债券、商业票据、存单等；(3)股票和股价指数；(4)贷款。
虽然基础工具种类不多，但是借助各种技术，在此基础上可以设计出品种繁多、特性不一的衍生工具。
所以，金融衍生工具是一种通过预测股价、利率、汇率等金融工具未来市场行情走势，以支付少量保证金签订远期合同或互换不同金融商品的派生交易合约。
期货(Futures)、期权(Options)、远期合约(Forwards)、掉期(Swap)等均属此类。
一般来说，金融衍生工具可以分为契约型与证券型两大类。
契约型的衍生工具是指订约双方以某种金融工具(股票、外汇等)或金融指数(利率、股指等)为准，决定合约交易的价格，人们比较熟悉的期权、期货就是此类衍生工具。
证券型金融衍生工具以证券形式出现，如抵押证券(Mortgage-backed Security，即以抵押贷款为基础所发行的有价证券)、可转换债券(Convertibles，相当于附有股票买进选择权的债券) 等均属此类。
契约型的金融衍生工具在课本上已经讲述过了，现在主要就证券型的金融衍生工具来做一个介绍。
证券型的金融衍生工具主要有公司认证股权、可转换公司债（可转换债券）和抵押证券等。
一、认证股权认股权证，又称“认股证”或“权证”，其英文名称为Warrant，故在香港又俗译“窝轮”。
是一种约定该证券的持有人可以在规定的某段期间内，有权利（而非义务）按约定价格向发行人购买标的股票的权利凭证。
按照发行主体，认股权证分为股本认股权证和备兑权证两种。
股本认股权证属于狭义的认股权证，是由上市公司发行的。
备兑权证则属于广义认股权证，是由上市公司以外的第三方(一般为证券公司、银行等)发行的，不增加股份公司的股本。
(9)远期、期货和互换
14
注：O/N = over night
15
例：假设A公司在6个月末需要一笔1000万元的资金，为 期3个月，为了锁定资金成本，该公司与某银行签订了一 份6×9的远期利率协议，协议利率为4%，名义本金为 1000万元。如果3月末市场利率上升为4.5%对A公司有何 影响。
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中国期货品种
（1）上海期货交易所：铜、铝、锌、天然橡胶、燃油、黄 金、螺纹钢、线材 （2）大连商品交易所：大豆、豆粕、豆油、塑料、棕榈油 、玉米、PVC （3）郑州商品交易所：硬麦、强麦、棉花、白糖、pta、菜 籽油、籼稻 （4）中国金融期货交易所：股指期货
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期货的基本概念： 标准化：合约规模，交割地点，交割日期 初始保证金（initial margin）: （5% - 20%） 维持保证金（maintenance margin）: 盯市（mark to market）：每天交易结束时，根据期货价 格的涨跌调整保证金账户。
跨期套利、跨市套利、跨品种套利 正向套利，反向套利
23
正向套利（cash-and-carry arbitrage）： 远期价格 < 交割价格：买入现货，卖出远期。 注：远期价格的高低取决于现价（见后文）。上式表明 现价偏低。
反向套利（reverse cash-and-carry arbitrage）： 远期价格 > 交割价格：卖空现货，买入远期。 上式表明现价偏高。
解：这份远期合约的合理价格应该为
F 50e0.100.25 51.27
30
Example: A stock that pays no dividends has a current price of $50. The annual effective risk free rate of return is 5%. Calculate the forward price for purchasing the stock in one year. Solution:
FRM 金融风险管理师考试大纲
Quantitative Analysis Readings:
1. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004). Chapter 2 – Quantifying Volatility in VaR Models th John Hull, Options, Futures, and Other Derivatives, 6 ed. (New York: Prentice Hall, 2006). Chapter 19 – Estimating volatilities and correlations rd Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3 ed. (New York: McGraw-Hill, 2007). Chapter 9 – Forecasting risk and correlations Chapter 12 – Monte Carlo Methods Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006). Chapter 4 – Extreme Value Theory and in Risk Management Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000). Chapter 1 – Basic Probability Chapter 2 – Random Variables and Probability Distributions Chapter 3 – Mathematical Expectation Chapter 4 – Special Probability Distributions Chapter 5 – Sampling Theory Chapter 6 – Estimation Theory Chapter 7 – Tests of Hypotheses and Significance Chapter 8 – Curve Fitting, Regression, and Correlation NOTE: Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.
外汇衍生产品市场
西南民族大学 经济学院
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报价方法
远期汇率直接报价法
外汇银行直接报远期汇率 瑞士、日本等国采用此法
远期差价报价法
外汇银行在即期汇率之外，标出远期升贴水 也可采用报标准远期升贴水的做法
掉期率报价法
外汇银行在即期汇率之外，标出掉期率
2020/4
原理：是指外汇买卖成交后客户可以在将来的
2020/4/4
西南民族大学 经济学院
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远期汇率的确定
利息平价定理
如果两种相似金融工具的预期收益不同，资金就会从一 种工具转移到另一种工具
相似金融工具的预期收益率相等时达到均衡
国际金融套利
如果经过汇率调整，一国某种金融工具的预期收益率仍 高于另一国相似金融工具，资金就会跨国移动
资金在国际间的转移，必然影响相关国家可贷资金市场 的供求，影响利率水平，进而影响到汇率
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西南民族大学 经济学院
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外汇远期交易
本质上是一种预约买卖外汇的交易
买卖双方签订合同，约定买卖外汇的币种、数 额、汇率和交割时间
到规定的交割日期或在约定的交割期内，按照
合同规定条件完成交割
2020/4/4
西南民族大学 经济学院
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外汇远期分类
定期外汇远期交易
固定交割日期
在成交日顺延相应远期期限后进行交割
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西南民族大学 经济学院
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例3
假定银行报出美元／日元的即期汇率为98.50／80， 15天的掉期率为30-40 30天的掉期率为50-40，
请问客户购买15天美元、30天日元的远期择期汇价 （买入价或卖出价）各为多少？
2020/4/4
西南民族大学 经济学院
cfa二级知识点总结
cfa二级知识点总结The Chartered Financial Analyst (CFA) Level II exam is designed to test candidates' knowledge of investment tools and fundamental concepts. This exam builds on the foundational knowledge tested in Level I and focuses on more complex topics related to investment management. In this summary, we will review some of the key knowledge areas covered in the Level II exam.Ethical and Professional StandardsEthical and professional standards are a key component of the CFA program and are tested at all three levels of the exam. In Level II, candidates are required to demonstrate a deep understanding of the CFA Institute Code of Ethics and Standards of Professional Conduct. This includes knowledge of the ethical principles that guide the behavior of investment professionals, as well as the standards that govern their professional conduct.Quantitative MethodsQuantitative methods are essential tools for investment analysis. In Level II, candidates are expected to have a strong understanding of statistical concepts, including probability distributions, sampling and estimation, hypothesis testing, and regression analysis. They are also expected to be proficient in the application of these concepts to investment analysis, including the calculation and interpretation of key statistics such as alpha, beta, and the Sharpe ratio.EconomicsEconomics is a critical element of investment analysis, as it provides the foundation for understanding the behavior of markets and economies. In Level II, candidates are required to have a thorough understanding of microeconomic and macroeconomic principles, including market structure, supply and demand, economic indicators, and monetary and fiscal policy. They are also expected to be able to apply these concepts to the analysis of investment opportunities and market trends.Financial Reporting and AnalysisFinancial reporting and analysis are key skills for investment professionals, as they provide the information necessary to make informed investment decisions. In Level II, candidates are required to have a deep understanding of financial statement analysis, including the interpretation and analysis of balance sheets, income statements, and cash flow statements. They are also expected to be able to apply this knowledge to the evaluation of companies and industries.Corporate FinanceCorporate finance is an important area of study for investment professionals, as it provides the framework for understanding the financial decisions of corporations. In Level II,candidates are required to have a strong understanding of capital budgeting, cost of capital, and capital structure. They are also expected to be able to apply this knowledge to the evaluation of investment opportunities and the determination of optimal capital structures for companies.Equity InvestmentsEquity investments are a core component of many investment portfolios, and candidates are required to have a strong understanding of equity valuation methods, including dividend discount models, discounted cash flow analysis, and relative valuation techniques. They are also expected to be able to apply these methods to the valuation of individual stocks and equity portfolios.Fixed IncomeFixed income securities are an important asset class for many investors, and candidates are required to have a deep understanding of the characteristics and valuation of fixed income securities, including bonds, mortgage-backed securities, and floating rate notes. They are also expected to be able to apply this knowledge to the analysis of fixed income portfolios and the assessment of interest rate risk.DerivativesDerivatives are complex financial instruments that are used to manage risk and speculate on market movements. In Level II, candidates are required to have a strong understanding of the characteristics and valuation of futures, forwards, options, and swaps. They are also expected to be able to apply this knowledge to the analysis of derivative strategies and the assessment of derivative instruments.Alternative InvestmentsAlternative investments, such as private equity, hedge funds, and real estate, are an important component of many investment portfolios, and candidates are required to have a deep understanding of these asset classes. In Level II, candidates are expected to have a strong understanding of the characteristics and valuation of alternative investments, as well as the risks and opportunities associated with these asset classes.Portfolio ManagementPortfolio management is the process of constructing and managing investment portfolios, and candidates are required to have a thorough understanding of the principles and practices of portfolio management. In Level II, candidates are expected to be able to apply their knowledge of asset allocation, portfolio construction, and performance evaluation to the management of investment portfolios.Overall, the Level II exam covers a wide range of topics related to investment management, including ethical and professional standards, quantitative methods, economics, financialreporting and analysis, corporate finance, equity investments, fixed income, derivatives, alternative investments, and portfolio management. Candidates are required to have a deep understanding of these topics in order to pass the exam and earn the CFA designation.。
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。
财务风险管理外文文献翻译译文
Financial Risk ManagementAlthough financial risk has increased significantly in recent years, risk and risk management are not contemporary issues. The result of increasingly global markets is that risk may originate with events thousands of miles away that have nothing to do with the domestic market. Information is available instantaneously, which means that change, and subsequent market reactions, occur very quickly. The economic climate and markets can be affected very quickly by changes in exchange rates, interest rates, and commodity prices. Counterparties can rapidly become problematic. As a result, it is important to ensure financial risks are identified and managed appropriately. Preparation is a key component of risk management.What Is Risk?Risk provides the basis for opportunity. The terms risk and exposure have subtle differences in their meaning. Risk refers to the probability of loss, while exposure is the possibility of loss, although they are often used interchangeably. Risk arises as a result of exposure.Exposure to financial markets affects most organizations, either directly or indirectly. When an organization has financial market exposure, there is a possibility of loss but also an opportunity for gain or profit. Financial market exposure may provide strategic or competitive benefits.Risk is the likelihood of losses resulting from events such as changes in market prices. Events with a low probability of occurring, but that may result in a high loss, are particularly troublesome because they are often not anticipated. Put another way, risk is the probable variability of returns.Since it is not always possible or desirable to eliminate risk,understanding it is an important step in determining how to manage it. Identifying exposures and risks forms the basis for an appropriate financial risk management strategy.How Does Financial Risk?Financial risk arises through countless transactions of a financial nature, including sales and purchases, investments and loans, and various other business activities. It can arise as a result of legal transactions, new projects, mergers and acquisitions, debt financing, the energy component of costs, or through the activities of management, stakeholders, competitors, foreign governments, or weather. When financial prices change dramatically, it can increase costs, reduce revenues, or otherwise adversely impact the profitability of an organization. Financial fluctuations may make it more difficult to plan and budget, price goods and services, and allocate capital.There are three main sources of financial risk:1. Financial risks arising from an organization’s exposure to changes in market prices, such as interest rates, exchange rates, and commodity prices.2. Financial risks arising from the actions of, and transactions with, other organizations such as vendors, customers, and counterparties in derivatives transactions3. Financial risks resulting from internal actions or failures of the organization, particularly people, processes, and systemsWhat Is Financial Risk Management?Financial risk management is a process to deal with the uncertainties resulting from financial markets. It involves assessing the financial risks facing an organization and developing management strategies consistent withinternal priorities and policies. Addressing financial risks proactively may provide an organization with a competitive advantage. It also ensures that management, operational staff, stakeholders, and the board of directors are in agreement on key issues of risk.Managing financial risk necessitates making organizational decisions about risks that are acceptable versus those that are not. The passive strategy of taking no action is the acceptance of all risks by default.Organizations manage financial risk using a variety of strategies and products. It is important to understand how these products and strategies work to reduce risk within the context of the organization’s risk tolerance and objectives.Strategies for risk management often involve derivatives. Derivatives are traded widely among financial institutions and on organized exchanges. The value of derivatives contracts, such as futures, forwards, options, and swaps, is derived from the price of the underlying asset. Derivatives trade on interest rates, exchange rates, commodities, equity and fixed income securities, credit, and even weather.The products and strategies used by market participants to manage financial risk are the same ones used by speculators to increase leverage and risk. Although it can be argued that widespread use of derivatives increases risk, the existence of derivatives enables those who wish to reduce risk to pass it along to those who seek risk and its associated opportunities.The ability to estimate the likelihood of a financial loss is highly desirable. However, standard theories of probability often fail in the analysis of financial markets. Risks usually do not exist in isolation, and theinteractions of several exposures may have to be considered in developing an understanding of how financial risk arises. Sometimes, these interactions are difficult to forecast, since they ultimately depend on human behavior.The process of financial risk management is an ongoing one. Strategies need to be implemented and refined as the market and requirements change. Refinements may reflect changing expectations about market rates, changes to the business environment, or changing international political conditions, for example. In general, the process can be summarized as follows:1、Identify and prioritize key financial risks.2、Determine an appropriate level of risk tolerance.3、Implement risk management strategy in accordance with policy.4、Measure, report, monitor, and refine as needed.DiversificationFor many years, the riskiness of an asset was assessed based only on the variability of its returns. In contrast, modern portfolio theory considers not only an asset’s riskiness, but also its contribution to the overall riskiness of the portfolio to which it is added. Organizations may have an opportunity to reduce risk as a result of risk diversification.In portfolio management terms, the addition of individual components to a portfolio provides opportunities for diversification, within limits. A diversified portfolio contains assets whose returns are dissimilar, in other words, weakly or negatively correlated with one another. It is useful to think of the exposures of an organization as a portfolio and consider the impact of changes or additions on the potential risk of the total.Diversification is an important tool in managing financial risks.Diversification among counterparties may reduce the risk that unexpected events adversely impact the organization through defaults. Diversification among investment assets reduces the magnitude of loss if one issuer fails. Diversification of customers, suppliers, and financing sources reduces the possibility that an organization will have its business adversely affected by changes outside management’s control. Although the risk of loss still exists, diversification may reduce the opportunity for large adverse outcomes.Risk Management ProcessThe process of financial risk management comprises strategies that enable an organization to manage the risks associated with financial markets. Risk management is a dynamic process that should evolve with an organization and its business. It involves and impacts many parts of an organization including treasury, sales, marketing, legal, tax, commodity, and corporate finance.The risk management process involves both internal and external analysis. The first part of the process involves identifying and prioritizing the financial risks facing an organization and understanding their relevance. It may be necessary to examine the organization and its products, management, customers, suppliers, competitors, pricing, industry trends, balance sheet structure, and position in the industry. It is also necessary to consider stakeholders and their objectives and tolerance for risk.Once a clear understanding of the risks emerges, appropriate strategies can be implemented in conjunction with risk management policy. For example, it might be possible to change where and how business is done, thereby reducing the organization’s exposure and risk. Alternatively, existingexposures may be managed with derivatives. Another strategy for managing risk is to accept all risks and the possibility of losses.There are three broad alternatives for managing risk:1. Do nothing and actively, or passively by default, accept all risks.2. Hedge a portion of exposures by determining which exposures can and should be hedged.3. Hedge all exposures possible.Measurement and reporting of risks provides decision makers with information to execute decisions and monitor outcomes, both before and after strategies are taken to mitigate them. Since the risk management process is ongoing, reporting and feedback can be used to refine the system by modifying or improving strategies.An active decision-making process is an important component of risk management. Decisions about potential loss and risk reduction provide a forum for discussion of important issues and the varying perspectives of stakeholders.Factors that Impact Financial Rates and PricesFinancial rates and prices are affected by a number of factors. It is essential to understand the factors that impact markets because those factors, in turn, impact the potential risk of an organization.Factors that Affect Interest RatesInterest rates are a key component in many market prices and an important economic barometer. They are comprised of the real rate plus a component for expected inflation, since inflation reduces the purchasing power of a lender’s assets .The greater the term to maturity, the greater theuncertainty. Interest rates are also reflective of supply and demand for funds and credit risk.Interest rates are particularly important to companies and governments because they are the key ingredient in the cost of capital. Most companies and governments require debt financing for expansion and capital projects. When interest rates increase, the impact can be significant on borrowers. Interest rates also affect prices in other financial markets, so their impact is far-reaching.Other components to the interest rate may include a risk premium to reflect the creditworthiness of a borrower. For example, the threat of political or sovereign risk can cause interest rates to rise, sometimes substantially, as investors demand additional compensation for the increased risk of default.Factors that influence the level of market interest rates include:1、Expected levels of inflation2、General economic conditions3、Monetary policy and the stance of the central bank4、Foreign exchange market activity5、Foreign investor demand for debt securities6、Levels of sovereign debt outstanding7、Financial and political stabilityYield CurveThe yield curve is a graphical representation of yields for a range of terms to maturity. For example, a yield curve might illustrate yields for maturity from one day (overnight) to 30-year terms. Typically, the rates are zero coupon government rates.Since current interest rates reflect expectations, the yield curve provides useful information about the market’s expectations of future interest rates. Implied interest rates for forward-starting terms can be calculated using the information in the yield curve. For example, using rates for one- and two-year maturities, the expected one-year interest rate beginning in one year’s time can be determined.The shape of the yield curve is widely analyzed and monitored by market participants. As a gauge of expectations, it is often considered to be a predictor of future economic activity and may provide signals of a pending change in economic fundamentals.The yield curve normally slopes upward with a positive slope, as lenders/investors demand higher rates from borrowers for longer lending terms. Since the chance of a borrower default increases with term to maturity, lenders demand to be compensated accordingly.Interest rates that make up the yield curve are also affected by the expected rate of inflation. Investors demand at least the expected rate of inflation from borrowers, in addition to lending and risk components. If investors expect future inflation to be higher, they will demand greater premiums for longer terms to compensate for this uncertainty. As a result, the longer the term, the higher the interest rate (all else being equal), resulting in an upward-sloping yield curve.Occasionally, the demand for short-term funds increases substantially, and short-term interest rates may rise above the level of longer term interest rates. This results in an inversion of the yield curve and a downward slope to its appearance. The high cost of short-term funds detracts from gains that would otherwise be obtained through investment and expansion and make the economyvulnerable to slowdown or recession. Eventually, rising interest rates slow the demand for both short-term and long-term funds. A decline in all rates and a return to a normal curve may occur as a result of the slowdown.财务风险管理尽管近年来金融风险大大增加，但风险和风险管理不是当代的主要问题。
远期、期货和互换
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维持保证金（maintenance margin）: when the balance in a trader’s margin account falls below the maintenance margin level, the trader receives a margin call requiring the account to be topped up to the initial margin level. 对冲平仓（offset）：最主要的一种结清头寸的方式 。 套保（hedging）: a trade designed to reduce risk.
远期（forwards）
期货（futures）
互换（swaps）
期权（options）
3
一、远期(forward)
远期合约（forward contract）：a contract to buy or sell a specified asset at a designated future time.
8
远期合约的类型： 商品远期合约 金融远期合约
远期利率协议 远期外汇合约 远期股票合约
下面仅介绍远期利率协议
9
远期利率（Forward Rate ）：将来某个时点开始的一定 期限的利率。(rate of interest for a period of time in the future implied by today’s zero rates). zero rate = zero coupon interest rate.
5
盈亏（net payoff，profit），从回收中扣除建立仓位 所发生的初始费用的终值，即 Profit = payoff – FV of expenses incurred
中国金融期货交易所中期国债期货品种介绍
中国金融期货交易所中期国债期货品种介绍一、中国金融期货交易所的中期国债期货合约（仿真）及与沪深300股指期货合约对比二、国债基础知识1、债券债券是政府、金融机构和工商企业等机构依照法定程序向投资者发行的，并约定在一定期限内还本付息的债权债务凭证，是一种有价证券。
债券的价格与市场收益率成反比，即市场收益率上升时，债券价格下降，反之则反。
下面的例子可以帮助我们理解。
举例来说：假设某种债券，五年后到期，票面利率为3%，每年支付一次利息，其现金流如下图所示，现在，市场的五年期收益率为4%，则该债券当前价格为：债券价格的波动变化，是由久期（Duration）和凸性（Convexity）两部分共同影响的。
2、债券市场工具之国债与国债期货债券市场基本工具包括：国债、公司债券、金融债券、中央银行票据、浮动利率债券、选择权债券、可转换债券、资产抵押债券、国际债券等。
债券市场衍生工具种类繁多，最基本的衍生工具有四种：远期（Forwards）、期货（Futures）、期权（Options）、互换（Swaps），其中，远期合约是其他三种衍生工具的基础。
什么是国债？国债是债券的一种，通常由中央政府发行，是国家信用的基本形式。
国债及国债市场是一国经济的重要组成部分，是政府、央行、普通投资者的有力工具。
对于政府，国债可用于筹集建设资金、弥补财政赤字、作为财政政策之一进行宏观调控等；对于央行，可通过国债市场进行公开市场操作，实施货币政策；对于普通投资者来说，国债是安全可靠的投资渠道。
我国国债由财政部发行，代表的是中央政府信用，以我国的征税能力作为国债还本付息的保障，享受中国债券市场最高的信用等级。
表：各国国债规模对比（大约）数据来源：公开信息整理，广发期货发展研究中心什么是国债期货？国债期货作为利率风险管理工具，属于金融期货中利率期货的一种，是指买卖双方通过有组织的交易场所，约定在未来特定时间，按预先确定的价格和数量进行券款交割的国债交易方式。
Hull经典衍生品教科书第9版官方PPT,第一章
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
What is a Derivative?
A derivative is an instrument whose value depends on, or is derived from, the value of another asset. Examples: futures, forwards, swaps, options, exotics…
time contract is entered into)
Profit
K
Price of Underlying at Maturity, ST
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 13
Profit from a Long Forward Position (K= delivery price=forward price at
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
12
Example (page 6)
On May 6, 2013, the treasurer of a corporation enters into a long forward contract to buy £1 million in six months at an exchange rate of 1.5532 This obligates the corporation to pay $1,553,200 for £1 million on November 6, 2010 What are the possible outcomes?
金融数学蔡明超答案
金融数学蔡明超答案【篇一：金融学书单】学，兹威博迪，罗伯特莫顿（中文版）2、asset pricing 2005， john h. cochrane3、dynamic asset pricing , duffie4、continuous-time finance robert c. merton6、the handbook of fixed income securities 7the,frank j. fabozzi7、investments--bodie, kane, marcus 5ed8、principle of financial engineering，salih n. neftci9、financial engineering and computation,yuh-dauh lyuu11、a benchmark of quantative finace,eckhard platen12、dynamic structure modeling,sanjay k. nawalkha13、numerical methods for finance,jhon a.d.appleby14、corporate fiance 6e,ross?westerfield?jaffe15、corporate finance-theory practice，pascal quiry maurizio dallocchio yann le fur antonio salvi16、the theory of corporate finance，jean tirole17、handbook of corporate finance1,william t. ziemba18、handbook of corporate finance2,william t. ziemba19、principles of corporate finance, seventhedition,brealey?meyers20、mergers, acquisitions and corporate restructuring,patricka. gaughan21、mergers, acquisitions and corporaterestructuring,chandrashekar krishnamurti vishwanath s.r.22、the economics of money,banking and financial markets,mishkin23、monetary economics,jagdish handa24、monetary theory and policy，carl e. walsh25、financial markets and institutions 5e,peter howells and keith bain26、handbook of finance financial markets and instruments - (2008),frank j. fabozzi27、microeconomics of banking 2e,xavier freixas and jean-charles rochet28、the economics of exchange rates,lucio sarno29、handbook of international banking 2003,andrew w. mullineux30、international finance--putting theory into practice,piet sercu31、advances in behavioral finance,richard h. thaler32、股市趋势技术分析33、资本市场的混沌与秩序(第二版)34、专业投机原理35、通向金融王国的自由之路36、非理性繁荣37、伟大的博弈38、国际金融钱荣堃南开大学出版社39、公司财务原理布雷利等著，方曙红等译，机械工业出版社40、投资学博迪、凯恩、马库斯著，陈收、杨艳译机械工业出版社41、货币银行学易纲、吴有昌著上海人民出版社42、财政学陈共著中国人民大学出版社43、本杰明-格雷厄姆：《证券分析》(securities analysis)44、理查斯-盖斯特：《金融体系中的投资银行》(investment banking in financial system)45、布鲁斯-格林威尔：《价值投资》(value investing)46、彼得-伯恩斯坦：《有效资产管理》(the intelligent asset allocater)47、理查德-费里：《指数基金》(all about index funds)48、大卫-史文森：《机构投资与基金管理的创新》(pioneering portfolio management)49、斯蒂芬-戴维斯：《银行并购：经验与教训》(bank mergers: lessons for the future)50、financial management and analysis, frank j.fabozzi51、货币金融学，米什金，中国人民大学出版社，199852、金融市场学，郑振龙，高等教育出版社53、资本市场的混沌与秩序，彼得斯，经济科学出版社，199954、finance, zvi bodie, robert c.merton,中国人民大学出版社，200055、货币、信用与商业，马歇尔56、资本市场：机构与工具，frank j.fabozzi,佛朗哥.莫地利安尼，经济科学出版社，2th,199857、the financial analyst’s handbook,sumner n.lenving58、资本理论及其收益率，罗伯特.索络，商务印书馆，199259、货币、银行与经济，托马斯.梅耶60、货币与资本市场，8th,peter.s.rose,中国人民大学出版社，200661、金融工具手册，frank.j.fabozzi,上海人民出版社，2006.762、金融体系：原理与组织，埃德温.尼夫，中国人民大学出版社，200563、管制、放松与重新管制，艾伦.加特，经济科学出版社，199964、corporate finance,rose,westerfield,5th edition, mcgraw-hill65、maximizing corporate value, george m.norton66、应用公司理财67、公司财务原理，布雷利迈尔斯,东北财经大学出版社68、现代企业财务管理，11th詹姆斯.c.范霍恩，经济科学出版社，200269、financial market and corporate strategy, glinbratt,70、时间序列分析预测与控制，george e.p box71、金融数学与分析技术，蔡明超72、计量经济模型与经济预测，平尼克.鲁宾费尔德，机械工业出版社73、金融数学，joseph stampfli,蔡明超译，机械工业出版社，2005.474、金融时间序列分析，ruey.s.tsay,机械工业出版社，2006.475、微观金融学及其数学基础，昭宇，清华大学出版社，2003.1176、计量经济分析方法与建模：eviews应用与及实例，高铁梅，清华大学出版社，200677、固定收益证券，布鲁斯.塔夫曼，科文（香港）出版社78、债券市场分析与战略，frank j.fabozzi79、全球金融市场的固定收益分析80、国际金融市场：价格与政策，2th,richard m.levich,机械工业出版社，200181、国际货币与金融，迈尔斯.梅尔文82、国际经济学，保罗.克鲁格曼，5th,中国人民大学出版社，200283、期权交易入门，e-book84、futures,forwards,options and swaps:theory and practice85、衍生产品，郑振龙，武汉大学出版社86、金融工程，约翰.马歇尔，维普尔.班赛尔，清华大学出版社，199887、financial risk manager handbook,philippe jorion88、米勒.莫顿论金融衍生工具，清华大学出版社，199989、asset-based finance,by citibank90、期权、期货与其他衍生产品，约翰.赫尔，3th,华夏出版社91、金融工程学，骆伦茨.格利茨，经济科学出版社92、金融工程学案例，斯科特.梅森，东北财经大学出版社，2001.493、options,futures other derivatives,fifth editon,hall94、投资圣经，沃伦.巴非特，台海出版社95、证券分析，本杰明.格雷汉姆，海南出版社，199596、资产选择－投资的有效分散化，哈里.马克维茨，经贸出版社97、投资学，威廉.夏普，中国人民大学出版社98、投资学，zvi bodie,6edition，机械工业出版社，2005.799、投资组合管理理论及应用，机械工业出版社100、金融心理学，拉斯.特维斯，中国人民大学出版社，2000101、格雷汉姆论价值投资102、新金融学：有效市场的反例，罗伯特.a.哈根，清华大学出版社，2002103、有效资产管理，威廉.波恩斯坦，上海财经大学出版社104、active equity portfolio management，frank j.fabozzi,上海财经大学出版社 105、微观银行学，哈维尔.佛雷克斯，西南财经大学出版社，1999106、handbook of international banking ,andrew w.mullineux 107、商业银行管理，5th,peter.s.rose,机械工业出版社，2004.8 108、银行信用风险分析手册，乔纳森.格林，机械工业出版社109、银行风险分析与管理，亨利.范.格罗，中国人民大学出版社110、银行资本管理：资本配置和绩效评测，克里斯.马腾，机械工业出版社，2004 111、银行管理－教程与案例，乔治.h.汉普尔，中国人民大学出版社，2002112、金融体系中的投资银行，查理斯.r.吉斯特，经济科学出版社 113、兼并与收购，中国人民大学出版社114、共同基金运作，阿尔伯特.j.弗里德曼，清华大学出版社，1998115、对冲基金手册(中文)，拉托尼奥，mcgraw-hill,2000116、指数基金，richard.a.ferri, 上海财经大学出版社117、伟大的博弈－华尔街帝国的崛起，约翰.戈登，中信出版社118、项目融资（哈佛经典），华夏出版社119、新帕尔格雷夫经济学大辞典第一、二、三、四卷：a-z，约翰.伊特维尔，经济科学出版社，1996120、公司治理学，李维安，高等教育出版社，2005121、会计学教程与案例，10th,罗伯特.n.安东尼，大卫.f.霍金斯，机械工业出版社（mcgraw-hill），2002122、《证券分析》，本杰明.格雷汉姆，海南出版社，2006，70周年纪念版123、《股史风云话投资》（stocks for the long run)，杰里米.西格尔，清华大学出版社，2004124、《投资者的未来》，杰里米.西格尔，机械工业出版社，2007 125、《与天为敌－风险探索传奇》，彼得.波恩斯坦，清华大学出版社126、《资产分配－投资者如何平衡金融风险》，罗杰.c.吉布森，机械工业出版社（mcgraw-hill)，2006127、《漫步华尔街》，伯顿.麦基尔，上海财经大学出版社，2002 128、《巴比伦富翁的理财圣经》，乔治.克拉森，学林出版社，2005129、《怎样选择成长股》，菲利普.a.菲舍，海南出版社，2006130、《金融炼金术》，乔治.索罗斯，海南出版社，1999131、《个人理财》，杰克.r.卡普尔，上海人民出版社，2006132、《1929年大崩盘》，约翰.肯尼斯.加尔布雷斯，上海财经大学出版社，2006.10 133、《解读华尔街》，杰弗里.b.里特，上海财经大学出版社（mcgraw-hill），2006 134、《金融理财原理》（上下册）（fpscc考试指定用书），中信出版社，2007135、《聪明的投资者》，本杰明.格雷汉姆，江苏人民出版社136、《共同基金常识》，约翰.博格137、《伯格投资－聪明投资者的最好50年》，约翰.博格138、《散户至上－证交会主席教你避险并反击股市黑幕》，阿瑟.莱维特，中信出版社，2005 139、《金融法概论》第5版，吴志攀著，北京大学出版社2011年版。
金融衍生品业务审计要点
542020 / 08 中国石化专栏·审计监督金融衍生品业务审计要点□ 车中扬金融衍生品主要包括期货（F u t u r e s ）、远期（Forwards）、互换（Swaps）和期权（Options）等，具有杠杆性、复杂性和风险性的特征，以及规避风险、价格发现、资产配置的功能作用。
国有企业特别是中央企业内部审计部门应依法依规，以风险为导向，结合实际抓重点，对金融衍生品业务开展情况进行审计监督，切实履行审计监督职能，使金融衍生品业务真正成为公司风险管理的工具。
金融衍生品业务的主要风险国有企业金融衍生品业务主要有三方面的风险：敞口控制风险。
如未细化应急管理机制，当套期保值盈亏敞口超过公司授权时，未及时发现或未及时采取止损措施，导致风险急剧增加、损失迅速扩大。
未建立统一的市场风险管理系统，不能及时、准确地反映公司整体风险情况等。
国有企业应以风险为导向，对金融衍生品业务开展情况进行审计监督，使金融衍生品业务真正成为公司风险管理的工具。
网络供图专栏·审计监督交易操作风险。
如期货贸易中交易人员和审核人员岗位及职责未完全分离；金融衍生品交易指令传递有误、执行不当，与委托单位就代理进口原油套期保值确认不当，未按照权限和流程进行审批，导致交易机会错失、头寸和盈亏统计不准确、交易结算差错等，损害公司利益。
交易数据录入不及时、不准确等。
监管风险。
如未能制定符合公司业务实际的金融衍生品业务管理制度，未对衍生品保证金制定预警线，场内保值交易风险未有效分散，部分业务未纳入风险管理部门的统一监控范围内，未确立统一的衍生品业务管理部门，内部监督部门无完整的交易查询权限，未有效履行监督职能等。
金融衍生品业务审计的主要内容国有企业的内部审计部门应依据《关于切实加强金融衍生品业务管理有关事项的通知》《期货交易管理条例》《国有企业境外期货套期保值业务管理办法》，公司金融衍生品业务管理制度及实施细则、权限指引、重大重要风险清单等规定，以衍生品业务重大重要风险为导向，综合运用查阅资料、统计分析、交易及风控系统查询、人员访谈等方法，在内审工作中重点考察金融衍生品业务开展情况，切实防范金融风险。
金融书籍推荐
金融书籍经典一．经济学1. 中华帝国的专制制度，佛朗索瓦.魁奈2. 资本论（共3卷），马恩全集3. 国家竞争优势，麦克尔.波特4. Essentials of corporate analysis, by john-wiley&sons,inc5. 公共部门经济学,2th，鲍得维，中国人民大学出版社，20006. 经济学，2th edition，斯帝尔格雷茨，中国人民大学出版社，20007. Economecis, mankiv,英文彩色8. 政治经济学原理，约翰.穆勒9. 自由、市场与国家，詹姆斯.布坎南10. 中间道路经济学，保罗.萨缪尔森，经贸出版社，197311. The economics of money banking and financial market,7thedtion,by Frederis S.Mishkin, pearson press12. 就业、利息与货币通论，凯恩斯，商务印书馆13. 微观经济学，保罗.萨缪尔森，7thedition,人民邮电出版社，2004二．货币、银行、金融市场1. Financial management and analysis, Frank J.Fabozzi2. 货币金融学，米什金，中国人民大学出版社，19983. 金融市场学，郑振龙，高等教育出版社4. 资本市场的混沌与秩序，彼得斯，经济科学出版社，19995. Finance, Zvi Bodie, Robert C.Merton,中国人民大学出版社，20006. 货币、信用与商业，马歇尔7. 资本市场：机构与工具，frank J.Fabozzi,佛朗哥.莫地利安尼，经济科学出版社，2th,19988. The financial analyst’s handbook,Sumner N.Lenving9. 资本理论及其收益率，罗伯特.索络，商务印书馆，199210. 货币、银行与经济，托马斯.梅耶11. 货币与资本市场，8th,peter.s.rose,中国人民大学出版社，200612. 金融工具手册，Frank.J.Fabozzi,上海人民出版社，2006.713. 金融体系：原理与组织，埃德温.尼夫，中国人民大学出版社，200514. 管制、放松与重新管制，艾伦.加特，经济科学出版社，1999三．财务管理1. corporate finance,rose,westerfield,5th edition, McGraw-Hill2. Maximizing corporate value, George M.Norton3. 应用公司理财4. 公司财务原理，布雷利&迈尔斯,东北财经大学出版社5. 现代企业财务管理，11th詹姆斯.C.范霍恩，经济科学出版社，20026. Financial market and corporate strategy, glinbratt,四．金融计量1. 时间序列分析预测与控制，George E.P BOX2. 金融数学与分析技术，蔡明超3. 计量经济模型与经济预测，平尼克.鲁宾费尔德，机械工业出版社4. 金融数学，Joseph stampfli,蔡明超译，机械工业出版社，2005.45. 金融时间序列分析，Ruey.s.Tsay,机械工业出版社，2006.46. 微观金融学及其数学基础，昭宇，清华大学出版社，2003.117. 计量经济分析方法与建模：Eviews应用与及实例，高铁梅，清华大学出版社，2006 五．固定收益1. 固定收益证券，布鲁斯.塔夫曼，科文（香港）出版社2. 债券市场分析与战略，Frank J.Fabozzi3. 全球金融市场的固定收益分析六．国际金融1. 国际金融市场：价格与政策，2Th,Richard M.Levich,机械工业出版社，20012. 国际货币与金融，迈尔斯.梅尔文3. 国际经济学，保罗.克鲁格曼，5th,中国人民大学出版社，2002七．金融工程1. 期权交易入门，e-book2. Futures,forwards,options and swaps:theory and practice3. 衍生产品，郑振龙，武汉大学出版社4. 金融工程，约翰.马歇尔，维普尔.班赛尔，清华大学出版社，19985. Financial risk manager handbook,Philippe Jorion6. 米勒.莫顿论金融衍生工具，清华大学出版社，19997. Asset-based finance,by citibank8. 期权、期货与其他衍生产品，约翰.赫尔，3th,华夏出版社9. 金融工程学，骆伦茨.格利茨，经济科学出版社10. 金融工程学案例，斯科特.梅森，东北财经大学出版社，2001.411. options,futures& other derivatives,fifth editon,hall八．投资与组合管理1. 投资圣经，沃伦.巴非特，台海出版社2. 证券分析，本杰明.格雷汉姆，海南出版社，19953. 资产选择－投资的有效分散化，哈里.马克维茨，经贸出版社4. 投资学，威廉.夏普，中国人民大学出版社5. 投资学，zvi Bodie,6edition，机械工业出版社，2005.76. 投资组合管理理论及应用，机械工业出版社7. 金融心理学，拉斯.特维斯，中国人民大学出版社，20008. 格雷汉姆论价值投资9. 新金融学：有效市场的反例，罗伯特.A.哈根，清华大学出版社，200210. 有效资产管理，威廉.波恩斯坦，上海财经大学出版社11. Active equity portfolio management，Frank J.Fabozzi,上海财经大学出版社九．商业银行1. 微观银行学，哈维尔.佛雷克斯，西南财经大学出版社，19992. Handbook of international banking ,Andrew W.Mullineux3. 商业银行管理，5th,peter.s.rose,机械工业出版社，2004.84. 银行信用风险分析手册，乔纳森.格林，机械工业出版社5. 银行风险分析与管理，亨利.范.格罗，中国人民大学出版社6. 银行资本管理：资本配置和绩效评测，克里斯.马腾，机械工业出版社，20047. 银行管理－教程与案例，乔治.H.汉普尔，中国人民大学出版社，2002 十．投资银行1. 金融体系中的投资银行，查理斯.R.吉斯特，经济科学出版社2. 兼并与收购，中国人民大学出版社十一．基金1. 共同基金运作，阿尔伯特.J.弗里德曼，清华大学出版社，19982. 对冲基金手册(中文)，拉托尼奥，Mcgraw-Hill,20003. 指数基金，Richard.A.Ferri, 上海财经大学出版社十二．其他1. 伟大的博弈－华尔街帝国的崛起，约翰.戈登，中信出版社2. 项目融资（哈佛经典），华夏出版社3. 新帕尔格雷夫经济学大辞典第一、二、三、四卷：A-Z，约翰.伊特维尔，经济科学出版社，19964. 公司治理学，李维安，高等教育出版社，20055. 会计学教程与案例，10th,罗伯特.N.安东尼，大卫.F.霍金斯，机械工业出版社（McGraw-Hill），2002 十三. 实用投资类1.《证券分析》，本杰明.格雷汉姆，海南出版社，2006，70周年纪念版2.《股史风云话投资》（stocks for the long run)，杰里米.西格尔，清华大学出版社，20043.《投资者的未来》，杰里米.西格尔，机械工业出版社，20074.《与天为敌－风险探索传奇》，彼得.波恩斯坦，清华大学出版社5.《资产分配－投资者如何平衡金融风险》，罗杰.C.吉布森，机械工业出版社（McGraw-hill)，20066.《漫步华尔街》，伯顿.麦基尔，上海财经大学出版社，20027.《巴比伦富翁的理财圣经》，乔治.克拉森，学林出版社，20058.《怎样选择成长股》，菲利普.A.菲舍，海南出版社，20069.《金融炼金术》，乔治.索罗斯，海南出版社，199910.《个人理财》，杰克.R.卡普尔，上海人民出版社，200611.《1929年大崩盘》，约翰.肯尼斯.加尔布雷斯，上海财经大学出版社，2006.1012.《解读华尔街》，杰弗里.B.里特，上海财经大学出版社（MCGRAW-HILL），200613.《金融理财原理》（上下册）（FPSCC考试指定用书），中信出版社，200714.《聪明的投资者》，本杰明.格雷汉姆，江苏人民出版社15.《共同基金常识》，约翰.博格16.《伯格投资－聪明投资者的最好50年》，约翰.博格17.《散户至上－证交会主席教你避险并反击股市黑幕》，阿瑟.莱维特，中信出版社，2005如果一个人要对金融和投资方面的实际知识得到比较深入的了解，十五本书无疑是远远不够的。
证券投资学第4章 金融衍生工具
在“327”风波爆发前的数月中，上证所“314”国债合约 上已出现数家机构联手操纵市场，日价格波幅达3元的异常行 情。1995年2月23日，财政部公布的1995年新债发行量被市 场人士视为利多，加之“327”国债本身贴息消息日趋明朗，致 使全国各地国债期货市场均出现向上突破行情。上证所327合 约空方主力在148.50价位封盘失败、行情飙升后蓄意违规。 16点22分之后，空方主力大量透支交易，以千万手的巨量空单， 将价格打压至147.50元收盘，使327合约暴跌3.8元，并使当 日开仓的多头全线爆仓，造成了传媒所称的“中国的巴林事 件”。
第4章 金融衍生工具
衍生工具是根据市场参与者的避险需求设计的新型金融产 品，但是其运用不当也会给使用者带来巨大的风险。常见的衍 生工具包括远期、期货、期权、互换等，它们是现代金融市场 的重要组成部分。本章主要介绍四类衍生工具——远期、期 货、期权和互换的概念、特点和交易方法，以及它们在实际中 的一些应用。
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(1)交易中对方违约，没有履行所作承诺造成损失的信用风险； (2)因资产或指数价格不利变动可能带来损失的市场风险； (3)因市场缺乏交易对手而导致投资者不能平仓或变现所带来的 流动性风险； (4)因交易对手无法按时付款或交割可能带来的结算风险； (5)因交易或管理人员的人为错误或系统故障、控制失灵而造成 的运作风险； (6)因合约不符合所在国法律，无法履行或合约条款遗漏及模糊 导致的法律风险。
期权类合约事先约定的是标的资产的交易权利，期权合约 的买方在期限内有权选择是否按照交易条款交割，所以期权类 合约又被叫做选择权类合约（Options）。
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二 、金融衍生工具的基本特征 1．跨期交易 金融衍生工具是交易双方通过对利率、汇率、股价等因素