内蒙古大学-投资银行学-衍生金融工具与风险管理

E-Mail:[e-mail]0471-4993528————……wForwardContracts(orForwards)wFuturesContracts(orFutures)wSwapswOptionsTypesofTraderswHedgersHedgersareinterestedinreducingariskthattheyalreadyface.wSpeculatorsWhereashedgerswanttoeliminateanexposuretomomentsinthepriceofanasset,speculatorswishtotakeapositioninthemarket.Theyarebettingthatthepricewillgoupordown.wArbitrageursArbitrageisatypeoftransactioninwhichaninvestorseekstoprofitwhenthesamegoodsellsfordifferentprice.Arbitrageinvolveslockinginarisklessprofitbyenteringsimultaneouslyintotransactionsintwoormoremarkets.TheNatureofDerivativeswAderivativeisaninstrumentwhosevaluedependsonthevaluesofothermorebasicunderlyingvariablesw,ww11ww22(1)(1)(2)(2)(3)(3)ww11ww(1)(1)(Scalpers)(Scalpers)((DaytradersDaytraders))(PositionTraders)(PositionTraders)ww(2)(2)(AutomatedPitTrading(AutomatedPitTradingAPT)APT)GLOBEXGLOBEXDTBDTBSOFFEXSOFFEXMEFFMEFFww22————ww33(1nitialMargin)(1nitialMargin)(VariationMargin)(VariationMargin)(MaintenanceMargin)(MaintenanceMargin)FuturesTradew1.commissionbroker2.localsw1.marketorder2.limitorderw1.openingupaposition2.closingoutapositionFuturesTradelllllªlimitupªlimitdown•FuturesTrade:llMarginAccountlInitialMarginlMaintenanceMarginlMarginCallMaintenanceMarginFuturesTrade:lMaintenanceMarginlMarkingtoMarketlA.B.(daytradeandspreadtransaction)w11w:wFT-SEl00(100)wS&P500(—500)wNikkei225(225)wDAX(DTB)wCACAO(MATIF40)wFT-SEl002500wS&P50022000ww=21975w:wCBOT()(15)(610)wIMM()90(TB)(90)w?100—1090(1001090)w3(LIFFE)50000011w=3(1)(2)(3)(4)3(1)?w(2)?w(3)?()ww(4)?w100000250004(10000025000=4)w123ww(SHFE)w(DCE)w(CZCE)w(HKFE)wwCBOT)w(CME)w(LME)w(LIFFE)w(TGE)w(RE)w(MATIF)(1)w(2)w(3)w(4)w(5)(CallOption)w(PutOption)wØØww2w3w45w(1)w(2)w(3)w(4)11000w45305500(05X1000500)34510002ww(1)w(2)w(3)3(1),w(2)w(SwapContracts)wDevelopmentofSwapsw19791981IBMw19817w1985ISDA19861987w1986(1)(2)(Tenor)(3)(4)90%10%wS&P500S&P50010019(225)—5002500500325003450070000200002200000225002250032500345000.020.022-0.01-0.0121234S&P500w(TheInterestRateSwaps)TheCurrencySwapswIBM19812.9IBMIBMTheCurrencySwapsTheCurrencySwapsw70(Caps)(Floors)(Collars)