风险管理中的期货和期权 英文版PDF电子书下载

1 An introduction to derivatives 1

Definitions of various derivatives instruments 2

The modern history of financial derivates 6

The institutions and mechanisms of the futures markets 7

Variation margin 17

The mechanics of the options markets 18

Recent development in the derivatives markets 20

An intuitive introduciton to the uses of options,futures and swaps 21

Description of the remainder of this book 25

Summary 26

Questions 26

References 27

2 An introduction to quantitative techniques 29

Introduction 30

Some basic mathematics 30

The time value of money 34

The mathematics of asset yields 39

Frequency distributions of asset returns 48

Statistical analysis of the size and variability of asset retums 51

Probability distributions 57

Covariance,correlation and regression 69

An application of the mean,standard deviation and correlation coefficient 74

Questions 76

Summary 76

References and further reading 77

Appendix 2.1:The standardized normal distribution 78

Appendix 2.2:Percentage points of the t-distribution 79

3 The general principles of pricing forwards and futures contracts 81

Spot and forward contracts 82

Arbitrage and the pricing of financial instruments 82

Distinction between value and price 84

The pricing of forward and futures contracts on carryable financial assets 85

The pricing of forward and futures contracts on non-carryable financial assets 94

The differences between forward and futures prices 96

Summary 97

Questions 98

References 99

4 The general principles of valuing options 101

Introduction 102

Limits to an option s price 102

Intuitive explanation of factors influencing option values 103

Valuation of European options 106

Option price ssensitivities 118

Valuation of European put options 127

The effects of a breakdown in the assumptions 129

Questions 130

Summary 130

References and further reading 131

Appendix 4.1:The trinomial equivalent of the binomial option-pricing model 132

Appendix 4.2:Introduction to the stochastic calculus of the Black-Scholes model 134

5 Volatility 143

What is volatility? 144

Types of volatility 145

Esstimating volatility 146

The empirical characteristics of volatility 154

Forward volatilities 157

Empirical evidence of volatility forecasts 161

Summary 162

Questions 162

References and further reading 163

Appendix 5.1:Bisection 164

6 Option strategies 167

Introduction 167

Analysis of option strategies 169

Managing the long option position 178

Call option writing 180

Put option writing 187

Option strategies involving more than one option 189

Questions 199

Summary 199

Further reading 200

7 Equity options 201

Introduction 202

The application of equity option valuation models 203

The effect of dividend payments on option valuation 204

Valuation of American options 205

The binomial model applied to American options 209

Empirical tests of equity option-pricing models 213

Long-term equity warrants 218

Bonds with embedded equity options 220

Summary 222

References and further reading 223

Questions 223

8 Futures and options on equity indices 225

Introduction 226

The structure of equity indices 226

Futures on equity indices 228

Options on equity indices 235

Empirical analysis of index option-pricing models 247

Index futures and options in equity risk management 248

Applications of options on equity indices and on index futures 263

Summary 273

Questions 274

References 275

Appendix 8.1:Bivariate GARCH 276

Appendix 8.2:Proof of the derivation of the hedge ratio h 277

9 Currency forwards and futures 279

Introduction 280

The quotation of exchange rates 280

Foward exchange contracts and currency futures compared 282

The determination of forward exchange rates and currency futures prices 283

Managing currency risk with forwards or futures 290

Summary 298

Questions 298

References and further reading 299

10 Currency options 301

Introduction 302

Valuation of currency options 303

Validity of the models assumptions 311

Options on currency futures and forwards 314

Applications of currency options to currency risk management 318

Summary 323

Questions 323

References 324

11 Short-term interest rate futures 327

Introduction 327

The exchange-traded and the over-the-counter markets 328

Money market interest rate conventions 328

Futures and forwards on short-term interest rates 336

Applications of interest rate futures and FRAs 348

Summary 365

Questions 365

References and further reading 366

12 Bond futures 367

Types of bond futures and contract specifications 368

Special features of bond futures contracts 369

The pricing of bond futures contracts 372

Summary of bond futures pricing procedures 374

The concept of basis 378

Embedded options and the fair price of a future 383

Summary of factors affecting embedded options 387

Applications of bond futures to risk management 388

Summary 408

Questions 409

References and further reading 409

13 Options on debt instruments and interest rates 412

Introduction 412

Are interest rate options different to other options? 412

Applying Black-Scholes-type models to interest rate options 414

Applications of short-term interest rate options to risk management 420

Term structure models of option pricing 430

The nature of debt instruments with embedded options 446

Applying the Black-Derman-Toy model to bonds with embedded options 449

Summary 455

Questions 455

References and further reading 456

14 Swaps 459

Introduction 460

The reasons for the swap market s existence 460

The analysis of interest rate swaps 464

The analysis of currency swaps 466

The pricing and valuing of swaps 468

Calculating the price of an interest rate 472

Valuation of interest rate swaps 480

Non-generic interest rate swaps 483

Pricing and valuing of currency swaps 483

The risks associated with swaps 484

Applications of swaps to risk management 486

Asset swaps:synthetic instruments for asset management 488

Equity swaps 489

Commodity swaps 492

Options of swaps:swaptions 493

Applications of swaptions to risk management 496

Summary 498

Questions 499

Appendix 14.1:Deriving the swap zero coupon curve from the par swap yield curve 500

References and further reading 500

15 Exotic options 505

Introduction 506

Path dependence and independence 506

Correlation risk 506

Types of exotic options 507

Correlation risk 533

Questions 536

References and further reading 537

Appendix 15.1:Monte Carlo simulation 537

A general introduction to the theory of risk 543

16 Managing risk in derivatives portfolios 543

Data for measuring risk 548

Managing risks applicable to all derivatives portfolios 550

Managing exposure to default risk 551

Mitigating exposure to default risk 553

Managing exposure to interest rate risk 557

Managing interest rate risk 568

Hedging options portfolios 575

Critical analysis and internal control of model application 580

Value-at-risk models 583

Questions 589

References 590

Index 591