期货与期权市场导论 第5版 英文PDF电子书下载

Chapter 1:Introduction 1

1.1 Futures Contracts 1

1.2 History of Futures Markets 2

1.3 The Over-the-Counter Market 3

1.4 Forward Contracts 5

1.5 Options Contracts 6

1.6 History of Options Markets 8

1.7 Types of Traders 9

1.8 Hedgers 9

1.9 Speculators 11

1.10 Arbitrageurs 14

1.11 Dangers 15

Summary 15

Further Reading 16

Quiz 16

Questions and Problems 17

Assignment Questions 18

Chapter 2:Mechanics of Futures Markets 21

2.1 Opening and Closing Futures Positions 21

2.2 The Specification of a Futures Contract 22

2.3 Convergence of Futures Price to Spot Price 25

2.4 The Operation of Margins 26

2.5 Newspaper Quotes 31

2.6 Delivery 35

2.7 Types of Traders and Types of Orders 36

2.8 Regulation 37

2.9 Accounting and Tax 38

2.10 Forward vs. Futures Contracts 40

Summary 42

Further Reading 43

Quiz 44

Questions and Problems 44

Assignment Questions 45

Chapter 3:Hedging Strategies Using Futures 47

3.1 Basic Principles 47

3.2 Arguments for and against Hedging 50

3.3 Basis Risk 53

3.4 Cross Hedging 58

3.5 Stock Index Futures 61

3.6 Rolling the Hedge Forward 68

Summary 69

Further Reading 70

Quiz 71

Questions and Problems 71

Assignment Questions 72

Appendix:Proof of the Minimum Variance Hedge Ratio Formula 74

Chapter 4:Interest Rates 75

4.1 Types of Rates 75

4.2 Measuring Interest Rates 77

4.3 Zero Rates 80

4.4 Bond Pricing 80

4.5 Determining Treasury Zero Rates 82

4.6 Forward Rates 84

4.7 Forward-Rate Agreements 86

4.8 Theories of the Term Structure 89

Summary 90

Further Reading 90

Quiz 90

Questions and Problems 91

Assignment Questions 92

Appendix:Exponential and Logarithm Functions 94

Chapter 5:Determination of Forward and Futures Prices 97

5.1 Investment Assets vs.Consumption Assets 97

5.2 Short Selling 97

5.3 Assumptions and Notation 99

5.4 Forward Price for an Investment Asset 99

5.5 Known Income 102

5.6 Known Yield 105

5.7 Valuing Forward Contracts 105

5.8 Are Forward Prices and Futures Prices Equal? 107

5.9 Futures Prices of Stock Indices 108

5.10 Forward and Futures Contracts on Currencies 110

5.11 Futures on Commodities 114

5.12 The Cost of Carry 117

5.13 Delivery Options 118

5.14 Futures Prices and the Expected Spot Prices 118

Summary 120

Further Reading 121

Quiz 122

Questions and Problems 122

Assignment Questions 124

Appendix:Proof that Forward and Futures Prices Are Equal When Interest Rates Are Constant 125

Chapter 6:Interest Rate Futures 127

6.1 Day Count Conventions 127

6.2 Quotations for Treasury Bonds and Bills 128

6.3 Treasury Bond Futures 131

6.4 Eurodollar Futures 135

6.5 Duration 138

6.6 Duration-Based Hedging Strategies 142

Summary 146

Further Reading 147

Quiz 147

Questions and Problems 148

Assignment Questions 149

Chapter 7:Swaps 151

7.1 Mechanics of Interest Rate Swaps 151

7.2 Day Count Issues 158

7.3 Confirmations 158

7.4 The Comparative-Advantage Argument 159

7.5 The Nature of Swap Rates 162

7.6 Determining LIBOR/Swap Zero Rates 163

7.7 Valuation of Interest Rate Swaps 164

7.8 Currency Swaps 168

7.9 Valuation of Currency Swaps 172

7.10 Credit Risk 174

Summary 176

Further Reading 177

Quiz 177

Questions and Problems 178

Assignment Questions 180

Chapter 8:Mechanics of Options Markets 181

8.1 Types of Options 181

8.2 Option Positions 184

8.3 The Underlying Assets 186

8.4 Specification of Stock Options 187

8.5 Newspaper Quotes 191

8.6 Trading 191

8.7 Commissions 193

8.8 Margins 194

8.9 The Options Clearing Corporation 196

8.10 Regulation 197

8.11 Taxation 197

8.12Warrants,Executive Stock Options,and Convertibles 198

8.13 Over-the-Counter Markets 199

Summary 201

Further Reading 201

Quiz 202

Questions and Problems 202

Assignment Questions 203

Chapter 9:Properties of Stock Options 205

9.1 Factors Affecting Option Prices 205

9.2 Assumptions and Notation 209

9.3 Upper and Lower Bounds for Option Prices 209

9.4 Put-Call Parity 213

9.5 Early Exercise:Calls on a Non-Dividend-Paying Stock 216

9.6 Early Exercise:Puts on a Non-Dividend-Paying Stock 217

9.7 Effect of Dividends 219

Summary 220

Further Reading 221

Quiz 221

Questions and Problems 222

Assignment Questions 223

Chapter 10:Trading Strategies Involving Options 225

10.1 Strategies Involving a Single Option and a Stock 225

10.2 Spreads 227

10.3 Combinations 236

10.4 Other Payoffs 239

Summary 239

Further Reading 240

Quiz 240

Questions and Problems 240

Assignment Questions 241

Chapter 11:Introduction to Binomial Trees 243

11.1 A One-Step Binomial Model 243

11.2 Risk-Neutral Valuation 246

11.3 Two-Step Binomial Trees 249

11.4 A Put Example 251

11.5 American Options 252

11.6 Delta 253

11.7 Determining u and d 254

11.8 Increasing the Number of Time Steps 255

11.9 Options on Other Assets 256

Summary 259

Further Reading 260

Quiz 260

Questions and Problems 261

Assignment Questions 262

Chapter 12:Valuing Stock Options:The Black-Scholes Model 263

12.1Assumptions about How Stock Prices Evolve 263

12.2 Expected Return 266

12.3 Volatility 267

12.4 Estimating Volatility from Historical Data 268

12.5 Assumptions Underlying Black-Scholes 271

12.6 The Black-Scholes/Merton Analysis 272

12.7 Risk-Neutral Valuation 275

12.8 Implied Volatilities 276

12.9 Dividends 277

Summary 279

Further Reading 280

Quiz 281

Questions and Problems 281

Assignment Questions 283

Appendix:The Early Exercise of American Call Options on Dividend-Paying Stocks 284

Chapter 13:Options on Stock Indices and Currencies 287

13.1 A Simple Rule 287

13.2 Pricing Formulas 289

13.3 Binomial Trees 289

13.4 Options on Stock Indices 290

13.5 Currency Options 296

Summary 298

Further Reading 299

Quiz 299

Questions and Problems 300

Assignment Questions 301

Chapter 14:Futures Options 303

14.1 Nature of Futures Options 303

14.2 Quotes 304

14.3 Reasons for the Popularity of Futures Options 305

14.4 Put-Call Parity 308

14.5 Bounds for Futures Options 309

14.6 Valuation of Futures Options Using Binomial Trees 310

14.7 A Futures Price as an Asset Providing a Yield 312

14.8 Black's Model for Valuing Futures Options 312

14.9 Futures Options vs.Spot Options 313

Summary 314

Further Reading 314

Quiz 315

Questions and Problems 315

Assignment Questions 316

Chapter 15:The Greek Letters 317

15.1 Illustration 317

15.2 Naked and Covered Positions 318

15.3 A Stop-Loss Strategy 318

15.4 Delta Hedging 320

15.5 Theta 329

15.6 Gamma 331

15.7 Relationship between Delta,Theta,and Gamma 334

15.8 Vega 335

15.9 Rho 337

15.10 The Realities of Hedging 338

15.11 Scenario Analysis 339

15.12Creating Options Synthetically for Portfolio Insurance 340

15.13 Stock Market Volatility 342

Summary 343

Further Reading 344

Quiz 344

Questions and Problems 345

Assignment Questions 347

Chapter 16:Valuation Using Binomial Trees 349

16.1 The Binomial Model for a Non-Dividend-Paying Stock 349

16.2 Using the Binomial Tree for Options on Indices,Currencies,and Futures Contracts 356

16.3 The Binomial Model for a Dividend-Paying Stock 359

16.4 Extensions of the Basic Tree Approach 362

16.5 Alternative Procedure for Constructing Trees 363

16.6 Monte Carlo Simulation 366

Summary 367

Further Reading 368

Quiz 368

Questions and Problems 368

Assignment Questions 369

Chapter 17:Volatility Smiles 371

17.1 Put-Call Parity Revisited 371

17.2 Foreign Currency Options 372

17.3 Equity Options 376

17.4 The Volatility Term Structure and Volatility Surfaces 377

17.5 When a Single Large Jump Is Anticipated 379

Summary 381

Further Reading 381

Quiz 382

Questions and Problems 382

Assignment Questions 383

Chapter 18:Value at Risk 385

18.1 The VaR Measure 385

18.2 Historical Simulation 388

18.3 Model-Building Approach 389

18.4 Linear Model 393

18.5 Quadratic Model 396

18.6 Estimating Volatilities and Correlations 398

18.7 Comparison of Approaches 402

18.8 Stress Testing and Back Testing 403

Summary 403

Further Reading 404

Quiz 405

Questions and Problems 405

Assignment Questions 407

Appendix:Cash-Flow Mapping 409

Chapter 19: Interest Rate Options 411

19.1 Exchange-Traded Interest Rate Options 411

19.2 Embedded Bond Options 413

19.3 Black's Model 413

19.4 European Bond Options 415

19.5 Interest Rate Caps 417

19.6 European Swap Options 423

19.7 Term Structure Models 426

Summary 427

Further Reading 427

Quiz 428

Questions and Problems 428

Assignment Questions 429

Chapter 20: Exotic Options and Other Nonstandard Products 431

20.1 Exotic Options 431

20.2 Mortgage-Backed Securities 437

20.3 Nonstandard Swaps 438

Summary 444

Further Reading 445

Quiz 446

Questions and Problems 447

Assignment Questions 448

Chapter 21:Credit Derivatives 449

21.1 Credit Default Swaps 449

21.2 Total Return Swaps 456

21.3 CDS Forwards and Options 458

21.4 Collateralized Debt Obligations 459

Summary 460

Further Reading 461

Quiz 461

Questions and Problems 461

Assignment Questions 462

Chapter 22:Weather,Energy,and Insurance Derivatives 465

22.1 Weather Derivatives 465

22.2 Energy Derivatives 466

22.3 Insurance Derivatives 469

Summary 470

Further Reading 471

Quiz 471

Questions and Problems 472

Assignment Question 472

Chapter 23:Derivatives Mishaps and What We Can Learn from Them 473

23.1 Lessons for All Users of Derivatives 473

23.2 Lessons for Financial Institutions 477

23.3 Lessons for Nonfinancial Corporations 481

Summary 482

Further Reading 482

Answers to Quiz Questions 485

Chapter 1 485

Chapter 2 486

Chapter 3 486

Chapter 4 487

Chapter 5 489

Chapter 6 489

Chapter 7 490

Chapter 8 492

Chapter 9 494

Chapter 10 494

Chapter 11 495

Chapter 12 497

Chapter 13 498

Chapter 14 500

Chapter 15 500

Chapter 16 501

Chapter 17 503

Chapter 18 503

Chapter 19 505

Chapter 20 505

Chapter 21 506

Chapter 22 507

Glossary of Terms 509

Major Exchanges Trading Futures and Options 525

Table for N(x)When x≤0 526

Table for N(x)When x≥0 527