哈佛商学经典 期权、期货和衍生证券：英文PDF电子书下载

1 INTRODUCTION 1

1．1 Forward Contracts 1

1 INTRODUCTION 1

1．2 Futures Contracts 3

1．3 Options 4

1．4 Other Derivatives 9

1．5 Types of Traders 10

Questions and Problems 13

1．6 Summary 13

2．1 Trading Futures Contracts 16

2 FUTURES MARKETS AND THE USE OF FUTURES FOR HEDGING 16

2 FUTURES MARKETS AND THE USE OF FUTURES FOR HEDGING 16

2．2 Specification of the Futures Contract 17

2．3 Operation of Margins 20

2．4 Newspaper Quotes 24

2．5 Convergence of Futures Price to Spot Price 28

2．6 Settlement 29

2．7 Regulation 30

2．8 Hedging Using Futures 31

2．9 Optimal Hedge Ratio 35

2．10 Rolling the Hedge Forward 37

2．11 Accounting and Tax 38

2．12 Summary 40

Suggestions for Further Reading 41

Questions and Problems 42

3 FORWARD AND FUTURES PRICES 45

3．1 Some Preliminaries 45

3 FORWARD AND FUTURES PRICES 45

3．2 Forward Contracts on a Security That Provides No Income 51

3．3 Forward Contracts on a Security That Provides a Known Cash Income 52

3．4 Forward Contracts on a Security That Provides a Known Dividend Yield 54

3．6 Forward Prices versus Futures Prices 55

3．5 General Result 55

3．7 Stock Index Futures 57

3．8 Forward and Futures Contracts on Currencies 63

3．9 Futures on Commodities 65

3．10 The Cost of Carry 67

3．11 Delivery Choices 68

3．12 Futures Prices and the Expected Future Spot Price 68

3．13 Summary 71

Suggestions for Further Reading 72

Questions and Problems 73

Appendix 3A Proof That Forward and Futures Prices Are Equal When Interest Rates Are Constant 76

4 INTEREST RATE FUTURES 78

4．1 Some Preliminaries 78

4 INTEREST RATE FUTURES 78

4．2 Forward Rate Agreements 87

4．3 Treasury Bond and Treasury Note Futures 88

4．4 Treasury Bill Futures 95

4．5 Eurodollar Futures 99

4．6 Duration 100

4．7 Duration-Based Hedging Strategies 102

4．8 Limitations of Duration 104

4．9 Summary 106

Suggestions for Further Reading 107

Questions and Problems 107

5 SWAPS 111

5．1 Mechanics of Interest Rate Swaps 111

5 SWAPS 111

5．2 The Comparative Advantage Argument 118

5．3 Valuation of Interest Rate Swaps 121

5．4 Currency Swaps 125

5．5 Valuation of Currency Swaps 128

5．6 Other Swaps 130

5．7 Credit Risk 132

5．8 Summary 133

Suggestions for Further Reading 134

Questions and Problems 134

6 OPTIONS MARKETS 138

6．1 Exchange-Traded Options 138

6 OPTIONS MARKETS 138

6．2 Over-the-Counter Options 139

6．3 Specification of Stock Options 140

6．4 Newspaper Quotes 145

6．5 Trading 146

6．6 Commissions 147

6．7 Margins 148

6．8 The Options Clearing Corporation 150

6．9 Regulation 151

6．10 Taxation 151

6．11 Warrants and Convertibles 153

6．12 Summary 154

Suggestions for Further Reading 154

Questions and Problems 154

7 PROPERTIES OF STOCK OPTION PRICES 156

7．1 Factors Affecting Option Prices 156

7 PROPERTIES OF STOCK OPTION PRICES 156

7．2 Assumptions and Notation 158

7．3 Upper and Lower Bounds for Option Prices 159

7．4 Early Exercise：Calls on a Non-Dividend-Paying Stock 162

7．5 Early Exercise：Puts on a Non-Dividend-Paying Stock 165

7．6 Put-Call Parity 167

7．7 Effect of Dividends 170

7．8 Empirical Research 172

7．9 Summary 173

Suggestions for Further Reading 174

Questions and Problems 174

8 TRADING STRATEGIES INVOLVING OPTIONS 177

8．1 Strategies Involving a Single Option and a Stock 177

8 TRADING STRATEGIES INVOLVING OPTIONS 177

8．2 Spreads 179

8．3 Combinations 187

8．4 Other Payoffs 190

8．5 Summary 190

Suggestions for Further Reading 191

Questions and Problems 192

9 INTRODUCTION TO BINOMIAL TREES 194

9．1 One-Step Binomial Model 194

9 INTRODUCTION TO BINOMIAL TREES 194

9．2 Risk-Neutral Valuation 198

9．3 Two-Step Binomial Trees 199

9．4 Put Example 202

9．5 American Options 203

9．6 Delta 204

9．7 Using Binomial Trees in Practice 205

9．8 Summary 206

Suggestions for Further Reading 207

Questions and Problems 207

10 MODEL OF THE BEHAVIOR OF STOCK PRICES 209

10．1 The Markov Property 209

10 MODEL OF THE BEHAVIOR OF STOCK PRICES 209

10．2 Wiener Processes 210

10．3 The Process for Stock Prices 215

10．4 Review of the Model 217

10．5 The Parameters 219

10．6 Ito s Lemma 220

10．7 Summary 222

Questions and Problems 223

Suggestions for Further Reading 223

Appendix 10A Derivation of Ito s Lemma 225

11 THE BLACK-SCHOLES ANALYSIS 228

11．1 Lognormal Property of Stock Prices 228

11 THE BLACK-SCHOLES ANALYSIS 228

11．2 The Distribution of the Rate of Return 230

11．3 Estimating Volatility form Historical Data 232

11．4 Concepts Underlying the Black-Scholes Differential Equation 235

11．5 Derivation of the Black-Scholes Differential Equation 237

11．6 Risk-Neutral Valuation 239

11．7 Black-Scholes Pricing Formulas 240

11．8 Cumulative Normal Distribution Function 243

11．9 Warrants Issued by a Company on Its Own Stock 244

11．10 Implied Volatilities 246

11．11 The Causes of Volatility 247

11．12 Dividends 249

11．13 Summary 253

Suggestions for Further Reading 255

Questions and Problems 256

Appendix 11A Exact Procedure for Calculating Values of American Calls on Dividend-Paying Stocks 259

Appendix 11B Calculation of Cumulative Probability in Bivariate Normal Distribution 260

12 OPTIONS ON STOCK INDICES， CURRENCIES， AND FUTURES CONTRACTS 261

12 OPTIONS ON STOCK INDICES， CURRENCIES， AND FUTURES CONTRACTS 261

12．1 Extending Black-Scholes 261

12．2 Pricing Formulas 263

12．3 Options on Stock Indices 264

12．4 Currency Options 269

12．5 Futures Options 273

12．6 Summary 280

Suggestions for Further Reading 281

Questions and Problems 282

Appendix 12A Derivation of Differential Equation Satisfied by a Derivative Dependent on a Stock Paying a Continuous Dividend Yield 284

Appendix 12B Derivation of Differential Equation Satisfied by a Derivative Dependent on a Futures Price 286

13 GENERAL APPROACH TO PRICING DERIVATIVES 288

13 GENERAL APPROACH TO PRICING DERIVATIVES 288

13．1 Single Underlying Variable 288

13．2 Interest Rate Risk 292

13．3 Securities Dependent on Several State Variables 293

13．4 Is It Necessary to Estimate the Market Price of Risk？ 296

13．5 Derivatives Dependent on Commodity Prices 297

13．6 Quantos 298

13．7 Summary 302

Suggestions for Further Reading 302

Questions and Problems 303

Appendix 13A Generalization of Ito s Lemma 304

Appendix 13B Derivation of the General Differential Equation Satisfied by Derivatives 305

14 THE MANAGEMENT OF MARKET RISK 308

14．1 Example 308

14 THE MANAGEMENT OF MARKET RISK 308

14．2 Naked and Covered Positions 309

14．3 A Stop-Loss Strategy 310

14．4 More Sophisticated Hedging Schemes 312

14．5 Delta Hedging 312

14．6 Theta 321

14．7 Gamma 323

14．8 Relationship among Delta， Theta， and Gamma 327

14．9 Vega 328

14．10 Rho 330

14．11 Scenario Analysis 331

14．12 Portfolio Insurance 333

14．13 Summary 337

Suggestions for Further Reading 338

Questions and Problems 339

Appendix 14A Taylor Series Expansions and Hedge Parameters 342

15 NUMERICAL PROCEDURES 343

15．1 Binomial Trees 343

15 NUMERICAL PROCEDURES 343

15．2 Using the Binomial Tree for Options on Indices， Currencies， and Futures Contracts 350

15．3 Binomial Model for a Dividend-Paying Stock 352

15．4 Extensions of the Basic Tree Approach 356

15．5 Alternative Procedures for Constructing Trees 358

15．6 Monte Carlo Simulation 361

15．7 Variance Reduction Procedures 365

15．8 Finite Difference Methods 368

15．9 Analytic Approximations in Option Pricing 379

15．10 Summary 380

Suggestions for Further Reading 381

Questions and Problems 382

Appendix 15A Analytic Approximation to American Option Prices of Macmillan， and Barone-Adesi and Whaley 384

16 INTEREST RATE DERIVATIVES AND THE USE OF BLACK S MODEL 387

16．1 Exchange-Traded Interest Rate Options 387

16 INTEREST RATE DERIVATIVES AND THE USE OF BLACK S MODEL 387

16．2 Embedded Bond Options 389

16．3 Mortgage-Backed Securities 389

16．4 Option-Adjusted Spread 391

16．5 Black s Model 392

16．6 European Bond Options 395

16．7 Interest Rate Caps 397

16．8 European Swap Options 401

16．9 Accrual Swaps 404

16．10 Spread Options 405

16．11 Convexity Adjustments 406

16．12 Summary 411

Suggestions for Further Reading 412

Questions and Problems 412

Appendix 16A Proof of the Convexity Adjustment Formula 414

17 INTEREST RATE DERIVATIVES AND MODELS OF THE YIELD CURVE 416

17．1 Introduction to Equilibrium Models 416

17 INTEREST RATE DERIVATIVES AND MODELS OF THE YIELD CURVE 416

17．2 One-Factor Models 417

17．3 The Rendleman and Bartter Model 418

17．4 The Vasicek Model 419

17．5 The Cox， Ingersoll， and Ross Model 422

17．6 Two-Factor Models 423

17．7 Introduction to No-Arbitrage Models 424

17．8 Modeling Forward Rates 428

17．9 Developing Markov Models 431

17．10 Ho and Lee Model 431

17．11 Hull and White Model 433

17．12 Interest Rate Trees 436

17．13 A General Tree-Building Procedure 438

17．14 Nonstationary Models 449

17．15 Forward Rates and Futures Rates 450

17．16 Summary 452

Suggestions for Further Reading 453

Questions and Problems 454

18 EXOTIC OPTIONS 457

18．1 Types of Exotic Options 457

18 EXOTIC OPTIONS 457

18．3 Path-Dependent Derivatives 469

18．2 Basic Numerical Procedures 469

18．4 Lookback Options 474

18．5 Barrier Options 476

18．6 Options on Two Correlated Assets 480

18．7 Hedging Issues 482

18．8 Static Options Replication 483

18．9 Summary 485

Suggestions for Further Reading 486

Questions and Problems 487

19 ALTERNATIVES TO BLACK-SCHOLES FOR OPTION PRICING 490

19．1 Known Changes in the Interest Rate and Volatility 490

19 ALTERNATIVES TO BLACK-SCHOLES FOR OPTION PRICING 490

19．2 Merton s Stochastic Interest Rate Model 491

19．3 Pricing Biases 492

19．4 Alternative Models 494

19．5 Overview of Pricing Biases 499

19．6 Stochastic Volatility 499

19．7 How Black-Scholes Is Used in Practice 502

19．8 Implied Trees 505

19．9 Empirical Research 507

19．10 Summary 510

Suggestions for Further Reading 511

Questions and Problems 512

Appendix 19A Pricing Formulas for Altemative Models 514

20 CREDIT RISK AND REGULATORY CAPITAL 517

20 CREDIT RISK AND REGULATORY CAPITAL 517

20．1 Background 518

20．2 Adjusting the Prices of Options for Credit Risk 521

20．3 Contracts That Can Be Assets or Liabilities 523

20．4 Historical Default Experience 527

20．5 Valuation of Convertible Bonds 528

20．6 The BIS Capital Requirements 531

20．7 Reducing Exposure to Credit Risk 534

20．8 Summary 535

Suggestions for Further Reading 536

Questions and Problems 536

21．1 Riskless Hedges 539

21 REVIEW OF KEY CONCEPTS 539

21 REVIEW OF KEY CONCEPTS 539

21．2 Traded Securities versus Other Underlying Variables 540

21．3 Risk-Neutral Valuation 540

21．4 Those Big Losses 541

21．5 A Final Word 541

MAJOR EXCHANGES 543

GLOSSARY OF NOTATION 545

TABLE FOR N（x）WHENx≤0 548

TABLE FOR N（x）WHENx≥0 549

AUTHOR INDEX 551

SUBJECT INDEX 555