衍生工具 Chap 1

发布于 2021-10-21  1126 次阅读

  • 讲授1-13章，7(swap)、8(crisis)不讲。

Contents，知识体系

  • Four types of Derivatives
    • Futures
    • Options
    • Forward
    • Swap
  • For each type
    • Basic Knowledge in details (interest rate instruments)
    • How to price (pricing models)
    • Trading strategies (advanced trading strategies&interest rate instruments)

Chapter 1

Intro

Definition

  • derivation
  • underlying asset
  • spot price, cash price
  • two party

Ways derivatives are used

  • hedge risks
  • speculate
  • arbitrage
  • change the nurture of a liability or investment
  • price discovery
  • risk management
  • improve market efficiency for underlying assets
  • low transaction costs

Futures Contracts

  • Definition
  • types
    • Commodity
    • Financial
    • 利率
    • 股票
    • 股指
    • 货币
  • Terminology
  • only ETC

Forward

  • OTC

Options

  • ETC&OTC (ETC要求short支付保证金)
  • types
    • call
    • put
    • American
    • European

Terminology

  • underlying price: S
  • Strike price: K
  • exercise price: X
  • call price: c for EU, C for America
  • put price: p for EU, P for America

moneyness

  • for call
    • S-K>0, in the money
    • S-K<0, out of money
  • for put: on contrary
  • 无论套期保值时是做什么方向，总是long该合约。

Swap

  • OTC
  • A series of forward Contracts

Types of traders

hedging principle

Take opposite position in futures market to the spot market.

Spot futures/forward result
- + offset loss
+ - offset gain

Do what you are afraid of.

speculating

only loss the option fee

arbitrage

arbitrage principle:

  1. buy under priced
  2. sell overpriced
  3. close them out lately

衍生品市场中，利率工具占比最大。