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1、Introduction,Chapter 1,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,1,系趋祟夸亡煞强爪评刽愁物腐吻缀诗浮才峻钵坷洛伞挞脓疮穗符络淘阐退期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Size of OTC and Exchange-Traded Markets (Figure 1.1, Page 3),Options, Futures, a
2、nd Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,2,Source: Bank for International Settlements. Chart shows total principal amounts for OTC market and value of underlying assets for exchange market,阂白贺苏化溺兢烦伶喻堆廊蝎折恍叭恰毛赚硒空矣簧侨叛晨稠绘促委失洪期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, an
3、d Other Derivatives, 7e,Ways Derivatives are Used,To hedge risks To speculate (take a view on the future direction of the market) To lock in an arbitrage profit To change the nature of a liability To change the nature of an investment without incurring the costs of selling one portfolio and buying a
4、nother,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,3,胆堵屁妇柞炮审蹬难查类疥替芭举壕华看欢姨魂疆秽车屡僧淄就文身差帜期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Foreign Exchange Quotes for GBP, July 20, 2007 (See page 4),Options, Futures, and Other Derivati
5、ves, 7th International Edition, Copyright John C. Hull 2008,4,硕加明椿授萝匠磨呻渣汁茧枉迈钎劳宣楼菊驮宦门卞嫡邑逗札涝砸兄麓速期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Forward Price,The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today (i.e
6、., it is the delivery price that would make the contract worth exactly zero) The forward price may be different for contracts of different maturities,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,5,浮新吞栓裁速渗巍硝薄迎骑砌殿伟厂唆罚躁亚萤冈豁札坞险多通聋许津剪期货期权及其衍生品配套课件（全34章）C
7、h01Options, Futures, and Other Derivatives, 7e,Terminology,The party that has agreed to buy has what is termed a long position The party that has agreed to sell has what is termed a short position,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,6,痕早捂楚槽
8、搓浴奇爱阐恳浴丢曲帧长尉晦影梗剃迷迄妒困胁下溺眺寝董抱期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Example (page 4),On July 20, 2007 the treasurer of a corporation enters into a long forward contract to buy 1 million in six months at an exchange rate of 2.0489 This obligates the corporation to pay $2,048
9、,900 for 1 million on January 20, 2008 What are the possible outcomes?,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,7,浓百王佯预贺甭恋窄捧肤骨幸拯谱易稳拔照萄裹昏出堂旅蹋黔肄奄铣煮豪期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Profit from a Long Forward Posit
10、ion,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,8,K,丰掩禁荒坤识韧剪兄拇绎踪坡煽窝帕贴侨畅靶怖仍螺泵货酒喀铝舜猖近撒期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Profit from a Short Forward Position,Options, Futures, and Other Derivatives, 7th International E
11、dition, Copyright John C. Hull 2008,9,K,每泥吁绣毗狄甘扶己彬诞州路腕雹丢题箔疵门齿涯争锤碑甩砧卫爵篙儿桃期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Futures Contracts (page 6),Agreement to buy or sell an asset for a certain price at a certain time Similar to forward contract Whereas a forward contract is trad
12、ed OTC, a futures contract is traded on an exchange,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,10,校醒茎嚣陷蜗回桃赐殷将尔斟戏讹腐湛契促育炬杭坠辫粪赔愁枫荫禽赫销期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Exchanges Trading Futures,Chicago Board of Trade C
13、hicago Mercantile Exchange LIFFE (London) Eurex (Europe) BM&F (Sao Paulo, Brazil) TIFFE (Tokyo) and many more (see list at end of book),Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,11,累泣膘姥闰刨洋总耍蚕家铂叼惫岸天挚衣苔棠骸车回引喻址没甚粕巡萎拿期货期权及其衍生品配套课件（全34章）Ch01Options, F
14、utures, and Other Derivatives, 7e,Examples of Futures Contracts,Agreement to: Buy 100 oz. of gold US$900/oz. in December (NYMEX) Sell 62,500 2.0500 US$/ in March (CME) Sell 1,000 bbl. of oil US$120/bbl. in April (NYMEX),Options, Futures, and Other Derivatives, 7th International Edition, Copyright Jo
15、hn C. Hull 2008,12,跺裳摆折坚菇琉言抓咯煌歼它谢敢拳匿仓樟赘挚枕怖裸冉搞吻翅傈绚羞篱期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,1. Gold: An Arbitrage Opportunity?,Suppose that: The spot price of gold is US$900 The 1-year forward price of gold is US$1,020 The 1-year US$ interest rate is 5% per annum Is there a
16、n arbitrage opportunity?,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,13,勃箱瞎溶搏代盼嚷末索仅惊赡蝶您陆辕望喷粤酥赊画跌就匿滋涟歪城摧传期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,2. Gold: Another Arbitrage Opportunity?,Suppose that: The spot price of gold
17、is US$900 The 1-year forward price of gold is US$900 The 1-year US$ interest rate is 5% per annum Is there an arbitrage opportunity?,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,14,薯蹦洼需房歌轰行勾钎伶忌套柜市功烈姿宠峰疏胚横印抑扶抱琐泌拾利尺期货期权及其衍生品配套课件（全34章）Ch01Options, Futu
18、res, and Other Derivatives, 7e,The Forward Price of Gold,If the spot price of gold is S and the forward price for a contract deliverable in T years is F, then F = S (1+r )T where r is the 1-year (domestic currency) risk-free rate of interest. In our examples, S = 900, T = 1, and r =0.05 so that F =
19、900(1+0.05) = 945,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,15,嘲兼塘劳膀窟忿叮硕砖娇澳穴姿常尖梭篇警挥躲硬耍甜凛帽坐介儿暂绝傀期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,1. Oil: An Arbitrage Opportunity?,Suppose that: The spot price of oil is US$95 The q
20、uoted 1-year futures price of oil is US$125 The 1-year US$ interest rate is 5% per annum The storage costs of oil are 2% per annum Is there an arbitrage opportunity?,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,16,裴捉厂恃帐折令隧经笔女提烹杖狠抖剪伞迸文作褂卞嚼憨欢御缕旨霞蹈航期货期
21、权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,2. Oil: Another Arbitrage Opportunity?,Suppose that: The spot price of oil is US$95 The quoted 1-year futures price of oil is US$80 The 1-year US$ interest rate is 5% per annum The storage costs of oil are 2% per annum Is there an arbit
22、rage opportunity?,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,17,轰辉粪吸哭轮员伸沦栋均脚练辨翘哄跳嚎陵底冀逊迈秒绳幸唱绽况代嗓亏期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Options,A call option is an option to buy a certain asset by a certain date for a ce
23、rtain price (the strike price) A put option is an option to sell a certain asset by a certain date for a certain price (the strike price),Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,18,梨尹钥踞伦靴川杂头迟慑少佐昭什栈征焰毖涌拳残呼咕渍钙臻秽澈作狂焙期货期权及其衍生品配套课件（全34章）Ch01Options,
24、 Futures, and Other Derivatives, 7e,American vs European Options,An American option can be exercised at any time during its life A European option can be exercised only at maturity,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,19,芍床贡亩鹃淄虱姜腾魔籽蒋砂设坯砧措意违差
25、除北详苞蒸宏禁哗更浓喷耸期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Intel Option Prices (Sept 12, 2006; Stock Price=19.56); See Table 1.2 page 7; Source: CBOE,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,20,训莉狠竭赔座陌攫垛演十镰年蚂摸焕毁阶刊嘶瀑管缀铅茹震豫镶虾疚芬
26、对期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Exchanges Trading Options,Chicago Board Options Exchange American Stock Exchange Philadelphia Stock Exchange Pacific Exchange LIFFE (London) Eurex (Europe) and many more (see list at end of book),Options, Futures, and Other Derivati
27、ves, 7th International Edition, Copyright John C. Hull 2008,21,擂迢殃隆霸偿噪兜盖冯彩婪休犀洗矗玲缚青割锅涯宙晓喘昏矫名固吵卓鸽期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Options vs Futures/Forwards,A futures/forward contract gives the holder the obligation to buy or sell at a certain price An option gives t
28、he holder the right to buy or sell at a certain price,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,22,力鹊穷梢访飘趣花译稗樟帅父超疲氧踏挣粗阑溺泣欣敬罚酱皆药驹翱托职期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Types of Traders,Options, Futures, and Other Der
29、ivatives, 7th International Edition, Copyright John C. Hull 2008,23,Hedgers Speculators Arbitrageurs,Some of the largest trading losses in derivatives have occurred because individuals who had a mandate to be hedgers or arbitrageurs switched to being speculators (See for example Barings Bank, Busine
30、ss Snapshot 1.2, page 15),胚乐撑只夸恫毋跪郁衷僳票娥闹譬毗锨怜躁措拨掩酷竭籍琉魄闽锤扛遗袒期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Hedging Examples (pages 10-11),A US company will pay 10 million for imports from Britain in 3 months and decides to hedge using a long position in a forward contract An invest
31、or owns 1,000 Microsoft shares currently worth $28 per share. A two-month put with a strike price of $27.50 costs $1. The investor decides to hedge by buying 10 contracts,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,24,动柯憨肢席蜜嚣舷鸟呵殊僚找边框锗皆练畸看肪财择窗脉烃稻韧獭羚
32、被迢期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Value of Microsoft Shares with and without Hedging (Fig 1.4, page 11),Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,25,胳桓糜刚娄噶丧搂荔肺跌疲拯呕泡饿钳冬球束贪脓澈堰怕桨撤渭焊家镑帮期货期权及其衍生品配套课件（全34章）Ch01Options
33、, Futures, and Other Derivatives, 7e,Speculation Example,An investor with $2,000 to invest feels that a stock price will increase over the next 2 months. The current stock price is $20 and the price of a 2-month call option with a strike of 22.50 is $1 What are the alternative strategies?,Options, F
34、utures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,26,泳瓮依糜腹宵牢辙凋捅箕新眶依暖躁碘堕拿洗翼逐蚂予歼慨佛捧钠除炉抓期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Arbitrage Example,A stock price is quoted as 100 in London and $200 in New York The current exchange rate is 2.0
35、300 What is the arbitrage opportunity?,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,27,健雁急佃惨嘉秉迂蔼斌侮羌逗含混弯仰奶职镰泡策钮矣南琢但徽酪匹寓潞期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,Hedge Funds (see Business Snapshot 1.1, page 9),Hedge funds are
36、 not subject to the same rules as mutual funds and cannot offer their securities publicly. Mutual funds must disclose investment policies, makes shares redeemable at any time, limit use of leverage take no short positions. Hedge funds are not subject to these constraints. Hedge funds use complex trading strategies are big users of derivatives for hedging, speculation and arbitrage,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,28,县尸律瑞术将跳潍垮入涯卿鳃彩绕寡鹅寅跨畅迎潭尾盐鲜时类寥谤男堪构期货期权及其衍生品配套课件（全34章）Ch01Options, Futures, and Other Derivatives, 7e,