1、期权、期货和其他衍生品Chapter 1 第一章What is a Derivative? 什么是衍生品A derivative is an instrument whose value depends on, or is derived from, the value of another asset.衍生品是一种金融工具 ， 其价值取决于（衍生于）其他资产的价值 。
Derivativesvs Primary Assets衍生品vs初级资产（标的资产）Primary Assets 初级资产Stocks 股票Fixed income 固定收益（利率）Foreign exchanges 外汇Loans 。

2、 贷款Corporate bonds 公司债券Mortgages 住房抵押贷款Commodities 大宗商品Real Estate 房地产.What is a Derivative? 什么是衍生品Commodity futures 商品期货（日本江户幕府时代 ， 美国CBOT 1865）Index futures 指数期货（美国1982年KCBT ， CME）Forwards远期合约(美国CBOT1848)Options期权(18世纪 ， 美国CBOE1973)Swaps 互换（掉期美国1980s Swensen）Exotics 奇异期权(1980s)Credit derivatives 信用衍生品(1 。

3、990s)（CMO, CLO, CDO, CDS, CDX, CMBS ） Why Derivatives Are Important为什么衍生品很重要？Derivatives play a key role in transferring risks in the economy 转移经济活动中的风险Price discovery 价格发现The underlying assets include stocks, currencies, interest rates, commodities, debt instruments, electricity, insurance payouts, 。

4、 the weather, etc标的资产可以是股票 ， 货币 ， 利率 ， 商品 ， 债务 ， 电力 ， 保险支付金 ， 天气等等 。
Anything!Many financial transactions have embedded derivatives许多金融交易和金融业务中都包含了衍生品The real options approach to assessing capital investment decisions has become widely accepted利用实物期权的方法评价投资决策已经被广泛使用How Derivatives Are Traded衍生品如何交易On exchanges such 。

5、 as the Chicago Board Options Exchange交易所：如CBOE(芝加哥期权交易所)In the over-the-counter (OTC) market where traders working for banks, fund managers and corporate treasurers contact each other directly场外交易市场（OTC）：代表银行、基金经理、公司财务主管的交易员们直接进行交易Size of OTC and Exchange-Traded Markets场外市场和交易所衍生品交易规模The Lehman Ban 。

6、kruptcy雷曼兄弟公司破产Lehmans filed for bankruptcy on September 15, 2008. This was the biggest bankruptcy in US history雷曼公司在2008年9月15日申请破产这是美国历史上最大的破产案 ， 负债6130亿美元It had hundreds of thousands of transactions outstanding with about 8,000 counterparties此时 ， 它上有成千上百个未完成的交易 ， 涉及约8000个交易对手Lehman was an active partici 。

7、pant in the OTC derivatives markets and got into financial difficulties because it took high risks and found it was unable to roll over its short term funding雷曼是场外衍生品市场中活跃的参与者 ， 后由于过高风险交易而致使短期资金周转困难 ， 陷入财政困境Unwinding these transactions has been challenging for both the Lehman liquidators and their count 。

8、erparties 解决这些交易 ， 无论对雷曼的清算人员还是他们的对手 ， 都十分棘手How Derivatives are Used衍生品用途To hedge risks 对冲风险To speculate (take a view on the future direction of the market)投机（预测市场未来走向）To lock in an arbitrage profit 锁定套利获益To change the nature of a liability改变债务性质To change the nature of an investment without incurring th 。

9、e costs of selling one portfolio and buying another不需引起买卖证券组合 ， 即可改变投资性质Foreign Exchange Quotes for GBP 英镑外汇报价（2010.5.24）BidOfferSpot （现货）1.44071.44111-month forward（一个月远期价格）1.44081.44133-month forward1.44101.44156-month forward1.44161.4422Forward Price 远期价格远期合约是双方签订的将来某一时刻以预定的价格交易某一资产的合约 。
该约定价格称作远期价格 。
。

10、The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today (i.e., it is the delivery price that would make the contract worth exactly zero)远期价格指合约在被签订时 ， 令合约双方都同意 ， 都不用向对手付钱的未来交割价格（零成本进入合约）The forward price may be different for contracts of d 。

11、ifferent maturities (as shown by the table)不同期限的合约 ， 远期价格可能不同Terminology 术语The party that has agreed to buy has what is termed a long position同意在未来某一时刻以某个价格买入的一方称为长头寸（多头）The party that has agreed to sell has what is termed a short position同意在未来某一时刻以某个价格卖出的一方称为短头寸（空头）Example (page 5) 例子On May 24, 2010。

12、the treasurer of a corporation enters into a long forward contract to buy 1 million in six months at an exchange rate of 1.44222010年5月24日 ， 公司财务主管以1.4422的汇率 ， 进入六个月、一百万英镑的远期合约多头寸This obligates the corporation to pay $1,442,200 for 1 million on November 24, 2010合约要求公司于2010年12月24日以美元的价格购得一百万英镑What are the 。

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标题：期权|期权期货与金融衍生品