金融衍生品定价理论(期权定价).doc

金融衍生品定价理论(期权定价)
Chapter 1
Risk Management &
Financial Derivative
Finance
Finance - science of funds management,
- saving , lending & investing money
Business finance
Personal finance
Public finance
Financial Security
fungible, negotiable instrument representing financial value
usually represented by a certificate
restricted by government rules
Including
debt ones - such as banknotes, bonds …
equity ones – common stocks
derivatives - forwards, futures, options …
Financial Market
a mechanism that allows people to buy and sell (trade) :
financial securities
commodities (such as precious metals or agricultural goods)
other fungible items of value at low transaction costs and at prices that reflect the efficient - market hypothesis3>.
Risk
Risk - uncertainty of the e
bring unexpected gains
cause unforeseen losses
Risks Types
totally unknown
known possible results, unknown possibility
known possible results and their possibilities
Two attitudes toward risks
Risk aversion
Risk seeking
Risks in Financial Market
Assets with uncertain price
Interest Rate
Foreign exchange
Credit
……
Financial Derivatives
a financial instrument that has a value, based on the expected future price movements of the underlying asset ( share, currency etc.)
play roles of
alternative investment
risk management

The Properties of Derivatives
Must be survive upon other financial asset
Extend the financial market
Provide more tools for financial engineers
Have an essential risk figure:
Leverage !
Financial Derivatives
3 most fundamental financial derivatives instruments:
Forward contracts
Future
Options
Others like swaps, CDS, CDO, some financing products ……

Forward Contracts
an agreement to buy or sell at a specified future time a certain amount of an underlying asset at a specified price.
an agreement to replace a risk by a certainty
traded OTC
long position - the buyer in a contract
short position - the s