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雷达卡
Don M. Chance, Ph.D., CFA
Louisiana State University
Preface
Foreword
About the Author vii
CHAPTER 1 DERIVATMIVAER KEATNDS INSTRUMENTS
1 INTRODUCTION
2 TYPES OF DERIVATIVES
2.1 Forward Commitments
2.2 Contingent Claims
3 DERIVATIVE MARKETS: PAST AND PRESENT
4 HOW BIG IS THE DERIVATIVES MARKET
5 THE PURPOSES OF DERIVATIVE MARKETS
6 CRITICISMS OF DERIVATIVE MARKETS
7 ELEMENTARY PRINCIPLES OF DERIVATIVE PRICING
KEY POINTS
PROBLEMS
SOLUTIONS
CHAPTER 2 FORWARDM ARKEATNDS CONTRACTS
1 INTRODUCTION
1.1 Delivery and Settlement of a Forward Contract
1.2 Default Risk and Forward Contracts
1.3 Termination of a Forward Contract
2 THE STRUCTURE OF GLOBAL FORWARD MARKETS
3 TYPES OF FORWARD CONTRACTS
3.1 Equity Forwards
3.2 Bond and Interest Rate Forward Contracts
3.3 Currency Forward Contracts
3.4 Other Types of Forward Contracts
4 PRICING AND VALUATION OF FORWARD CONTRACTS
4.1 Generic Pricing and Valuation of a Forward Contract
4.2 Pricing and Valuation of Equity Forward Contracts
4.3 Pricing and Valuation of Fixed-Income and Interest Rate Forward Contracts
4.4 Pricing and Valuation of Currency Forward Contracts
5 CREDIT RISK AND FORWARD CONTRACTS
6 THE ROLE OF FORWARD MARKETS
KEY POINTS
PROBLEMS
SOLUTIONS
1 INTRODUCTION
x Contents
CHAPTER 4
1.1 A Brief History of Futures Markets
1.2 Public Standardized Transactions
1.3 Homogenization and Liquidity
1.4 The Clearinghouse, Daily Settlement, and Performance Guarantee
1.5 Regulation
2 FUTURES TRADING
3 THE CLEARINGHOUSE, MARGINS, AND PRICE LIMITS
4 DELIVERY AND CASH SETTLEMENT
5 FUTURES EXCHANGES
6 TYPES OF FUTURES CONTRACTS
6.1 Short-Term lnterest Rate Futures Contracts
6.2 Intermediate- and Long-Term lnterest Rate Futures Contracts
6.3 Stock lndex Futures Contracts
6.4 Currency Futures Contracts
7 PRICING AND VALUATION OF FUTURES CONTRACTS
7.1 Generic Pricing and Valuation of a Futures Contract
7.2 Pricing lnterest Rate Futures
7.3 Pricing Stock lndex Futures
7.4 Pricing Currency Futures
7.5 Futures Pricing: A Recap
8 THE ROLE OF FUTURES MARKETS AND EXCHANGES
KEY POINTS
PROBLEMS
SOLUTIONS
OPTIONM ARKEATNDS CONTRACTS
1 INTRODUCTION
2 BASIC DEFINITIONS AND ILLUSTRATIONS OF OPTIONS CONTRACTS
2.1 Basic Characteristics of Options
2.2 Some Examples of Options
2.3 The Concept of Moneyness of an Option
3 THE STRUCTURE OF GLOBAL OPTIONS MARKETS
3.1 Over-the-counter Options Markets
3.2 Exchange-Listed Options Markets
4 TYPES OF OPTIONS
4.1 Financial Options
4.2 Options on Futures
4.3 Commodity Options
4.4 Other Types of Options
5 PRINCIPLES OF OPTION PRICING
5.1 Payoff Values
5.2 Boundary Conditions
5.3 The Effect of a Difference in Exercise Price
5.4 The Effect of a Difference in Time to Expiration
5.5 Put-Call Parity
5.6 American Options, Lower Bounds, and Early Exercise
5.7 The Effect of Cash Flows on the Underlying Asset
5.8 The Effect of lnterest Rates and Volatility
5.9 Option Price Sensitivities
6 DISCRETE-TIME OPTION PRICING: THE BINOMIAL MODEL
6.1 The One-Period Binomial Model
6.2 The Two-Period Binomial Model
6.3 Binomial Put Option Pricing
6.4 Binomial lnterest Rate Option Pricing
Contents xi
6.5 American Options
6.6 Extending the Binomial Model
7 CONTINUOUS-TIME OPTION PRICING:
THE BLACK-SCHOLES-MERTON MODEL
7.1 Assumptions of the Model
7.2 The Black-Scholes-Merton Formula
7.3 Inputs to the Black-Scholes-Merton Model
7.4 The Effect of Cash Flows on the Underlying
7.5 The Critical Role of Volatility
8 PRICING OPTIONS ON FORWARD AND FUTURES CONTRACTS
AND AN APPLICATION TO INTEREST RATE OPTION PRICING
8.1 Put-Call Parity for Options on Forwards
8.2 Early Exercise of American Options on Forward and Futures Contracts
8.3 The Black Model
8.4 Application of the Black Model to lnterest Rate Options
9 THE ROLE OF OPTIONS MARKETS
KEY POINTS
APPENDIX 4A
PROBLEMS
SOLUTIONS
CHAPTER 5 SWAP MARKEATNDS CONTRACTS
1 INTRODUCTION
1.1 Characteristics of Swap Contracts
1.2 Termination of a Swap
2 THE STRUCTURE OF GLOBAL SWAP MARKETS
3 TYPES OF SWAPS
3.1 Currency Swaps
3.2 lnterest Rate Swaps
3.3 Equity Swaps
3.4 Commodity and Other Types of Swaps
4 PRICING AND VALUATION OF SWAPS
4.1 Equivalence of Swaps and Other Instruments
4.2 Pricing and Valuation
4.3 Some Concluding Comments on Swap Valuation
5 VARIATIONS OF SWAPS
6 SWAPTIONS
6.1 Basic Characteristics of Swaptions
6.2 Uses of Swaptions
6.3 Swaption Payoffs
6.4 Pricing and Valuation of Swaptions
6.5 Forward Swaps
7 CREDIT RISK AND SWAPS
8 THE ROLE OF SWAP MARKETS
KEY POINTS
PROBLEMS
SOLUTIONS
CHAPTER 6 RISK MANAGEMAEPNPLTIC ATIONOSF FORWARDA ND
FUTURESS TRATEGIES
1 INTRODUCTION
- - - - - -
-
xii Contents
CHAPTER 7
CHAPTER 8
2 STRATEGIES AND APPLICATIONS FOR MANAGING INTEREST RATE RISK 343
2.1 Managing the Interest Rate Risk of a Loan Using an FRA 344
2.2 Strategies and Aplications for Managing Bond Portfolio Risk 347
3 STRATEGIES AND APPLICATIONS FOR MANAGING EQUITY MARKET RlSK 356
3.1 Measuring and Managing the Risk of Equities 356
3.2 Managing the Risk of an Equity Portfolio 358
3.3 Creating Equity out of Cash 361
3.4 Creating Cash out of Equity 366
4 ASSET ALLOCATION WITH FUTURES 369
4.1 Adjusting the Allocation among Asset Classes 370
4.2 Pre-Investing in an Asset Class 376
5 STRATEGIES AND APPLICATIONS FOR MANAGING FOREIGN CURRENCY RlSK 378
5.1 Managing the Risk of a Foreign Currency Receipt
5.2 Managing the Risk of a Foreign Currency Payment
5.3 Managing the Risk of a Foreign-Market Asset Portfolio
6 FUTURES OR FORWARDS
7 FINAL COMMENTS
KEY POINTS
PROBLEMS
SOLUTIONS
RISK MANAGEMAEPNPLTIC ATIONOSF OPTIONST RATEGIES
1 INTRODUCTION
2 OPTION STRATEGIES FOR EQUITY PORTFOLIOS
2.1 Standard Long and Short Positions
2.2 Risk Management Strategies with Options and the Underlying
2.3 Money Spreads
2.4 Combinations of Calls and Puts
3 INTEREST RATE OPTION STRATEGIES
3.1 Using lnterest Rate Calls with Borrowing
3.2 Using lnterest Rate Puts with Lending
3.3 Using an lnterest Rate Cap with a Floating-Rate Loan
3.4 Using an lnterest Rate Floor with a Floating-Rate Loan
3.5 Using an lnterest Rate Collar with a Floating-Rate Loan
4 OPTION PORTFOLIO RlSK MANAGEMENT STRATEGIES
4.1 Delta Hedging an Option over Time
4.2 Gamma and the Risk of Delta
4.3 Vega and Volatility Risk
5 FINAL COMMENTS
KEY POINTS
PROBLEMS
SOLUTIONS
RISK MANAGEMAEPNPLTIC ATIONOSF SWAP STRATEGIES
1 INTRODUCTION
2 STRATEGIES AND APPLICATIONS FOR MANAGING INTEREST RATE RlSK
2.1 Using lnterest Rate Swaps to Convert a Floating-Rate
Loan to a Fixed-Rate Loan (and Vice Versa)
2.2 Using Swaps to Adjust the Duration of a Fixed-Income Portfolio
2.3 Using Swaps to Create and Manage the Risk of Structured Notes
3 STRATEGIES AND APPLICATIONS FOR MANAGING EXCHANGE RATE RlSK
Contents xiii
3.1 Converting a Loan in One Currency into a Loan in Another Currency
3.2 Converting Foreign Cash Receipts into Domestic Currency
3.3 Using Currency Swaps to Create and Manage the Risk of a
Dual-Currency Bond
4 STRATEGIES AND APPLICATIONS FOR MANAGING EQUITY MARKET RlSK
4.1 Diversifying a Concentrated Portfolio
4.2 Achieving International Diversification
4.3 Changing an Asset Allocation between Stocks and Bonds
4.4 Reducing Insider Exposure
5 STRATEGIES AND APPLICATIONS USING SWAPTIONS
5.1 Using an Interest Rate Swaption in Anticipation of a Future Borrowing
5.2 Using an Interest Rate Swaption to Terminate a Swap
5.3 Synthetically Removing (Adding) a Call Feature in Callable
(Noncallable) Debt
5.4 A Note on Forward Swaps
6 CONCLUSIONS
KEY POINTS
PROBLEMS
SOLUTIONS
CHAPTER 9 RISK MANAGEMENT
1 INTRODUCTION
2 THE CONCEPT OF RlSK MANAGEMENT
2.1 Sources of Risk
2.2 Why Manage Risk?
2.3 How Risk Is Managed
3 MANAGING MARKET RlSK
3.1 Traditional Notions of Market Risk
3.2 Value at Risk
3.3 Improvements and Supplements to VAR
4 MANAGING CREDIT RlSK
4.1 Traditional Notions of Credit Risk
4.2 Techniques for Managing Credit Risk
4.3 Insurance and Credit Derivatives
5 OTHER RISKS FACED BY AN ORGANIZATION
5.1 Liquidity Risk
5.2 Operations Risk
5.3 Model Risk
5.4 Settlement (Herstaatt) Risk
5.5 Regulatory Risk
5.6 Legal Risk
5.7 Tax Risk
5.8 Accounting Risk
6 BEST PRACTICES IN RlSK MANAGEMENT
6.1 The G-30 Report: Best Practices for Derivatives Dealers and
General End Users
6.2 The Risk Standards Working Group Report: Best Practices for
Investment Management Organizations
6.3 Risk Governance
6.4 Risk Budgeting and Performance Evaluation
7 CONCLUDING COMMENTS
KEY POINTS
xiv Contents
APPENDIX 9A THE GROUP OF 30 RECOMMENDATIONS ON DERIVATIVES
AND RISK MANAGEMENT PRACTICES 61 6
APPENDIX 9B RlSK STANDARDS WORKING GROUP RECOMMENDATIONS
ON DERIVATIVES AND RlSK MANAGEMENT PRACTICES FOR
INSTITUTIONAL INVESTORS 62 1
PROBLEMS 624
SOLUTIONS 629
GLOSSARY 635
INDEX 643
EQUATIONS 65 1
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