1衍生金融工具概&

1衍生金融工具概&

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Unformatted text preview: û ) 7 K ó ä V Ø 5 û ) 7 K ó ä 6 1 ù ? µ U [email protected] Ü H ã ² Æ 7 K Æ 2011 c S G Æ Ï 1 ù û ) 7 K ó ä V Ø û ) 7 K ó ä (derivative instruments) § û ) y (derivative securities) ! û ) ¬ (derivative products) § ´ « 7 K ó ä § Ù d 6 u Ù § Ä I C þ £ Xû ¬ d ! ¦ d ! ® Ç ! | Ç ! & ^ ! > å ! í ÿ ¤ " Ä û ) ó ä ) µ Ï Ü (forward) ! Ï À (futures) ! Ï (options) ! p (swaps) " ~ ~ f k ¦ h Ï À !- Ù ± û ) y (CDO) ! & ^ û ) ó ä ( X CDS) ! p Æ (SWAP) ! = 4 ü CD ! /- Ù ± |   y (mortgage-backed securities) ! % 1 £ u e 7 ¶ º¤ û ) ó ä u Ð û ) ó ä u Ð { ¤ µ F Ã Å Ä ¥ ² L ¸ ¶ Ø ä C z Ý ¸ Ú õ z ½ | I ¦ ¶ 7 K n Ø Ú 7 K ó § E â u Ð ¶ & E E â ? Ú K û ) ó ä u ÐÐ " µ û ) ó ä u Ð û ) ó ä u Ð { ¤ µ F Ã Å Ä ¥ ² L ¸ ¶ Ø ä C z Ý ¸ Ú õ z ½ | I ¦ ¶ 7 K n Ø Ú 7 K ó § E â u Ð ¶ & E E â ? Ú K û ) ó ä u ÐÐ " µ k ¢ ´ ½ | û ) ¬ ü « ¢ ´ ½ | µ 1 ¢ ´ ¤ £ exchange-traded markets ¤ 2 | © ½ | £ over-the-counter markets ¤ ¢ ´ ¤ ½ | µ J ø I O z Ü § $ & ^ º x § k ½ d X Ú £ open-outcry system ¤ Ú > f ¢ ´ £ electronic trading ¤ ü « / ª " | © ½ | µ 7 K ó ä¢ ´ û § ú i Ú Ä 7² n Ï L O Å Ú > { ä é X å 5 ½ | " û ) ¬ Ü ( ¹ § ¢ ´ k & ^ º x " { I ¢ ´ ¤ ½ | k z \ x ¢ ´ ¤ (CBOT,1848) Ú z \ x û ¬ ¢ ´ ¤ (CME,1919) )) 2007 c 7 ù ü [ ¢ ´ ¤ Ü ¿ § z \ x Ï ¢ ´ ¤ (CBOE,1973) ¶ ¥ I Ï À ½ | 3 1998 c d 14 [ Ü ¿ þ ° ! x² ! ë 3 [ § ¥ 7 ¤ (2006,CFFE). ½ | 5 ¢ ´ ¤ (Exchange) Ú | © ½ | (OTC) 5 ' µ ã 1 µ ¢ ´ ¤ ¢ ´ Ú | © ¢ ´ 5 ' û ) 7 K ó ä k o ^ º é À º x Ý Å £ ½ @ |  à U C K Å á 5 U C Ý ] á 5 Ï Ü £ forward contracts ¤ Ï Ü ´ V ½ 3 ò 5 , ½ ( P T ) U ì ( ½ d (strike price)( P K ) ¢ , « ] Ü " ï \ ¡ õ Þ (long position) § ñ Ñ ¡ Þ (short position) " X µ © ® Ï Ü 3 ½ | þ © 6 1 § ^ ± é À © ® º x § N õ Õ 1 d Q Ï Ú = Ï Ü ¢ ´ " é ì § = Ï Ü Á m Ò ´ y 3 ; Ï Ü v k ½ ¢ ´ ¤ ; Á c v k a ± à (No money change hands until delivery). Ï Ü § d 7 K Å ¨ ~~ ´½ | 6 1 ¬ ½ û (market maker) § ¦ Q J ø ï \ d (bid price) § J ø ñ Ñ d (offer price). ã 2 µ { £ / = ï \ Ú ñ Ñ d Ï Ü Â Ã õ Þ (long position) § Þ (short position) Ï Ü Â Ã £ payoffs ¤µ õ Þ S T- K ¶ Þ K- S T . ã 3 µ Ï Ü Â Ã Ï d Ú y À d Ï d Ú y À d ' X £ 1 Ê ùò c [ Ø ã ¤µ F forward = S × e ( r + u- y ) τ t ....
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This note was uploaded on 06/12/2011 for the course ECON 101 taught by Professor Dee during the Spring '10 term at Andhra University.

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1衍生金融工具概&

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