内容提要 本书涵盖了金融衍生工具的基本内容以及相应的风险管理知识,主要介绍了期权、远期、期货、互换等基础性金融衍生工具的基本知识、市场制度、定价原理和市场运用策略,并针对目前世界上应用最广泛、最重要的一类衍生产品——利率衍生工具进行了深入浅出的分析和介绍,最后专门从定量和定性两个角度讨论了相应的风险管理问题。 作为一本在国外广受欢迎的金融工程教材,本书适合于金融、投资、财务管理等相关专业本科生、硕士生、MBA教学使用,可用于金融工程、衍生产品等课程,也非常适合作为金融工程、衍生产品和风险管理领域的培训教材,同时可供金融从业者和对金融领域有兴趣者自学使用,亦是一本优秀的可供查阅的市场手册。 目录 Chapter1 Introduction Derivative Markets and Instruments Options Forward Contracts Futures Contracts Options on Futures Swaps and Other Derivatives The Underlying Asset Some Important Concepts in Financial and Derivative Markets Risk Preference Short Selling Return and Risk Market Efficiency and Theoretical Fair Value Fundamental Linkageetween Spot and Derivative Markets Arbitrage and the Law of One Price The Storage Mechanism: Spreading Consumption across Time Delivery and Settlement The Role of Derivative Markets Risk Management Price Discovery Operational Advantages " Market Efficiency Criticisms of Derivative Markets Misuses of Derivatives Derivatives and Your Career Sources of Information on Derivatives Summary Further Reading Questions and ProblemsPART I Options Chapter 2 The Structure of Options Markets The Development of Options Markets Call Options Put Options The Over-the-Counter Options Market Organized Options Trading Listing Requirements Contract Size Exercise Prices Expiration Dates Position and Exercise Limits Options Exchanges and Trading Activity Option Traders The Market Maker The Floor Broker The Order Book Official Other Option Trading Systems Off-Floor Option Traders The Mechanics of Trading Placing an Opening Order The Role of the Clearinghouse Placing an Offsetting Order Exercising an Option Option Price Quotations Types of Options Stock Options Index Options Currency Options Other Types of Traded Options Real Options Transaction Costs in Option Trading Floor Trading and Clearing Fees Commissions Bid-Ask Spread Other Transaction Costs The Regulation of Options Markets Summary Further Reading Questions and Problems Appendix 2: Margin Requirements Chapter 3 Principles of Option Pricing Basic Notation and Terminology Principles of Call Option Pricing The Minimum Value of a Call The Maximum Value of a Call The Value of a Call at Expiration The Effect of Time to Expiration The Effect of Exercise Price The Lower Bound of a European Call American Call Versus European Call The Early Exercise of American Calls on Dividend-Paying Stocks The Effect of Interest Rates The Effect of Stock Volatility Principles of Put Option Pricing The Minimum Value of a Put The Maximum Value of a Put The Value of a Put at Expiration The Effect of Time to Expiration The Effect of Exercise Price The Lower Bound of a European Put American Put Versus European Put The Early Exercise of American Puts Put-Call Parity The Effect of Interest Rates The Effect of Stock Volatility Summary Further Reading…… Chapter 8 Chapter 9 Chapter 10PART II Chapter 11 Chapter 12 Chapter 13 作者介绍 Don M.ctlance,美国路易斯安那州立大学金融学教授,主要研究方向为金融衍生产品和风险管理。曾在美国东南部的一家大银行就职,曾任美国Virginiaa Tech学院Pamplin商学院首任金融风险管理联合教授,拥有cFA资格。由于其实际从业经历和学术背景,cIlance教授无论在顶级学术刊 序言
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