金融工程
- 1. [ 金 融 工 程 ] FINANCIAL ENGINEERING主讲人： XX
- 2. 金融工程讲授专题 时间: 星期二 18:30 ; 地点：XX室一、重要的金融工程工具——衍生证券 2000-11-14 二、远期和期货 2000-11-21，11-28 三、网络股票、期货行情软件简介 11-29am 计算机实验室 四、中外衍生证券市场简介 12-05 计算机实验室 五、互换 2000-12-12 六、期权 2000-12-19，12-26 七、小结 2001-01-02 八、金融工程总结 2001-01-09
- 3. 考核 成绩： 出勤：3 次；时间: 星期二; 地点: 光华119 / 实验室1、 考试 60% 2001-01-02 2、 作业 1, 2, 3, 4 40% 其中，作业 1, 2 为习题（个人），10%； 作业 3 为金融网站的编辑（小组），10%； 作业 4 为金融工程案例分析（小组）20%。
- 4. 金融工程金融工程是应用金融工具，（进行金融结构设计，或者）将现有的金融结构进行重组，以获得人们希望的结果。 金融工程有助于现实金融问题的解决； 金融工程不能实现不可能达到的结果。
- 5. 金融工程学 金融工程学可以概括为四个层次： 金融工具与金融手段的设计、开发与实施； 风险管理技术，即运用各种金融工具与手段以达到预期的收益/风险目标； 整体金融架构的创造，例如：设计企业的兼并和收购方案，资产证券化方案，设立货币市场基金，建立衍生证券市场等等； 对金融市场的研究。如对市场的完全性、有效率性及金融市场的一般均衡的研究，以及对金融市场在整个市场体系中的地位、作用的研究等等。
- 6. Futures Markets & the Use of Futures for Hedging Chapter 2
- 7. 1. 期货合约的交易 2. 期货合约的特性 3. 保证金的操作 4. 期货价格与现货价格的关系 5. 利用期货套期保值 6. 最佳套期比率Chapter 22.1
- 8. Available on a wide range of underlyings Exchange traded Specifications need to be defined: - What can be delivered, - Where it can be delivered, & - When it can be deliveredFutures Contracts2.2
- 9. Case 3: Futures TradeAn individual takes a long position in 2 December gold futures contracts, traded on the New York Commodity Exchange(COMEX), on June 1, 1996: contract size is 100 oz. futures price entered into is US$400 margin requirement is US$2,000/contract (US$4,000 in total) maintenance margin is US$1,500/contract (US$3,000 in total)2.3
- 10. Futures Trade两类 交易员： 1. 佣金经纪人 commission broker 2. 自营经纪人 locals 两种 交易指令： 1. 市价指令 market order 2. 限价指令 limit order 两种 仓位： 1. 建仓 opening up a position 2. 平仓 closing out a position
- 11. Futures Trade资产 ： 商品和金融资产，确定。 合约规模 ：每一合约中资产交割的数量。 交割手续 ：每一合约中资产交割的时间、地点等。 头寸限制 ：投机者可以持有的最多合约数量。 价格变动限制 ： 涨停板 limit up 跌停板 limit down 如何保证合约的履行？
- 12. Futures Trade: 保证金操作 保证金 ： 为确保履行合约而由买卖双方存于交 易帐户的押金。 保证金帐户 ：Margin Account 初始保证金 ：Initial Margin， 开仓时存入保证金帐 户中的保证金金额。 维持保证金 ：Maintenance Margin， 头寸建立后保 证金帐户中的最低保证金金额。 保证金催付 ： Margin Call 。每天交易结束时，如果保证 金帐户余额低于Maintenance Margin
- 13. Futures Trade: 保证金操作 变动保证金 ：Variation Margin， 追加的资金。 盯市 ： Marking to Market，每天交易结束时， 对保证金帐户进行调整 保证金金额一般取决于客户的目标。 A. 投机者与套期保值者 B. 当日交易和价差交易 (day trade and spread transaction)
- 14. Case of a Futures TradeAn individual takes a long position in 2 December gold futures contracts, traded on the New York Commodity Exchange(COMEX), on June 1, 1996: contract size is 100 oz. futures price entered into is US$400 margin requirement is US$2,000/contract (US$4,000 in total) maintenance margin is US$1,500/contract (US$3,000 in total)
- 15. A Possible OutcomeTABLE 2.1 (p. 27)DailyCumulativeMarginFuturesGainGainAccountMarginPrice(Loss)(Loss)BalanceCallDay(US$)(US$)(US$)(US$)(US$)400.004,0001-Jun397.00(600)......11-Jun393.30......15-Jun387.00(1,140)......22-Jun392.30(600)3,400(420)260.........(1,540)5,060...(1,340)2,660...(2,600)2,740...00......1,340.....1,260......+=4,0003,000+=4,000 <
- 16. Other Key Points About FuturesABCDtMargine AccountFInitial MarginMaintenance Margin? ? ?
- 17. Other Key Points About FuturesABCDtMargine AccountFHGInitial MarginMaintenance Margin5~10%T75~80%I
- 18. Other Key Points About Futures1. They are settled daily 2. Closing out a futures contract position involves entering into an offsetting trade 3. Most contracts are closed out before maturity
- 19. Clearinghouse & Clearing margin交易结算所: Exchange Clearinghouse 结算保证金: Clearing Margin 结算方式： 1. 基于总值 Gross Basis 2. 基于净值 Net Basis
- 20. Regulation of FuturesRegulation is designed to protect the public interest Regulators try to prevent questionable trading practices by either individuals on the floor of the exchange or outside groups
- 21. Some Terminology Settlement price （结算价格）: the price just before the final bell each day used for the marking to market process Open interest （未平仓合约数）: the total number of contracts outstanding equal to number of LONGS or number of SHORTS Volume of trading（交易量）: the number of trades in 1 day
- 22. Questions When a new trade is completed what are the possible effects on the open interest? Can the volume of trading in a day be greater than the open interest?
- 23. Private contract between 2 partiesExchange tradedNon-standard contractStandard contractUsually 1 specified delivery dateRange of delivery datesSettled at maturitySettled dailyDelivery of final cashsettlement usually occursContract usually closed outprior to maturityFORWARDSFUTURES TABLE Forward Contracts vs Futures Contracts
- 24. Price of the Forward Contract vs Price of the Futures ContractIn theory, the futures price for a contract should be almost the same as the forward price for a contract with the same maturity on the same asset.
- 25. Keynes & HicksThey argue that F < E (ST ) if speculators are long & hedgers are short And that F > E (ST ) if hedgers are short & speculators are longJohn Maynard Keynes & John Hicks 在三十年代的工作：
- 26. Keynes & Hicks因为投机者承担的风险需要补偿。投机者只有在预期期货的价格将上涨的情况下才会进行交易。 另一方面，套期保值者因为减少了风险，会接受轻微的损失。 期货价格低于预期未来现货价格的情况被称为现货溢价（normal backwardation）； 期货价格高于预期未来现货价格的情况被称为期货溢价（contango）
- 27. TimeTime(a)(b)Futures PriceFutures PriceSpot PriceSpot PriceConvergence of Futures to Spot
- 28. Convergence of Futures to SpotTimeTime(a)(b)Futures PriceFutures PriceSpot PriceSpot Price
- 29. Case 2: An Arbitrage Opportunity?Suppose that: The spot price of gold is US$390 The quoted 1-year forward price of gold is US$425 The 1-year US$ interest rate is 5% pa Is there an arbitrage opportunity?
- 30. Case 2: Another Arbitrage Opportunity?Suppose that: The spot price of gold is US$390 The quoted 1-year forward price of gold is US$390 The 1-year US$ interest rate is 5% pa Is there an arbitrage opportunity?
- 31. The Forward Price of GoldIn our examples, T = 1 & therefore S (1+r )T = 390(1+0.05) = 409.50 F 1=425 > S (1+r )T = 409.50 F 2=390 < S (1+r )T = 409.50 where r is the 1-year (domestic currency) risk-free rate of interest.
- 32. The Forward Price of Gold策略: A. 当 F 1=425 > S (1+r )T = 409.50 时, 1. 卖出一单位的远期合约; 2. 以无风险利率 r 借入S 资金,用以购买一单位的现货资产. T时刻获利: F 1 - S (1+r )T =425 - 409.50 = US$ 15.5
- 33. The Forward Price of Gold策略: B. 当 F 2=390 < S (1+r )T = 409.50 时, 1. 卖出一单位的现货资产,以无风险利率 r 投 资; 2. 购买远期合约. T时刻获利: S (1+r )T -F 2 =409.5 - 390 = US$ 19.5
- 34. The Forward Price of Gold什么时候没有套利机会？ F 1= F 2 = F = S (1+r )T
- 35. If a contract is used for Hedging: recognize profits (losses) at the same time as on the item being hedgedFutures used for ?Roughly speaking, this is what the treatment of futures in the China, US & many other countries attempts to achieve Speculation: recognize profits (losses) on a mark to market basis
- 36. Long & Short HedgesA long futures hedge is appropriate when you know you will PURCHASE an asset in the future & want to lock in the price A short futures hedge is appropriate when you know you will SELL an asset in the future & want to lock in the price
- 37. Example of Basis RiskA. 一公司将在 t2 时刻将买出 现货资产，并在 t 1 时刻进行空头套期保值。则套期保值获得的有效价格为 B. 一公司将在 t2 时刻将买入 现货资产，并在 t 1 时刻进行多头套期保值。则套期保值获得的有效价格为 ： S2 +F1 - F2 = F1+b2- S2 - F1 + F2 = -（F1+b2）
- 38. Basis RiskBasis is the difference between spot & futures Basis risk arises because of the uncertainty about the basis when the hedge is closed outb = S - F
- 39. Example of Basis Riskt1时建仓： — 现货价格，$2.50 — 期货价格，$2.20 t2时平仓： — 现货价格，$2.00 — 期货价格，$1.90 Basis = ?b1=S1-F1 b2=S2-F2
- 40. Minimum Variance Hedge RatioProportion of the exposure that should optimally be hedged is where S : spot price, F : futures price, S : standard deviation of S , F : standard deviation of F & coefficient of correlation between S & F
- 41. Case 4: Minimum Variance Hedge Ratio 某公司3个月后需用100万吨航空煤油。 3个月内每吨航空煤油价格变化的标准差为0.032； 公司选择购买热油期货进行套期保值， 一份合约为：42，000吨。 3个月内热油期货价格变化的标准差为0.040，且3个月内航空煤油价格变化和热油价格变化的相关系数为0.80。所以，最佳套期保值比率为：
- 42. 购买的合约数为： 所以，实际需要15张合约。Case 4: Minimum Variance Hedge Ratio
- 43. Questions T ：套期保值的到期日； t 1 ， t 2 。。。。。。t n 期货合约的到期日 如果 T >> t i ( i = 1,2, 。。。。。。n) 那么如何实施套期保值 ？
- 44. Rolling Over a HedgeWe can use a series of SHORT futures contracts to create a hedge for an asset obtained at T Each time we switch from 1 SHORT futures contract to another we incur a type of basis risk
- 45. 1. 期货合约的交易 2. 期货合约的特性 3. 保证金的操作 4. 期货价格与现货价格的关系 5. 利用期货套期保值 6. 最佳套期比率Chapter 22.1
