金融衍生品介绍

金融衍生品分类

1. Forward

   • Commodity Forward Contract
   • Storage Costs
   • Lease Rate
   • Convenience Yields
   • Commodity Spread
   • Financial Forward Contract

   • Forward Rate Agreement

   • FRA估值
     

     $$V = L(R_k - R_f ) (T_2 - T_1) e^{-R_2T_2}$$

   • FRA Settlement Values
     $$V =\frac{ L(R_k - R_f ) (T_2 - T_1) }{ (1 + \frac{R_f}{m})^{m\times n}}$$

2. Futures

   • Specifications

     • Asset
     • Contract Size
     • Delivery Arrangement
     • Delivery Month
     • Price Quotes
     • Price limits and position limits

   • Price (Forward and Futures Prices)

     • 无套利思想
     $$F_0 = (S_0+U-I)e^{(r-y)T}$$
     $$F_0 = S_0e^{(r+u-q-y)T}$$
     • Interest Rate Parity
       $$Forward = Spot (\frac{1+r_A}{1+r_B})^T = Spot \times e^{(r_A-r_B)T}$$
       ​
   • Value
     $$f = (F_0 - K) e^{-rT} = S_0- Ke^{-rT}$$

3. Swap

4. Option

市场参与者

1. Hedgers : 通过交易控制风险

2. Speclators： 利用风险，创造价值

3. Arbitrageurs ： 无成本，无风险

4. Market maker ：做市商

5. Broker ：经纪商