《哈佛商学经典 期权、期货和衍生证券：英文》

1 INTRODUCTION1

1．1 Forward Contracts1

1 INTRODUCTION1

1．2 Futures Contracts3

1．3 Options4

1．4 Other Derivatives9

1．5 Types of Traders10

Questions and Problems13

1．6 Summary13

2．1 Trading Futures Contracts16

2 FUTURES MARKETS AND THE USE OF FUTURES FOR HEDGING16

2 FUTURES MARKETS AND THE USE OF FUTURES FOR HEDGING16

2．2 Specification of the Futures Contract17

2．3 Operation of Margins20

2．4 Newspaper Quotes24

2．5 Convergence of Futures Price to Spot Price28

2．6 Settlement29

2．7 Regulation30

2．8 Hedging Using Futures31

2．9 Optimal Hedge Ratio35

2．10 Rolling the Hedge Forward37

2．11 Accounting and Tax38

2．12 Summary40

Suggestions for Further Reading41

Questions and Problems42

3 FORWARD AND FUTURES PRICES45

3．1 Some Preliminaries45

3 FORWARD AND FUTURES PRICES45

3．2 Forward Contracts on a Security That Provides No Income51

3．3 Forward Contracts on a Security That Provides a Known Cash Income52

3．4 Forward Contracts on a Security That Provides a Known Dividend Yield54

3．6 Forward Prices versus Futures Prices55

3．5 General Result55

3．7 Stock Index Futures57

3．8 Forward and Futures Contracts on Currencies63

3．9 Futures on Commodities65

3．10 The Cost of Carry67

3．11 Delivery Choices68

3．12 Futures Prices and the Expected Future Spot Price68

3．13 Summary71

Suggestions for Further Reading72

Questions and Problems73

Appendix 3A Proof That Forward and Futures Prices Are Equal When Interest Rates Are Constant76

4 INTEREST RATE FUTURES78

4．1 Some Preliminaries78

4 INTEREST RATE FUTURES78

4．2 Forward Rate Agreements87

4．3 Treasury Bond and Treasury Note Futures88

4．4 Treasury Bill Futures95

4．5 Eurodollar Futures99

4．6 Duration100

4．7 Duration-Based Hedging Strategies102

4．8 Limitations of Duration104

4．9 Summary106

Suggestions for Further Reading107

Questions and Problems107

5 SWAPS111

5．1 Mechanics of Interest Rate Swaps111

5 SWAPS111

5．2 The Comparative Advantage Argument118

5．3 Valuation of Interest Rate Swaps121

5．4 Currency Swaps125

5．5 Valuation of Currency Swaps128

5．6 Other Swaps130

5．7 Credit Risk132

5．8 Summary133

Suggestions for Further Reading134

Questions and Problems134

6 OPTIONS MARKETS138

6．1 Exchange-Traded Options138

6 OPTIONS MARKETS138

6．2 Over-the-Counter Options139

6．3 Specification of Stock Options140

6．4 Newspaper Quotes145

6．5 Trading146

6．6 Commissions147

6．7 Margins148

6．8 The Options Clearing Corporation150

6．9 Regulation151

6．10 Taxation151

6．11 Warrants and Convertibles153

6．12 Summary154

Suggestions for Further Reading154

Questions and Problems154

7 PROPERTIES OF STOCK OPTION PRICES156

7．1 Factors Affecting Option Prices156

7 PROPERTIES OF STOCK OPTION PRICES156

7．2 Assumptions and Notation158

7．3 Upper and Lower Bounds for Option Prices159

7．4 Early Exercise：Calls on a Non-Dividend-Paying Stock162

7．5 Early Exercise：Puts on a Non-Dividend-Paying Stock165

7．6 Put-Call Parity167

7．7 Effect of Dividends170

7．8 Empirical Research172

7．9 Summary173

Suggestions for Further Reading174

Questions and Problems174

8 TRADING STRATEGIES INVOLVING OPTIONS177

8．1 Strategies Involving a Single Option and a Stock177

8 TRADING STRATEGIES INVOLVING OPTIONS177

8．2 Spreads179

8．3 Combinations187

8．4 Other Payoffs190

8．5 Summary190

Suggestions for Further Reading191

Questions and Problems192

9 INTRODUCTION TO BINOMIAL TREES194

9．1 One-Step Binomial Model194

9 INTRODUCTION TO BINOMIAL TREES194

9．2 Risk-Neutral Valuation198

9．3 Two-Step Binomial Trees199

9．4 Put Example202

9．5 American Options203

9．6 Delta204

9．7 Using Binomial Trees in Practice205

9．8 Summary206

Suggestions for Further Reading207

Questions and Problems207

10 MODEL OF THE BEHAVIOR OF STOCK PRICES209

10．1 The Markov Property209

10 MODEL OF THE BEHAVIOR OF STOCK PRICES209

10．2 Wiener Processes210

10．3 The Process for Stock Prices215

10．4 Review of the Model217

10．5 The Parameters219

10．6 Ito s Lemma220

10．7 Summary222

Questions and Problems223

Suggestions for Further Reading223

Appendix 10A Derivation of Ito s Lemma225

11 THE BLACK-SCHOLES ANALYSIS228

11．1 Lognormal Property of Stock Prices228

11 THE BLACK-SCHOLES ANALYSIS228

11．2 The Distribution of the Rate of Return230

11．3 Estimating Volatility form Historical Data232

11．4 Concepts Underlying the Black-Scholes Differential Equation235

11．5 Derivation of the Black-Scholes Differential Equation237

11．6 Risk-Neutral Valuation239

11．7 Black-Scholes Pricing Formulas240

11．8 Cumulative Normal Distribution Function243

11．9 Warrants Issued by a Company on Its Own Stock244

11．10 Implied Volatilities246

11．11 The Causes of Volatility247

11．12 Dividends249

11．13 Summary253

Suggestions for Further Reading255

Questions and Problems256

Appendix 11A Exact Procedure for Calculating Values of American Calls on Dividend-Paying Stocks259

Appendix 11B Calculation of Cumulative Probability in Bivariate Normal Distribution260

12 OPTIONS ON STOCK INDICES， CURRENCIES， AND FUTURES CONTRACTS261

12 OPTIONS ON STOCK INDICES， CURRENCIES， AND FUTURES CONTRACTS261

12．1 Extending Black-Scholes261

12．2 Pricing Formulas263

12．3 Options on Stock Indices264

12．4 Currency Options269

12．5 Futures Options273

12．6 Summary280

Suggestions for Further Reading281

Questions and Problems282

Appendix 12A Derivation of Differential Equation Satisfied by a Derivative Dependent on a Stock Paying a Continuous Dividend Yield284

Appendix 12B Derivation of Differential Equation Satisfied by a Derivative Dependent on a Futures Price286

13 GENERAL APPROACH TO PRICING DERIVATIVES288

13 GENERAL APPROACH TO PRICING DERIVATIVES288

13．1 Single Underlying Variable288

13．2 Interest Rate Risk292

13．3 Securities Dependent on Several State Variables293

13．4 Is It Necessary to Estimate the Market Price of Risk？296

13．5 Derivatives Dependent on Commodity Prices297

13．6 Quantos298

13．7 Summary302

Suggestions for Further Reading302

Questions and Problems303

Appendix 13A Generalization of Ito s Lemma304

Appendix 13B Derivation of the General Differential Equation Satisfied by Derivatives305

14 THE MANAGEMENT OF MARKET RISK308

14．1 Example308

14 THE MANAGEMENT OF MARKET RISK308

14．2 Naked and Covered Positions309

14．3 A Stop-Loss Strategy310

14．4 More Sophisticated Hedging Schemes312

14．5 Delta Hedging312

14．6 Theta321

14．7 Gamma323

14．8 Relationship among Delta， Theta， and Gamma327

14．9 Vega328

14．10 Rho330

14．11 Scenario Analysis331

14．12 Portfolio Insurance333

14．13 Summary337

Suggestions for Further Reading338

Questions and Problems339

Appendix 14A Taylor Series Expansions and Hedge Parameters342

15 NUMERICAL PROCEDURES343

15．1 Binomial Trees343

15 NUMERICAL PROCEDURES343

15．2 Using the Binomial Tree for Options on Indices， Currencies， and Futures Contracts350

15．3 Binomial Model for a Dividend-Paying Stock352

15．4 Extensions of the Basic Tree Approach356

15．5 Alternative Procedures for Constructing Trees358

15．6 Monte Carlo Simulation361

15．7 Variance Reduction Procedures365

15．8 Finite Difference Methods368

15．9 Analytic Approximations in Option Pricing379

15．10 Summary380

Suggestions for Further Reading381

Questions and Problems382

Appendix 15A Analytic Approximation to American Option Prices of Macmillan， and Barone-Adesi and Whaley384

16 INTEREST RATE DERIVATIVES AND THE USE OF BLACK S MODEL387

16．1 Exchange-Traded Interest Rate Options387

16 INTEREST RATE DERIVATIVES AND THE USE OF BLACK S MODEL387

16．2 Embedded Bond Options389

16．3 Mortgage-Backed Securities389

16．4 Option-Adjusted Spread391

16．5 Black s Model392

16．6 European Bond Options395

16．7 Interest Rate Caps397

16．8 European Swap Options401

16．9 Accrual Swaps404

16．10 Spread Options405

16．11 Convexity Adjustments406

16．12 Summary411

Suggestions for Further Reading412

Questions and Problems412

Appendix 16A Proof of the Convexity Adjustment Formula414

17 INTEREST RATE DERIVATIVES AND MODELS OF THE YIELD CURVE416

17．1 Introduction to Equilibrium Models416

17 INTEREST RATE DERIVATIVES AND MODELS OF THE YIELD CURVE416

17．2 One-Factor Models417

17．3 The Rendleman and Bartter Model418

17．4 The Vasicek Model419

17．5 The Cox， Ingersoll， and Ross Model422

17．6 Two-Factor Models423

17．7 Introduction to No-Arbitrage Models424

17．8 Modeling Forward Rates428

17．9 Developing Markov Models431

17．10 Ho and Lee Model431

17．11 Hull and White Model433

17．12 Interest Rate Trees436

17．13 A General Tree-Building Procedure438

17．14 Nonstationary Models449

17．15 Forward Rates and Futures Rates450

17．16 Summary452

Suggestions for Further Reading453

Questions and Problems454

18 EXOTIC OPTIONS457

18．1 Types of Exotic Options457

18 EXOTIC OPTIONS457

18．3 Path-Dependent Derivatives469

18．2 Basic Numerical Procedures469

18．4 Lookback Options474

18．5 Barrier Options476

18．6 Options on Two Correlated Assets480

18．7 Hedging Issues482

18．8 Static Options Replication483

18．9 Summary485

Suggestions for Further Reading486

Questions and Problems487

19 ALTERNATIVES TO BLACK-SCHOLES FOR OPTION PRICING490

19．1 Known Changes in the Interest Rate and Volatility490

19 ALTERNATIVES TO BLACK-SCHOLES FOR OPTION PRICING490

19．2 Merton s Stochastic Interest Rate Model491

19．3 Pricing Biases492

19．4 Alternative Models494

19．5 Overview of Pricing Biases499

19．6 Stochastic Volatility499

19．7 How Black-Scholes Is Used in Practice502

19．8 Implied Trees505

19．9 Empirical Research507

19．10 Summary510

Suggestions for Further Reading511

Questions and Problems512

Appendix 19A Pricing Formulas for Altemative Models514

20 CREDIT RISK AND REGULATORY CAPITAL517

20 CREDIT RISK AND REGULATORY CAPITAL517

20．1 Background518

20．2 Adjusting the Prices of Options for Credit Risk521

20．3 Contracts That Can Be Assets or Liabilities523

20．4 Historical Default Experience527

20．5 Valuation of Convertible Bonds528

20．6 The BIS Capital Requirements531

20．7 Reducing Exposure to Credit Risk534

20．8 Summary535

Suggestions for Further Reading536

Questions and Problems536

21．1 Riskless Hedges539

21 REVIEW OF KEY CONCEPTS539

21 REVIEW OF KEY CONCEPTS539

21．2 Traded Securities versus Other Underlying Variables540

21．3 Risk-Neutral Valuation540

21．4 Those Big Losses541

21．5 A Final Word541

MAJOR EXCHANGES543

GLOSSARY OF NOTATION545

TABLE FOR N（x）WHENx≤0548

TABLE FOR N（x）WHENx≥0549

AUTHOR INDEX551

SUBJECT INDEX555