衍生工具與風(fēng)險(xiǎn)管理

內(nèi)容概要

　　《普通高等教育“十一五”國(guó)家級(jí)規(guī)劃教材：衍生工具與風(fēng)險(xiǎn)管理》涵蓋了金融衍生工具的基本內(nèi)容以及相應(yīng)的風(fēng)險(xiǎn)管理知識(shí)，主要介紹了期權(quán)、遠(yuǎn)期、期貨、互換等基礎(chǔ)性金融衍生工具的基本知識(shí)、市場(chǎng)制度、定價(jià)原理和市場(chǎng)運(yùn)用策略，并針對(duì)目前世界上應(yīng)用最廣泛、最重要的一類衍生產(chǎn)品——利率衍生工具進(jìn)行了深入淺出的分析和介紹，最后專門從定量和定性兩個(gè)角度討論了相應(yīng)的風(fēng)險(xiǎn)管理問(wèn)題?！　∽鳛橐槐驹趪?guó)外廣受歡迎的金融工程教材，本書適合于金融、投資、財(cái)務(wù)管理等相關(guān)專業(yè)本科生、碩士生、MBA教學(xué)使用，可用于金融工程、衍生產(chǎn)品等課程，也非常適合作為金融工程、衍生產(chǎn)品和風(fēng)險(xiǎn)管理領(lǐng)域的培訓(xùn)教材，同時(shí)可供金融從業(yè)者和對(duì)金融領(lǐng)域有興趣者自學(xué)使用，亦是一本優(yōu)秀的可供查閱的市場(chǎng)手冊(cè)。

作者簡(jiǎn)介

　　錢斯，美國(guó)路易斯安那州立大學(xué)金融學(xué)教授，主要研究方向?yàn)榻鹑谘苌a(chǎn)品和風(fēng)險(xiǎn)管理。曾在美國(guó)東南部的一家大銀行就職，曾任美國(guó)VirginiaaTech學(xué)院Pamplin商學(xué)院首任金融風(fēng)險(xiǎn)管理聯(lián)合教授，擁有CFA資格。由于其實(shí)際從業(yè)經(jīng)歷和學(xué)術(shù)背景，cIlance教授無(wú)論在頂級(jí)學(xué)術(shù)刊物還是在職業(yè)期刊上均有大量論文發(fā)表，并在業(yè)界咨詢、學(xué)術(shù)顧問(wèn)等方面具有豐富經(jīng)驗(yàn)。

書籍目錄

Chapter1IntroductionDerivative Markets and InstrumentsOptionsForward ContractsFutures ContractsOptions on FuturesSwaps and Other DerivativesThe Underlying AssetSome Important Concepts in Financial and DerivativeMarketsRisk PreferenceShort SellingReturn and RiskMarket Efficiency and Theoretical Fair ValueFundamental Linkages between Spot and DerivativeMarketsArbitrage and the Law of One PriceThe Storage Mechanism: Spreading Consumption acrossTimeDelivery and SettlementThe Role of Derivative MarketsRisk ManagementPrice DiscoveryOperational Advantages "Market EfficiencyCriticisms of Derivative MarketsMisuses of DerivativesDerivatives and Your CareerSources of Information on DerivativesSummaryFurther ReadingQuestions and ProblemsPART IOptionsChapter 2The Structure of Options MarketsThe Development of Options MarketsCall OptionsPut OptionsThe Over-the-Counter Options MarketOrganized Options TradingListing RequirementsContract SizeExercise PricesExpiration DatesPosition and Exercise LimitsOptions Exchanges and Trading ActivityOption TradersThe Market MakerThe Floor BrokerThe Order Book OfficialOther Option Trading SystemsOff-Floor Option TradersThe Mechanics of TradingPlacing an Opening OrderThe Role of the ClearinghousePlacing an Offsetting OrderExercising an OptionOption Price QuotationsTypes of OptionsStock OptionsIndex OptionsCurrency OptionsOther Types of Traded OptionsReal OptionsTransaction Costs in Option TradingFloor Trading and Clearing FeesCommissionsBid-Ask SpreadOther Transaction CostsThe Regulation of Options MarketsSummaryFurther ReadingQuestions and ProblemsAppendix 2: Margin RequirementsChapter 3Principles of Option PricingBasic Notation and TerminologyPrinciples of Call Option PricingThe Minimum Value of a CallThe Maximum Value of a CallThe Value of a Call at ExpirationThe Effect of Time to ExpirationThe Effect of Exercise PriceThe Lower Bound of a European CallAmerican Call Versus European CallThe Early Exercise of American Calls onDividend-Paying StocksThe Effect of Interest RatesThe Effect of Stock VolatilityPrinciples of Put Option PricingThe Minimum Value of a PutThe Maximum Value of a PutThe Value of a Put at ExpirationThe Effect of Time to ExpirationThe Effect of Exercise PriceThe Lower Bound of a European PutAmerican Put Versus European PutThe Early Exercise of American PutsPut-Call ParityThe Effect of Interest RatesThe Effect of Stock VolatilitySummaryFurther Reading……Chapter　8Chapter　9Chapter　10PART IIChapter　11Chapter　12Chapter　13

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