Financial Derivatives

导言 (Introduction)

  1. 交易所市场 (Exchange-traded markets)
  2. 场外市场 (Over-the-counter markets)
  3. 远期合约 (Forward contracts)
  4. 期货合约 (Futures contracts)
  5. 期权合约 (Options)
  6. 交易员的种类 (Types of traders)
  7. 对冲者 (Hedgers)
  8. 投机者 (Speculators)
  9. 套利者 (Arbitrageurs)
  10. 危害 (Dangers)

期货市场的运作机制 (Mechanics of futures markets)

  1. 背景知识 (Background)
  2. 期货合约的规定 (Specification of a futures contract)
  3. 期货价格收敛到即期价格的特性 (Convergence of futures price to spot price)
  4. 保证金的运作 (The operation of margins)
  5. 场外市场 (OTC markets)
  6. 市场报价 (Market quotes)
  7. 交割 (Delivery)
  8. 交易员类型和交易指令类型 (Types of traders and types of orders)
  9. 制度 (Regulation)
  10. 会计和税收 (Accounting and tax)
  11. 远期和期货合约比较 (Forward vs. futures contracts)

利用期货的对冲策略 (Hedging strategies using futures)

  1. 短头寸和长头寸对冲 (Short and long hedges)
  2. 拥护和反对对冲的观点 (Arguments for and against hedging)
  3. 基差风险 (Basis risk)
  4. 交叉对冲 (Cross hedging)
  5. 股指期货 (Stock index futures)
  6. 向前滚动对冲 (Stack and roll)

利率 (Interest rates)

  1. 利率的种类 (Types of rates)
  2. 利率的计量 (Measuring Interest rates)
  3. 零息利率 (Zero rates)
  4. 债券定价 (Bond pricing)
  5. 国库券零息利率的确定 (Determining Treasury zero rates)
  6. 远期利率 (Forward rates)
  7. 远期利率合约 (Forward rate agreements)
  8. 久期 (Duration)
  9. 曲率 (Convexity)
  10. 利率期限结构理论 (Theories of the term structure of interest rates)

远期和期货价格的确定 (Determination of forward and future prices)

  1. 投资资产与消费资产 (Investment assets vs. consumption assets)
  2. 卖空交易 (Short selling)
  3. 假设与符号 (Assumptions and notation)
  4. 投资资产的远期价格 (Forward price for an investment assest)
  5. 提供已知中间收入的资产 (Known income)
  6. 收益率为已知的情形 (Known yield)
  7. 远期合约的定价 (Valuing forward contracts)
  8. 远期和期货价格相等吗 (Are forward prices and futures prices equal?)
  9. 股指期货价格 (Futures prices of stock indices)
  10. 货币的远期和期货合约 (Forward and futures contracts on currencies)
  11. 商品期货 (Futures on commodities)
  12. 持有成本 (The cost of carry)
  13. 交割选择 (Delivery options)
  14. 期货价格与预期即期价格 (Futures prices and the expected future spot price)

利率期货 (Interest rate futures)

  1. 天数计算和报价惯例 (Day count and quotation conventions)
  2. 美国国债期货 (Treasury bond futures)
  3. 欧洲美元期货 (Eurodollar futures)
  4. 利用期货基于久期的对冲 (Duration-based hedging strategies using futures)
  5. 对于资产与负债组合的对冲 (Hedging portfolios of assets and liabilities)

互换 (Swaps)

  1. 互换合约的机制 (Mechanics of interest rate swaps)
  2. 天数计量惯例 (Day count issues)
  3. 确认书 (Confirmations)
  4. 比较优势的观点 (The comparative-advantage argument)
  5. 互换利率的实质 (The nature of swap rates)
  6. 确定LIBOR/互换零息利率 (Determining the LIBOR/swap zero rates)
  7. 利率互换的定价 (Valuation of interest rate swaps)
  8. 隔夜指数互换 (Overnight indexed swaps)
  9. 货币互换 (Currency swaps)
  10. 货币互换的定价 (Valuation of currency swaps)
  11. 信用风险 (Credit risk)
  12. 其他类型的互换 (Other types of swaps)

证券化与2007年信用危机 (Securization and the Credit Crisis of 2007)

  1. 证券化 (Securization)
  2. 美国住房市场 (The US housing market)
  3. 问题的症结 (What went wrong?)
  4. 危机带来的后果 (The aftermath)

期权市场机制 (Mechanics of options markets)

  1. 期权的类型 (Types of options)
  2. 期权头寸 (Option positions)
  3. 标的资产 (Underlying assets)
  4. 股票期权的特征 (Specification of stock options)
  5. 交易 (Trading)
  6. 佣金 (Commissions)
  7. 保证金 (Margins)
  8. 期权结算公司 (The options clearing corporation)
  9. 监管规则 (Regulation)
  10. 税收 (Taxation)
  11. 认股权证、雇员股票期权及可转换证券 (Warrants, employee stock options, and convertibles)
  12. 场外市场 (Over-the-counter markets)

股票期权的性质 (Properties of stock options)

  1. 影响期权价格的因素 (Factors affecting option prices)
  2. 假设及符号 (Assumptions and notation)
  3. 期权价格的上限与下限 (Upper and lower bounds for option prices)
  4. 看跌-看涨平价关系式 (Put-call parity)
  5. 提前行使期权:无股息股票的看涨期权 (Calls on a non-dividend-paying stock)
  6. 提前行使期权:无股息股票的看跌期权 (Puts on a non-dividend-paying stock)
  7. 股息对于股权的影响 (Effect of dividends)

期权交易策略 (Trading strategies involving options)

  1. 保本债券 (Principal-protected notes)
  2. 包括单一期权与股票的策略 (Trading an option and the underlying asset)
  3. 差价 (Spreads)
  4. 组合策略 (Combinations)
  5. 具有其他收益形式的组合 (Other payoffs)

二叉树 (Binomial tress)

  1. 单步二叉树模型与无套利方法 (A one-step binomial model and a no-arbitrage argument)
  2. 风险中性定价 (Risk-neutral valuation)
  3. 两步二叉树 (Two-step binomial trees)
  4. 看跌期权实例 (A put example)
  5. 美式期权 (American options)
  6. Delta
  7. 选取 u 和 d 使二叉树与波动率吻合 (Matching volatility with u and d)
  8. 二叉树公式 (The binomial tree formulas)
  9. 增加二叉树的时间步数 (Increasing the number of steps)
  10. 使用 DerivaGem 软件 (Using DerivaGem)
  11. 对于其他标的资产的期权 (Options on other assets)

维纳过程和伊藤引理 (Wiener processes and Ito’s lemma)

  1. 马尔科夫性质 (The Markov property)
  2. 连续时间随机变量 (Continuous-time stochastic processes)
  3. 描述股票价格的过程 (The process for a stock price)
  4. 参数 (The parameters)
  5. 相关过程 (Correlated processes)
  6. 伊藤引理 (Ito’s lemma)
  7. 对数正态分布的性质 (The lognormal property)

布莱克-斯科尔斯-默顿模型 (The Black-Scholes-Merton model)

  1. 股票价格的对数正态分布性质 (Lognormal property of stock prices)
  2. 收益率的分布 (The distribution of the rate of return)
  3. 预期收益率 (The expected return)
  4. 波动率 (Volatility)
  5. 布莱克-斯科尔斯-默顿微分方程的概念 (The idea underlying the Black-Scholes-Merton differential equation)
  6. 布莱克-斯科尔斯-默顿微分方程的推导 (Derivation of the Black-Scholes-Merton differential equation)
  7. 风险中性定价 (Risk-neutral valuation)
  8. 布莱克-斯科尔斯-默顿定价公式 (Black-Scholes-Merton pricing formulas)
  9. 累积正态分布函数 (Cumulative normal distribution function)
  10. 权证与雇员股票期权 (Warrants and employee stock options)
  11. 隐含波动率 (Implied volatilities)
  12. 股息 (Dividends)

雇员股票期权 (Employee stock options)

  1. 合约的设计 (Contractual arrangements)
  2. 期权会促使期权人与管理人员的利益一致吗 (Do options align the interests of shareholders and managers?)
  3. 会计问题 (Accounting issues)
  4. 定价 (Valuation)
  5. 倒填日期丑闻 (Backdating scandals)

股指期权与货币期权 (Options on stock indices and currencies)

  1. 股指期权 (Options on stock indices)
  2. 货币期权 (Currency options)
  3. 支付连续股息的股票期权 (Options on stocks paying known dividend yields)
  4. 欧式股指期权的定价 (Valuation of European stock index options)
  5. 货币期权的定价 (Valuation of European currency options)
  6. 美式期权 (American options)

期货期权 (Futures options)

  1. 期货期权的特性 (Nature of futures options)
  2. 期货期权被广泛应用的原因 (Reasons for the popularity of futures options)
  3. 欧式即期期权和欧式期货期权 (European spot and futures options)
  4. 看跌-看涨期权平价关系式 (Put-call parity)
  5. 期货期权的下限 (Bounds for futures options)
  6. 采用二叉树对期货期权定价 (Valuation of futures options using binomial trees)
  7. 期货期权在风险中性世界的漂移率 (Drift of a futures prices in a risk-neutral world)
  8. 对于期货期权定价的布莱克模型 (Black’s model for valuing futures options)
  9. 美式期货期权与美式即期期权 (American futures options vs. American spot options)
  10. 期货式期权 (Futures-style options)

希腊值 (The Greek letters)

  1. 例解 (Illustration)
  2. 裸露头寸和带保头寸 (Naked and covered positions)
  3. 止损交易策略 (A stop-loss strategy)
  4. Delta对冲 (Delta hedging)
  5. Theta (Theta)
  6. Gamma (Gamma)
  7. Delta、Theta 和 Gamma 之间的关系 (Relationship between delta, theta, and gamma)
  8. Vega (Vega)
  9. Rho (Rho)
  10. 对冲的现实性 (The realities of hedging)
  11. 情景分析 (Scenario analysis)
  12. 公式的推广 (Extension of formulas)
  13. 资产组合保险 (Portfolio insurance)
  14. 股票市场波动率 (Stock market volatility)

波动率微笑 (Volatility smiles)

  1. 为什么波动率微笑对看涨期权与看跌期权是一样的 (Why the volatility smile is the same for calls and puts)
  2. 货币期权 (Foreign currency options)
  3. 股票期权 (Equity options)
  4. 其他刻画波动率微笑的方法 (Alternative ways of characterizing the volatility smile)
  5. 波动率期限结构与波动率曲面 (The volatility term structure and volatility surfaces)
  6. 希腊值 (Greek letters)
  7. 模型的作用 (The role of the model)
  8. 当预期会有价格大跳跃时 (When a single jump is anticipated)

基本数值方法 (Basic numerical procedures)

  1. 二叉树 (Binomial trees)
  2. 采用二叉树来对股指、货币与期货期权定价 (Using the binomial tree for options on indices, currencies, and futures contracts)
  3. 对于支付股息股票的二叉树模型 (Binomial model for a dividend-paying stock)
  4. 构造树形的其他方法 (Alternative procedures for constructing trees)
  5. 参数依赖于时间的情形 (Time-dependent parameters)
  6. 蒙特卡罗模拟法 (Monte Carlo simulation)
  7. 方差缩减程序 (Variance reduction procedures)
  8. 有限差分法 (Finite difference methods)

风险价值度 (Value at Risk)

  1. VaR 测度 (The VaR measure)
  2. 历史模拟法 (Historical simulation)
  3. 模型构建法 (Model-building approach)
  4. 线性模型 (Linear model)
  5. 二次模型 (Quadratic model)
  6. 蒙特卡罗模拟 (Monte Carlo simulation)
  7. 不同方法的比较 (Comparison of approaches)
  8. 压力测试与回顾测试 (Stress testing and back testing)
  9. 主成分分析法 (Principal components analysis)

估计波动率和相关系数 (Estimating volatilities and correlations)

  1. 估计波动率 (Estimating volatility)
  2. 指数加权移动平均模型 (The exponentially weighted moving average model)
  3. GARCH (1, 1) 模型 (The GARCH (1, 1) model)
  4. 模型选择 (Choosing between the models)
  5. 极大似然估计法 (Maximum likelihood methods)
  6. 采用 GARCH (1, 1) 模型来预测波动率 (Using GARCH (1, 1) to forecast future volatility)
  7. 相关系数 (Correlations)
  8. 将 EWMA 应用于4个指数的例子 (Application of EWMA to four-index example)

信用风险 (Credit risk)

  1. 信用评级 (Credit ratings)
  2. 历史违约概率 (Historical default probabilities)
  3. 回收率 (Recovery rates)
  4. 由债券价格来估计违约概率 (Estimating default probabilities from bond prices)
  5. 违约概率的比较 (Comparison of default probability estimates)
  6. 利用股价估计违约概率 (Using equity prices to estimate default probabilities)
  7. 衍生产品交易中的信用风险 (Credit risk in derivatives transactions)
  8. 信用风险的缓解 (Credit risk mitigation)
  9. 违约相关性 (Default correlation)
  10. 信用 VaR (Credit VaR)

信用衍生产品 (Credit derivatives)

  1. 信用违约互换 (Credit default swaps)
  2. 信用违约互换的定价 (Valuation of credit default swaps)
  3. 信用指数 (Credit indices)
  4. 固定券息的使用 (The use of fixed coupons)
  5. 信用违约互换远期合约及期权 (CDS forwards and options)
  6. 篮筐式信用违约互换 (Basket credit default swaps)
  7. 总收益互换 (Total return swaps)
  8. 债务抵押债券 (Collateralized debt obligaitons)
  9. 相关系数在篮筐式信用违约互换与 CDO 中的作用 (Role of correlation in a basket CDS and CDO)
  10. 合成 CDO 的定价 (Valuation of a synthetic CDO)
  11. 其他模型 (Alternatives to the standard market model)

特种期权 (Exotic options)

  1. 组合期权 (Packages)
  2. 非标准美式期权 (Nonstandard American options)
  3. 缺口期权 (Gap options)
  4. 远期开始期权 (Forward start options)
  5. 棘轮期权 (Cliquet options)
  6. 复合期权 (Compound options)
  7. 选择人期权 (Chooser options)
  8. 障碍式期权 (Barrier options)
  9. 二元式期权 (Binary options)
  10. 回望式期权 (Lookback options)
  11. 喊价式期权 (Shout options)
  12. 亚式期权 (Asian options)
  13. 资产交换期权 (Options to exchange one asset for another)
  14. 涉及多种资产的期权 (Options involving several assets)
  15. 波动率和方差互换 (Volatility and variance swaps)
  16. 静态期权复制 (Static options replication)

再论模型和数值算法 (More on models and numerical procedures)

  1. 布莱克-斯科尔斯-默顿的替代模型 (Alternatives to Black-Scholes-Merton)
  2. 随机波动率模型 (Stochastic volatility models)
  3. IVF 模型 (The IVF model)
  4. 可转换债券 (Convertible bonds)
  5. 依赖路径衍生产品 (Path-dependent derivatives)
  6. 障碍式期权 (Barrier options)
  7. 与两个相关资产有关的期权 (Options on two correlated assets)
  8. 蒙特卡罗模拟与美式期权 (Monte Carlo simulation and American options)

鞅与测度 (Martingales and measures)

  1. 风险市场价格 (The market price of risk)
  2. 多个状态变量 (Several state variables)
  3. 鞅 (Martingales)
  4. 计价单位的其他选择 (Alternative choices for the numeraire)
  5. 多个独立因子的情况 (Extension to several factors)
  6. 改进布莱克模型 (Black’s model revisited)
  7. 资产交换期权 (Option to exchange one asset for another)
  8. 计价单位变换 (Change of numeraire)

利率衍生产品:标准市场模型 (Interest rate derivatives: The standard market models)

  1. 债券期权 (Bond options)
  2. 利率上限和下限 (Interest rate caps and floors)
  3. 欧式利率互换期权 (European swap options)
  4. 推广 (Generalizations)
  5. 利率衍生产品的对冲 (Heding interest rate derivatives)

曲率、时间与 Quanto 调整 (Convexity, timing, and quanto adjustments)

  1. 曲率调整 (Convexity adjustments)
  2. 时间调整 (Timing Adjustments)
  3. QUANTO (Quantos)

利率衍生产品:短期利率模型 (Interest rate derivatives: models of the short rate)

  1. 背景 (Background)
  2. 均衡模型 (Equilibrium models)
  3. 无套利模型 (No-arbitrage models)
  4. 债券期权 (Options on bonds)
  5. 波动率结构 (Volatility structures)
  6. 利率树形 (Interest rate trees)
  7. 建立树形的过程 (A general tree-building procedure)
  8. 校正 (Calibration)
  9. 利用单因子模型进行对冲 (Hedging using a one-factor model)

利率衍生产品:HJM 与 LMM 模型 (Interest rate derivatives: HJM and LMM)

  1. Heath、Jarrow 和 Morton 模型 (The Heath, Jarrow, and Morton model)
  2. LIBOR 市场模型 (The LIBOR market model)
  3. 联邦机构房产抵押贷款证券 (Agency mortgage-backed securities)

再谈互换 (Swaps Revisited)

  1. 标准交易的变形 (Variations on the vanilla deal)
  2. 复合互换 (Compounding swaps)
  3. 货币互换 (Currency swaps)
  4. 更复杂的互换 (More complex swaps)
  5. 股权互换 (Equity swaps)
  6. 具有内含期权的互换 (Swaps with embedded options)
  7. 其他互换 (Other swaps)

能源与商品衍生产品 (Energy and commodity derivatives)

  1. 农产品 (Agricultural commodities)
  2. 金属 (Metals)
  3. 能源产品 (Energy products)
  4. 商品价格模型 (Modeling commodity prices)
  5. 气候衍生产品 (Weather derivatives)
  6. 保险衍生产品 (Insurance derivatives)
  7. 气候与保险衍生产品定价 (Pricing weather and insurance derivatives)
  8. 能源生产商如何对冲风险 (How an energy producer can hedge risks)

实物期权 (Real options)

  1. 资本投资评估 (Capital investment appraisal)
  2. 风险中性定价的推广 (Extension of the risk-neutral valuation framework)
  3. 估计风险市场价格 (Estimating the market price of risk)
  4. 对业务的评估 (Application to the valuation of a business)
  5. 投资机会中期权的定价 (Evaluating options in an investment opportunity)

重大金融损失与借鉴 (Derivatives mishaps and what we can learn from them)

  1. 所有衍生产品使用者的教训 (Lessons for all users of derivatives)
  2. 对于金融机构的教训 (Lessons for financial institutions)
  3. 对于非金融机构的教训 (Lessons for nonfinancial corporations)

发展中国家的衍生品市场 (Derivatives markets in developing countries)

  1. 中国市场 (China’s markets)
  2. 印度市场 (India’s markets)
  3. 其它发展中国家 (Other developing countries)


(2)期权、期货及其他衍生产品 约翰•赫尔 (John C.Hull) (作者), 王勇 (译者), 索吾林 (译者)
(3)概率论基础及其应用, 王梓坤