投资学第22章期货市场优质PPT.ppt
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投资学第22章期货市场优质PPT.ppt
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Investments,8theditionBodie,KaneandMarcusSlidesbySusanHineSlidesbySusanHineMcGraw-Hill/IrwinCopyright2009byTheMcGraw-HillCompanies,Inc.Allrightsreserved.CHAPTER22FuturesMarketsFuturesMarkets22-2Forward-anagreementcallingforafuturedeliveryofanassetatanagreed-uponpriceFutures-similartoforwardbutfeatureformalizedandstandardizedcharacteristicsKeydifferenceinfuturesSecondarytrading-liquidityMarkedtomarketStandardizedcontractunitsClearinghousewarrantsperformanceFuturesandForwards22-3Futuresprice-agreed-uponpriceatmaturityLongposition-agreetopurchaseShortposition-agreetosellProfitsonpositionsatmaturityLong=spotminusoriginalfuturespriceShort=originalfuturespriceminusspotKeyTermsforFuturesContracts22-4Figure22.1FuturesListings22-5Figure22.2ProfitstoBuyersandSellersofFuturesandOptionContracts22-6Table22.1SampleofFutureContracts22-7Clearinghouse-actsasapartytoallbuyersandsellersObligatedtodeliverorsupplydeliveryClosingoutpositionsReversingthetradeTakeormakedeliveryMosttradesarereversedanddonotinvolveactualdeliveryOpenInterestTradingMechanics22-8Figure22.3PanelA,TradingwithoutaClearinghouse.PanelB,TradingwithaClearinghouse22-9InitialMargin-fundsdepositedtoprovidecapitaltoabsorblossesMarkingtoMarket-eachdaytheprofitsorlossesfromthenewfuturespricearereflectedintheaccountMaintenanceorvariationmargin-anestablishedvaluebelowwhichatradersmarginmaynotfallMarginandTradingArrangements22-10Margincall-whenthemaintenancemarginisreached,brokerwillaskforadditionalmarginfundsConvergenceofPrice-asmaturityapproachesthespotandfuturespriceconvergeDelivery-ActualcommodityofacertaingradewithadeliverylocationorforsomecontractscashsettlementCashSettlementsomecontractsaresettledincashratherthandeliveryoftheunderlyingassetsMarginandTradingArrangementsContinued22-11Speculation-short-believepricewillfalllong-believepricewillriseHedging-longhedge-protectingagainstariseinpriceshorthedge-protectingagainstafallinpriceTradingStrategies22-12Basis-thedifferencebetweenthefuturespriceandthespotpriceovertimethebasiswilllikelychangeandwilleventuallyconvergeBasisRisk-thevariabilityinthebasisthatwillaffectprofitsand/orhedgingperformanceBasisandBasisRisk22-13Figure22.4HedgingRevenuesUsingFutures,Example22.5(FuturesPrice=$97.15)22-14Spot-futuresparitytheorem-twowaystoacquireanassetforsomedateinthefuturePurchaseitnowandstoreitTakealongpositioninfuturesThesetwostrategiesmusthavethesamemarketdeterminedcostsFuturesPricing22-15Spot-FuturesParityTheoremWithaperfecthedgethefuturespayoffiscertain-thereisnoriskAperfecthedgeshouldreturntherisklessrateofreturnThisrelationshipcanbeusedtodevelopfuturespricingrelationship22-16HedgeExample:
@#@Section22.4InvestorownsanS&@#@P500fundthathasacurrentvalueequaltotheindexof$1,500Assumedividendsof$25willbepaidontheindexattheendoftheyearAssumefuturescontractthatcallsfordeliveryinoneyearisavailablefor$1,550Assumetheinvestorhedgesbysellingorshortingonecontract22-17HedgeExampleOutcomesValueofST1,5101,5501,610PayoffonShort(1,550-ST)400-60DividendIncome252525Total1,5751,5751,57522-18RateofReturnfortheHedge22-19GeneralSpot-FuturesParityRearrangingterms22-20Figure22.5S&@#@P500MonthlyDividendYield22-21ArbitragePossibilitiesIfspot-futuresparityisnotobserved,thenarbitrageispossibleIfthefuturespriceistoohigh,shortthefuturesandacquirethestockbyborrowingthemoneyattheriskfreerateIfthefuturespriceistoolow,golongfutures,shortthestockandinvesttheproceedsattheriskfreerate22-22SpreadPricing:
@#@ParityforSpreads22-23Figure22.6GoldFuturesPrices22-24TheoriesofFuturesPricesExpectationsNormalBackwardationContangoModernPortfolioTheory22-25Figure22.7FuturesPriceOverTime,intheSpecialCasethattheExpectedSpotPriceRemainsUnchanged
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