期货与期权市场基本原理(翻译版·第9版)(新形态优秀教材译丛)

目 录

第 1 章 引言 ············································1

1.1 期货合约·················································1

1.2 期货市场的历史·····································2

1.3 场外交易市场·········································4

1.4 远期合约·················································6

1.5 期权·························································6

1.6 期权市场的历史·····································9

1.7 交易者的类型·······································10

1.8 对冲者···················································11

1.9 投机者···················································13

1.10 套利者·················································15

1.11 危险性 ·················································16

本章小结························································17

深度阅读························································18

本章测验························································18

本章练习························································18

深度思考························································19

第 2 章 期货市场和中央对手方 ·············21

2.1 期货仓位的开仓和平仓·······················21

2.2 期货合约的细则···································22

2.3 期货价格与现货价格的趋同···············24

2.4 保证金账户的操作·······························25

2.5 场外交易市场·······································28

2.6 市场报价···············································31

2.7 交割·······················································33

2.8 交易商类型和订单类型·······················34

2.9 监管·······················································35

2.10 会计与税务·········································36

2.11 远期合约与期货合约 ·························37

本章小结························································39

深度阅读························································40

本章测验························································40

本章练习························································41

深度思考························································42

第 3 章 期货对冲策略 ···························44

3.1 基本原则···············································44

3.2 支持和反对对冲的观点·······················47

3.3 基差风险···············································49

3.4 交叉对冲···············································53

3.5 股指期货···············································56

3.6 移仓·······················································61

本章小结························································63

深度阅读························································64

本章测验························································64

本章练习························································65

深度思考························································66

附录3A 统计的重要概念和资本资产

定价（CAPM）模型 ···················67

第 4 章 利率 ··········································72

4.1 利率类型···············································72

4.2 互换利率···············································74

4.3 无风险利率···········································75

4.4 度量利率···············································75

4.5 零息利率···············································78

4.6 债券定价···············································78

4.7 确定零息利率·······································79

4.8 远期利率···············································82

4.9 远期利率协议·······································84

4.10 利率期限结构理论·····························86

本章小结························································89

深度阅读························································89

本章测验························································89

本章练习························································90

深度思考························································91

附录4A 指数和对数函数 ··························92

第 5 章 远期和期货价格的确定 ·············94

5.1 投资资产与消费资产···························94

5.2 做空·······················································94

5.3 假设和符号···········································96

5.4 投资资产的远期价格···························96

5.5 已知收入···············································99

5.6 已知收益率·········································101

5.7 远期合约定价·····································101

5.8 远期价格和期货价格相等吗·············103

5.9 股指期货价格·····································104

5.10 货币远期和期货合约·······················105

5.11 商品期货 ···········································108

5.12 持有成本···········································111

5.13 交割选择···········································111

5.14 期货价格和预期现货价格···············112

本章小结······················································114

深度阅读······················································114

本章测验······················································115

本章练习······················································115

深度思考······················································116

第 6 章 利率期货 ································118

6.1 天数计算和报价惯例·························118

6.2 国债期货·············································120

6.3 欧洲美元期货·····································125

6.4 久期·····················································129

6.5 基于久期的期货对冲策略·················132

本章小结······················································136

深度阅读······················································137

本章测验······················································137

本章练习······················································137

深度思考······················································138

第 7 章 互换 ········································140

7.1 利率互换机制·····································140

7.2 天数计算问题·····································145

7.3 确认书·················································146

7.4 比较优势论·········································147

7.5 利率互换定价·····································149

7.6 价值如何随时间变化·························151

7.7 固定利率对固定利率货币互换·········152

7.8 固定利率对固定利率货币互换的

定价 ····················································154

7.9 其他货币互换·····································156

7.10 信用风险···········································157

7.11 信用违约互换 ···································158

7.12 其他类型的互换·······························159

本章小结······················································160

深度阅读······················································161

本章测验······················································161

本章练习······················································162

深度思考······················································163

第 8 章 证券化与2007年信贷危机·····165

8.1 证券化·················································165

8.2 美国房地产市场·································168

8.3 问题的症结·········································172

8.4 后果·····················································174

本章小结······················································175

深度阅读······················································175