??(Swap)???

1
???????????
2
????

• ????????????
• ???????
• ??????????????
• ???????????

3
??????????

• ??
• ?????
• ??????
• ??(Swap)???
• ???????,????????????
• ????????????????,????????,????????????

4
?????

• ??????????????????????,??????????????????
• ???????????
• ???????????????
• ????????????????

5
????

• Call option (??)
• ?????,????????????,?????????????????
• Put option (??)
• ?????,????????????,?????????????????
• ?????(Buyer)???????,??(Seller, writer)?????????
• ????????,????????(Premium)?

6
????

• ?????(Underlying asset)
• ?????????????????????????????
• ???(Striking price, exercise price)
• ???????,?????????,??????????????
• ???(Expiration date, maturity date)
• ????????

7
????

• ????
• ????????????????,??????????????????
• ??????Max(S-K,0)
• ??????Max(K-S,0)
•  ????

?? ??
SgtK in-the-money(??) out-of-the-money(??)
SltK out-of-the-money in-the-money
SK at-the-money(??) at-the-money
8
????

• ?????(??????????)
• ?????(European Option)
• ????????????????
• ?????(American Option)
• ??????????????????

9
??????

• ?????
• ???????????,????????????,??????Call option???Put
  option???
• ?????
• ????????,??????????
• ?????
• ?????????,Buy a callsell a putlong
  position,?????????

10
???????

• ?????
• ????????????,????????,??6???????,??????(Naked
  position)?
• ????????????????
• ???????????(?????)????????
• ???????????????????????
• ???????????????????

11
???

• ?????

Long stock
Short stock
??
??
45
0
0
S
K
S
K
12
???

• ?????

Buy a call
Buy a put
??
??
S
K
K
0
0
???
S
13
???

• ?????

Sell a call
Sell a put
??
??
???
0
K
S
K
S
0
14
????

• ??(??)??(Bullish vertical spread)

??????
Buy a call
0
0
K1
K2
S
K1
K2
Sell a call
15
????

• ??(??)?? (Bearish vertical spread)

??????
Buy a call
K1
K2
0
0
K1
K2
S
Sell a call
16
????

• ???? (Butterfly spread)

??????
Buy a call
Buy a call
0
0
0
K1
K2
K3
K1
K3
K2
Sell 2 call
17
????

• ??????????????????
• ??? (Straddle position)

?????
K
K
Sell a call
Sell a put
0
0
????
18
????

• ??? (Straddle position)

?????
K
K
0
0
buy a call
buy a put
????
19
????

• ???? (Strangle position)

?????
K1
K2
0
0
sell a call
sell a put
K1
K2
?????
20
????

• ???? (Strangle position)

?????
K1
K1
K2
K2
0
0
Buy a call
buy a put
?????
21
???? (hedge position)

• ?????(Protective put)
• ?????????,??????Call??

buy a put
0
0
buy a share
???????????
22
???? (hedge position)

• ?????(Protective call)
• ?????????,??????put??

buy a call
0
0
???????????
short a share
23
???? (hedge position)

• ?????(Covered call)

buy a share
???????????
0
0
sell a call
24
???? (hedge position)

• ?????(Covered put)

???????????
short a share
0
0
sell a put
25
??????????

• ????(S)
• ????,Call??????
• ????,Put?????
• ????(K)
• ??????????,????????
• ??????????,????????
• ????(t)
• ??????,????????????????,?????????

26
??????????

• ???(Volatility,s)
• ??????????,?????????
• ?????(Risk-free rate, r)
• ?r??,????????,???????
• ?? (Dividend, D)
• ??????????
• ?Call ?????
• ?Put ?????
• ?????
• ???????????????

27
???????

• ??????
• ????????
• Max (S-K,0)?C,Max (K-S,0)?P
• ??????????
• Max (S-K,0)?C?S
• Max (K-S,0)?P?K

 ???(????)????????
28
??????

• ??????,???????
• ?Call option?,?????(S)??,???????
• ?Put option?,?????(S)??,???????

29
???????

• ????
• ?????
• ??????????
• ??????????
• ??
• ?????????D,?????????K-PV(K)
• ??????????

30
??????(Put-call parity)

• ??
• ???????,???????(??????????),?????,???????????,????
  ???????????(???)??
• ???
• C-PS-Ke-rt? SP-CKe-rt

31
??????(Put-call parity)

• ??StltK? StgtK,???????0
• SP-C-PV(K) 0
• C-PS-PV(K)

???? ???? StltK StgtK
??? S -St -St
Sell a put P -(K-St ) 0
Buy a call -C 0 St-k
??PV(K) -PV(K) K K
?? SP-C-Ke-rt 0 0
32
???????

• B-S?? (Black-Scholes Model)
• ????????,??????????,???????
• ??????(s)??????(r)???????
• ???????,???Ito process????????????(Log normal)?
• ??????????

33
B-S??

• ??CSN(d1)-PV(K)N (d2)
• ??
• t?????
• s?????????
• r??????

34
????? (Binomial Model)

• ??????????????????????,???????????????????????,?
• SuS.u
• (Su???????????u?????1)
• SsS.d
• (Sd???????????d?????1)
• Cu??????????????
• Cd??????????????

35
????? (Binomial Model)
??
T0
T1
SuS.u
S
SdS.d
CuMax (Su-K,0)
C
CdMax (Sd-K,0)
36
????? (Binomial Model)

• (S-h.C) (1r)Su-h.CuSd-h.Cd
• Su-h.CuSd-hCd (?????,????????)

Su-h.Cu
S-h.C
Sd-h.Cd
37
????? (Binomial Model)

• ? ????
• ,??
• ????,????????

38
??????

• ???????(???)
• ?????(V)??????(D)?,???????,?????D?
• ???????
• ?V??D?,????????????,????????????
• ??
• ????????????

39
??????

• ??????
• ????????,?????????????????????????
• ????
• ????

40
????????????

• ?????????????
• ?????
• ???? (Mark to market)
• ???????????
• ??????? (Initial margin)??????
• ???????????? (Maintenance margin)?,??????????
• ??????????
• ????????
•  

41
???????

• ?????
• ??????????????,??????????,?????????
•  ?????
• ??????????????,???????????????????,?????????
• ???????
• ?????????,????????????????,?????????????

42
???????

• ?????
• ????
• ????
• ????
• ??????
• ????

43
???????

• ??? 
• ???
• ??? 
• ??? 
• ?????

44
?????????

• ?????(Open interest)
• ????,??????????????????(???)?????
• ???
• ?????????

45
????????????

• ??(Basis)
• ????gt???????
• ????(Normal market?Contango market)
• ????lt???????
• ????(Inverted market?Backwardation market)
• ????????????????
• ????????????????

46
???????

• ????????
• ??????????

??????????????????????? ??????????????-???????

FS.(1(rh-g)t)
F???? S???? r??????? H???? G????? t????
FS(1rt)H-G
47
??????

• ??????
• ?????????,?????????????????
• ??????
• ???? (Long hedge)
• ???? (Short hedge)
• ??????
• ????
• ?????
• ????

48
?????????

• ????? (Asset Securization)
• ?????(???)??????????,????????????,????????????????
  ??,?????????????
• ?????
• ???? (cap)
• ???? (floor)
• ???? (Interest swap)