期货与期权市场基本原理（英文版·第9版） mobi 下载 网盘 caj lrf pdf txt 阿里云

本书对金融衍生产品市场中的期权和期货的基本理论进行了深入系统的阐述，提供了大量的业界事例。本书主要论述了期货市场的运作机制、采用期货的对冲策略、远期及期货价格的确定、期权市场的运作过程、股票期权的性质、期权交易策略、布莱克-斯科尔斯-默顿模型、希腊值及其应用、波动率微笑、风险价值度、特种期权及其他非标准产品、信用衍生产品、气候和能源以及保险衍生产品等。本书巧妙地避免了复杂的微积分计算，又不失理论的严谨性，给没有受过金融数学训练的许多金融从业人员提供了很好的指导。

Preface  

Chapter 1: Introduction  1 

11 FuturesContracts 1 

12 HistoryofFutures Markets2 

13 The Over-the-Counter Market4 

14 ForwardContracts6 

15 Opti***7 

16 History of Opti*** Markets 10 

17 Types ofTrader11 

18 Hedgers  11 

19 Speculators 14 

110  Arbitrageurs 17 

111  Dangers  18 

Summary  18 

FurtherReading 20 

Quiz 20 

PracticeQuesti*** 20 

FurtherQuesti*** 22 

Chapter 2: Futures Markets and Central Counterparties  24 

21 Opening and ClosingFuturesPositi***  24 

22 SpecicationofaFuturesContract 25 

23ConvergenceofFutures PricetoSpotPrice28 

24 The Operation ofMargin Accounts 29 

25 O*** Markets 32 

26 MarketQuotes  35 

27 Delivery 37 

28 TypesofTrader andTypesof Order38 

29 Regulation39 

210  Accounting andTax  40 

211  Forward vsFuturesContracts42 

Summary  44 

FurtherReading 45 

Quiz 45 

PracticeQuesti*** 46 

FurtherQuesti*** 47 

Chapter 3: Hedging Strategies Using Futures  49 

31 Basic Principles49 

32 Arguments for and Against Hedging 52 

33 Basis Risk 55 

34 Cross Hedging59 

35 Stock IndexFutures63 

36 Stack andRoll69 

Summary70 

Further Reading72 

Quiz72 

PracticeQuesti*** 73 

FurtherQuesti*** 74 

Appendix:ReviewofKeyConceptsin Statistics and theCAPM 76 

Chapter 4: Interest Rates  81 

41 Types of Rates81 

42 SwapRates83 

43 The Risk-Free Rate84 

44 Measuring Interest Rates 85 

45 ZeroRates87 

46 Bond Pricing 88 

47 Determining Zero Rates 89 

48 ForwardRates93 

49 ForwardRateAgreements95 

410  Theoriesof theTerm Structureof InterestRates97 

Summary 100 

Further Reading101 

Quiz101 

PracticeQuesti***  102 

FurtherQuesti*** 103 

Appendix: Exponential and LogarithmicFuncti*** 105 

Chapter 5: Determination of Forward and Futures Prices  107 

51 Investment Assets vsC***umption Assets  107 

52 Short Selling  108 

53 Assumpti*** and Notation 109 

54 ForwardPrice for an Investment Asset110 

55 Known Income113 

56 Known Yield115 

57 ValuingForwardContracts115 

58 AreForward Prices andFutures Prices Equal?  118 

59 Futures Prices of Stock Indices 118 

510  Forward andFuturesContracts on Currencies121 

511  Futures onCommodities124 

512  TheCost of Carry 127 

513  Delivery Opti***127 

514  Futures Prices and Expected Spot Prices128 

Summary 130 

Further Reading131 

Contents  vii 

Quiz 132 

PracticeQuesti***132 

FurtherQuesti*** 134 

Chapter 6: Interest Rate Futures136 

61  DayCount andQuotationConventi***136 

62  Treasury BondFutures139 

63  EurodollarFutures143 

64  Duration148 

65  Duration-Based Hedging Strategies UsingFutures152 

Summary 156 

FurtherReading 157 

Quiz 157 

PracticeQuesti***158 

FurtherQuesti*** 159 

Chapter 7: Swaps 161 

71  Mechanics of Interest Rate Swaps162 

72  DayCount Issues 167 

73  Conrmati***167 

74  TheComparative-Advantage Argument168 

75  Valuationof InterestRateSwaps171 

76  How theValue Changes through Time174 

77  Fixed-for-Fixed Currency Swaps 175 

78  Valuation ofFixed-for-Fixed Currency Swaps 178 

79  Other Currency Swaps 180 

710  Credit Risk 181 

711  Credit Default Swaps182 

712  OtherTypes of Swaps183 

Summary 184 

FurtherReading 185 

Quiz 185 

PracticeQuesti***186 

FurtherQuesti*** 188 

Chapter 8: Securitization and the Credit Crisis of 2007 190 

81  Securitization190 

82  The US HousingMarket194 

83 WhatWentWrong?198 

84  The Aftermath200 

Summary 202 

FurtherReading 202 

Quiz 203 

PracticeQuesti***203 

FurtherQuesti*** 204 

Chapter 9: Mechanics of Opti*** Markets 205 

91  Types of Option 205 

92  OptionPositi***208 

93  Underlying Assets210 

94  Specication of Stock Opti***211 

95 Trading 215 

96 Commissi***216 

97 MarginRequirements 217 

98 The Opti*** ClearingCorporation  219 

99 Regulation220 

910  Taxation220 

911  Warrants, Employee Stock Opti***, andConvertibles221 

912  Over-the-Counter Opti*** Markets 222 

Summary 223 

Further Reading223 

Quiz224 

PracticeQuesti***  224 

FurtherQuesti*** 225 

Chapter 10: Properties of Stock Opti***  227 

101  Factors Aecting Option Prices227 

102  Assumpti*** and Notation 231 

103  Upper and Lower Bounds for Option Prices 232 

104  Put–CallParity 235 

105  Calls ona Non-Dividend-Paying Stock 239 

106  Puts ona Non-Dividend-Paying Stock  241 

107  Eect of Dividends 243 

Summary 244 

FurtherReading 245 

Quiz 245 

PracticeQuesti*** 246 

FurtherQuesti***247 

Chapter 11: Trading Strategies Involving Opti***  249 

111  Principal-Protected Notes 249 

112  Strategies Involvinga Single Option anda Stock 251 

113  Spreads 253 

114  Combinati***261 

115  OtherPayos 264 

Summary 264 

FurtherReading 265 

Quiz 265 

PracticeQuesti*** 266 

FurtherQuesti***266 

Chapter 12: Introduction to Binomial Trees  268 

121  AOne-Step BinomialModel anda No-Arbitrage Argument268 

122  Risk-NeutralValuation 272 

123  Two-StepBinomialTrees274 

124  A Put Example 277 

125  American Opti*** 278 

126  Delta 279 

127  Determining u and d  280 

128  Increasing the Numberof Time Steps 281 

129  Using DerivaGem 282 

Contents  ix 

1210  Opti*** on Other Assets282 

Summary287 

Further Reading287 

Quiz287 

PracticeQuesti*** 288 

FurtherQuesti***289 

Appendix: Derivation of the Black–Sc***s–Merton Option Pricing 

Formula from BinomialTree291 

Chapter 13: Valuing Stock Opti***: The Black–Sc***s–Merton Model293 

131  Assumpti*** about How Stock Prices Evolve294 

132  ExpectedReturn297 

133  Volatility298 

134  EstimatingVolatilityfrom HistoricalData299 

135  Assumpti*** Underlying Black–Sc***s–Merton 301 

136  The Key No-Arbitrage Argument302 

137  The Black–Sc***s–MertonPricingFormulas304 

138  Risk-NeutralValuation306 

139  ImpliedVolatilities307 

1310  Dividends309 

Summary311 

Further Reading312 

Quiz313 

PracticeQuesti*** 313 

FurtherQuesti*** 315 

Appendix: The Early Exercise of American Call Opti*** on 

Dividend-Paying Stocks 316 

Chapter 14: Employee Stock Opti*** 318 

141  Contractual Arrangements318 

142  Do Opti*** Align the Interests of Shareholders and Managers?320 

143  Accounting Issues321 

144  Valuation323 

145  Backdating Scandals324 

Summary325 

Further Reading326 

Quiz326 

PracticeQuesti*** 327 

FurtherQuesti*** 327 

Chapter 15: Opti*** on Stock Indices and Currencies328 

151  Opti*** on Stock Indices328 

152  Currency Opti***331 

153  Opti*** on StocksPaying Known Dividend Yields333 

154  Valuation of European Stock Index Opti*** 335 

155  Valuation of European Currency Opti*** 338 

156  American Opti***339 

Summary340 

Further Reading341 

Quiz341 

PracticeQuesti*** 341 

FurtherQuesti***343 

Chapter 16: Futures Opti*** and Black’s Model 344 

161  NatureofFutures Opti***  344 

162  Reas*** for thePopularityofFutures Opti*** 346 

163  European SpotandFutures Opti*** 347 

164  Put–CallParity347 

165  Bounds forFutures Opti*** 349 

166  AFuturesPrice as an AssetProviding a Yield 349 

167  Black’sModel forValuingFutures Opti*** 350 

168  Using Black’s ModelInsteadof Black–Sc***s–Merton 350 

169  Valuation ofFutures Opti*** Using BinomialTrees351 

1610  AmericanFutures Opti*** vs American Spot Opti*** 354 

1611  Futures-Style Opti***354 

Summary 355 

FurtherReading 356 

Quiz 356 

PracticeQuesti*** 356 

Further Questi***357 

Chapter 17: The Greek Letters 359 

171  Illustration 359 

172  Naked andCoveredPositi*** 360 

173  Greek Letter Calculation 362 

174  Delta 363 

175  Theta 369 

176  Gamma 371 

177  Relati***hip Between Delta, Theta, and Gamma 374 

178  Vega378 

179  Rho 377 

1710  TheRealities of Hedging 379 

1711  Scenario Analysis 379 

1712  Extension ofFormulas 380 

1713  Creating Opti*** Synthetically forPortfolio Insurance 382 

1714  StockMarketVolatility 385 

Summary 385 

FurtherReading 387 

Quiz 387 

PracticeQuesti*** 388 

Further Questi***389 

Chapter 18: Binomial Trees in Practice  391 

181  The Binomial Model fora Non-Dividend-Paying Stock 391 

182  Using the Binomial Tree for Opti*** on Indices, Currencies, and Futures Contracts 398 

183  The Binomial Model fora Dividend-Paying Stock 401 

184  Extensi***of the BasicTree Approach 405 

185  Alternative Procedure forC***tructingTrees 407 

186  Monte Carlo Simulation 407 

Contents  xi 

Summary409 

Further Reading410 

Quiz410 

PracticeQuesti*** 411 

FurtherQuesti***412 

Chapter 19: Volatility Smiles 413 

191  Foreign Currency Opti***413 

192  Equity Opti***416 

193  TheVolatilityTerm Structure andVolatility Surfaces418 

194  Whena Single Large JumpIs Anticipated420 

Summary421 

Further Reading422 

Quiz423 

PracticeQuesti*** 423 

FurtherQuesti***424 

Appendix: Why the Put Volatility Smile is the Same as the Call 

Volatility Smile426 

Chapter 20: Value at Risk and Expected Shortfall 428 

201  TheVaR and ES Measures428 

202  Historical Simulation431 

203  Model-Building Approach436 

204  Generalization of Linear Model 439 

205  Quadratic Model444 

206  EstimatingVolatilities andCorrelati***446 

207  Comparison of Approaches451 

208  BackTesting 452 

Summary452 

Further Reading453 

Quiz453 

PracticeQuesti*** 454 

FurtherQuesti***455 

Chapter 21: Interest Rate Opti*** 458 

211  Exchange-Traded Interest Rate Opti*** 458 

212  Embedded Bond Opti***460 

213  Black’s Model460 

214  European Bond Opti***462 

215  Interest Rate Caps464 

216  EuropeanSwap Opti***469 

217  Term Structure Models472 

Summary473 

Further Reading473 

Quiz474 

PracticeQuesti*** 474 

FurtherQuesti***475 

Chapter 22: Exotic Opti*** and Other N***tandard Products 477 

221  Exotic Opti***477 

222  Agency Mortgage-Backed Securities 484 

223  N***tandard Swaps 485 

Summary 492 

FurtherReading 492 

Quiz 493 

PracticeQuesti*** 493 

FurtherQuesti***494 

Chapter 23: Credit Derivatives 496 

231  Credit Default Swaps 497 

232  Valuation of Credit Default Swaps501 

233  TotalReturn Swaps505 

234  CD***orwards and Opti*** 506 

235  Credit Indices 507 

236  The Use ofFixedCoup***  507 

237  Colla***lized Debt Obligati*** 509 

Summary 511 

FurtherReading 512 

Quiz 512 

PracticeQuesti*** 513 

FurtherQuesti***513 

Chapter 24: Weather, Energy, and Insurance Derivatives  515 

241  Weather Derivatives515 

242  Energy Derivatives 516 

243  Insurance Derivatives 519 

Summary 520 

FurtherReading 520 

Quiz 521 

PracticeQuesti*** 521 

FurtherQuestion 522 

Chapter 25: Derivatives Mishaps and What We Can Learn From Them 523 

251  Less*** for All Users of Derivatives 523 

252  Less*** forFinancial Instituti***  527 

253  Less*** for NonnancialCorporati***  532 

Summary 534 

FurtherReading 534 

Answers to Quiz Questi*** 535 

Glossary of Terms 535 

DerivaGem Software  535 

Major Exchanges Trading Futures and Opti*** 535 

Table for NexT   535 

[加]约翰·赫尔,约翰·赫尔(John Hull)衍生产品及风险管理教授，约翰·赫尔教授在衍生产品以及风险管理领域享有盛名，他的研究领域包括信用风险、经理股票期权、波动率曲面、市场风险以及利率衍生产品。他和艾伦·怀特教授研发出HullWhite利率模型荣NikkoLOR大奖。他曾为北美、日本以及欧洲多家金融机构提供金融咨询。

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编辑推荐

本书涵盖了与《期权、期货及其他衍生品》基本相同的理论，但本书不涉及微积分，更适合商学院、经济系及其他专业的本科生和研究生。此外，本书也适合希望提高自身对期货和期权市场理解的从业人员参阅。

前言

Preface 

I was originally persuaded to write this book by colleagues who liked my book Opti***, Futures, and Other Derivatives, but found the material a little too advanced for their students. Fundamentals of Futures and Opti*** Markets covers some of the same ground as Opti***, Futures, and Other Derivatives, but in a way that readers who have had limited training in mathematics .nd easier to understand. One important di.erence between the two books is that there is no calculus in this book. Fundamentals is suitable for undergraduate and graduate elective courses o.ered by business, economics, and other faculties. In addition, many practitioners who want to improve their under-standing of futures and opti*** markets will .nd the book useful. 

Instructors can use this book in a many di.erent ways. Some may choose to cover onlythe.rst12chapters, .nishingwith binomialtrees.For thosewhowanttodomore, there are many di.erent sequences in which Chapters 13 to 25 can be covered. From Chapter 18 onward, each chapter has been designed so that it is independent of the others and can be included in or omitted from a course without causing problems. I recommend .nishing a course with Chapter 25, which students always .nd interesting and entertaining. 

What ’s New in This Edition? 

Many changes have been made to update material and improve the presentation. The derivatives markets’ move toward OIS discounting has continued since the eighthedition was written. This has allowed me to streamline the material in the .rst seven chapters of Fundamentals. LIBOR discounting is no longer presented as a way to value instruments such as swaps and forward rate agreements. The valuation of these instruments requires 

(a) forward rates for the rate used to calculate payments (usually LIBOR) and (b) the zero-coupon risk-free zero curve used for discounting (usually the OIS zero curve).Most instructors will .nd the new presentation appealing and more logical. It can be extended to situati*** where payments are dependent on any risky rate. Other changes include: 

1.  

Moreonthenewregulati*** concerningthetradingand clearingofO***derivatives. 

2.  

A major revision of the swaps chapter (Chapter 7) to improve the presentation of material and re.ect the derivative markets’ move to OIS discounting. 

3.  

A fuller description of the impact of daily settlement when futures contracts are used for hedging. 

4.  

More details on the calculation and use of Greek letters. 

5.  

More discussion of the expected shortfall measure, re.ecting its increasing importance. 

xiv 

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For the Instructor 

The following supplements are available with this text: 

.  PowerPoint Presentati*** (adopting instructors can adapt the slides to meet their 

needs) . Instructors Manual (including answers to both practice questi*** and further 

questi***) 

John Hull