衍生工具与风险管理

出版时间：2005-1  出版社：高等教育出版社  作者：[美] 钱斯  页数：408  
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内容概要

　　《普通高等教育“十一五”国家级规划教材：衍生工具与风险管理》涵盖了金融衍生工具的基本内容以及相应的风险管理知识，主要介绍了期权、远期、期货、互换等基础性金融衍生工具的基本知识、市场制度、定价原理和市场运用策略，并针对目前世界上应用最广泛、最重要的一类衍生产品——利率衍生工具进行了深入浅出的分析和介绍，最后专门从定量和定性两个角度讨论了相应的风险管理问题。　　作为一本在国外广受欢迎的金融工程教材，本书适合于金融、投资、财务管理等相关专业本科生、硕士生、MBA教学使用，可用于金融工程、衍生产品等课程，也非常适合作为金融工程、衍生产品和风险管理领域的培训教材，同时可供金融从业者和对金融领域有兴趣者自学使用，亦是一本优秀的可供查阅的市场手册。

作者简介

　　钱斯，美国路易斯安那州立大学金融学教授，主要研究方向为金融衍生产品和风险管理。曾在美国东南部的一家大银行就职，曾任美国VirginiaaTech学院Pamplin商学院首任金融风险管理联合教授，拥有CFA资格。由于其实际从业经历和学术背景，cIlance教授无论在顶级学术刊物还是在职业期刊上均有大量论文发表，并在业界咨询、学术顾问等方面具有丰富经验。

书籍目录

Chapter1IntroductionDerivative Markets and InstrumentsOptionsForward ContractsFutures ContractsOptions on FuturesSwaps and Other DerivativesThe Underlying AssetSome Important Concepts in Financial and DerivativeMarketsRisk PreferenceShort SellingReturn and RiskMarket Efficiency and Theoretical Fair ValueFundamental Linkages between Spot and DerivativeMarketsArbitrage and the Law of One PriceThe Storage Mechanism: Spreading Consumption acrossTimeDelivery and SettlementThe Role of Derivative MarketsRisk ManagementPrice DiscoveryOperational Advantages "Market EfficiencyCriticisms of Derivative MarketsMisuses of DerivativesDerivatives and Your CareerSources of Information on DerivativesSummaryFurther ReadingQuestions and ProblemsPART IOptionsChapter 2The Structure of Options MarketsThe Development of Options MarketsCall OptionsPut OptionsThe Over-the-Counter Options MarketOrganized Options TradingListing RequirementsContract SizeExercise PricesExpiration DatesPosition and Exercise LimitsOptions Exchanges and Trading ActivityOption TradersThe Market MakerThe Floor BrokerThe Order Book OfficialOther Option Trading SystemsOff-Floor Option TradersThe Mechanics of TradingPlacing an Opening OrderThe Role of the ClearinghousePlacing an Offsetting OrderExercising an OptionOption Price QuotationsTypes of OptionsStock OptionsIndex OptionsCurrency OptionsOther Types of Traded OptionsReal OptionsTransaction Costs in Option TradingFloor Trading and Clearing FeesCommissionsBid-Ask SpreadOther Transaction CostsThe Regulation of Options MarketsSummaryFurther ReadingQuestions and ProblemsAppendix 2: Margin RequirementsChapter 3Principles of Option PricingBasic Notation and TerminologyPrinciples of Call Option PricingThe Minimum Value of a CallThe Maximum Value of a CallThe Value of a Call at ExpirationThe Effect of Time to ExpirationThe Effect of Exercise PriceThe Lower Bound of a European CallAmerican Call Versus European CallThe Early Exercise of American Calls onDividend-Paying StocksThe Effect of Interest RatesThe Effect of Stock VolatilityPrinciples of Put Option PricingThe Minimum Value of a PutThe Maximum Value of a PutThe Value of a Put at ExpirationThe Effect of Time to ExpirationThe Effect of Exercise PriceThe Lower Bound of a European PutAmerican Put Versus European PutThe Early Exercise of American PutsPut-Call ParityThe Effect of Interest RatesThe Effect of Stock VolatilitySummaryFurther Reading……Chapter　8Chapter　9Chapter　10PART IIChapter　11Chapter　12Chapter　13