金融市場創(chuàng)新與發(fā)展

金融市場創(chuàng)新與發(fā)展

1精選ppt金融市場創(chuàng)新的動力與原則金融“三性”與創(chuàng)新管制與創(chuàng)新金融創(chuàng)新的原則2精選ppt三性關(guān)系盈利安全流動3精選ppt“三性”關(guān)系

收益安全流動4精選ppt例一：收益性與流動性活期存款（美）定期存款和儲蓄存款（美）創(chuàng)新要點(diǎn)：連續(xù)變幻CDs（大額可轉(zhuǎn)讓定期存款單）工商銀行資金管理業(yè)務(wù)銀證通業(yè)務(wù)5精選ppt例二：安全性與收益性股票投資股票指數(shù)期貨股指聯(lián)結(jié)型產(chǎn)品6精選ppt例三：安全性與流動性黃金、房地產(chǎn)黃金憑證、房地產(chǎn)信托投資單位（REITs）7精選pptREITs歷史可追溯到1880年代，避免雙重課稅１９９０年，共有１１９家掛牌房地產(chǎn)投資信托，股票市值為８７億美元，到１９９９年增加到２１０家掛牌，股票市值為１３０７億美元，數(shù)量翻了約一番，股票市值增加為原來的１５倍。目前美國約300家，市值3000億美元8精選pptREITs種類收權(quán)益型

擁有和經(jīng)營收益型房地產(chǎn)，業(yè)務(wù)包括出租、開發(fā)和租戶服務(wù)，絕大多數(shù)房地產(chǎn)投資信托屬于這種類型。按揭型

直接貸款給房地產(chǎn)業(yè)主和經(jīng)營者，或通過收購貸款和由按揭支持的證券來間接地施放信貸。現(xiàn)今的按揭型房地產(chǎn)投資信托，一般只給現(xiàn)成的物業(yè)提供信貸，很多現(xiàn)代的按揭型房地產(chǎn)投資信托，通過使用證券化的按揭投資和有效的對沖技術(shù)來管理其利率風(fēng)險?；旌闲?/p>

既擁有物業(yè)，又提供信貸。9精選pptREITs的資格（美國）１．持股要求。至少要有１００名股東，前５大股東在每一納稅年度的后半年內(nèi)，不得持有超過５０％的ＲＥＩＴ股份（退休基金除外）。2．資產(chǎn)要求。資產(chǎn)價值至少７５％以上為房地產(chǎn)、現(xiàn)金和政府證券，持有某一個發(fā)行人的證券不得超過ＲＥＩＴ資產(chǎn)價值的５％，不得持有超過某一發(fā)行人的流行在外的具有投票權(quán)的證券的１０％。３．收入要求。至少９５％的毛收入來源于紅利、利息、租金收入或某些資產(chǎn)出售利得，至少７５％的毛收入必須來源于租金收入、有抵押擔(dān)保的債權(quán)的利息收入、某些資產(chǎn)的出售利得、或投資于其它房地產(chǎn)投資信托的收入，不得有超過３０％的毛收入來自于出售持有不足六個月的股票或證券，或持有不足四年的房地產(chǎn)（非自愿變賣或拍賣的除外）。４．分派要求。給股東的分派必須相當(dāng)于或超過房地產(chǎn)投資信托應(yīng)納稅收入的９０％，對房地產(chǎn)投資信托要求的實(shí)質(zhì)是公司的資產(chǎn)主要是由長期持有的房地產(chǎn)組成，公司的收入主要來源于房地產(chǎn)，公司至少９０％的應(yīng)納稅收入應(yīng)分派給股東。10精選pptREITs舉例（DUKE）DUKE重慶國投——景龍信托深國投——水榭花都11精選ppt例四：管制與創(chuàng)新美國Q條例V.S.“現(xiàn)金管理帳戶”海外附屬機(jī)構(gòu)法V.S.跨州銀行業(yè)務(wù)格拉斯-斯蒂高爾法V.S.銀行控股公司洗售.結(jié)構(gòu)化洗售保底與受托理財外匯管制V.S.資本外逃12精選ppt創(chuàng)新的原則提高金融服務(wù)效率充分利用法律規(guī)定利潤最大化、最快化與可持續(xù)發(fā)展復(fù)制V.S.反復(fù)制13精選ppt中國金融市場創(chuàng)新與發(fā)展中國金融市場的管制背景市場準(zhǔn)入、利率、匯率、資金用途管制在多大程度上有效？產(chǎn)品創(chuàng)新、機(jī)構(gòu)創(chuàng)新與制度創(chuàng)新14精選ppt證券市場創(chuàng)新與發(fā)展固定收益證券創(chuàng)新并購方式創(chuàng)新基金產(chǎn)品創(chuàng)新支付與清算系統(tǒng)創(chuàng)新15精選ppt固定收益證券創(chuàng)新固定收益證券的含義（fixed-incomesecurities）種類國債(銀行間市場報價、交易排行)企業(yè)債（公司債？）可轉(zhuǎn)換債券結(jié)構(gòu)化債券債券與隱含期權(quán)(embeddedoptions)16精選ppt可轉(zhuǎn)換債券定義舉例1：機(jī)場轉(zhuǎn)債（上海機(jī)場）募集說明書轉(zhuǎn)股情況例2（青島啤酒）17精選ppt結(jié)構(gòu)化債券1986年StandardOil發(fā)行面值$1,000不付息債券到期支付：$1000+附加額附加額=min($2550,170*(p-25))18精選ppt隱含期權(quán)贖回權(quán)(call)返售權(quán)(resell)償債基金（sinkingfund）重訂價（reset）例：機(jī)場轉(zhuǎn)債（100009）中的隱含期權(quán)19精選ppt并購方式創(chuàng)新協(xié)議收購上市公司非流通股拍賣方式競買上市公司股權(quán)（華潤收購ST吉發(fā)]債權(quán)市場間接收購（債轉(zhuǎn)股）征集代理權(quán)第三方代為收購

上海華企投資有限公司和資產(chǎn)新聞實(shí)業(yè)有限公司以4250萬元的價格收購女兒紅釀酒有限責(zé)任公司,其中前者占46%的股份，后者占54%。資產(chǎn)新聞實(shí)業(yè)有限公司收購后，將其中25%的股份轉(zhuǎn)讓給香港的一家有臺資背景的公司。托管與期權(quán)方案相結(jié)合2001年4月，寧夏恒力面向境外投資者公開征集股權(quán)受讓人，計(jì)劃通過股權(quán)委托管理和簽訂《股權(quán)遠(yuǎn)期轉(zhuǎn)讓協(xié)議》的方式引進(jìn)外資股東。

換股并購

資產(chǎn)置換方式

20精選ppt信托業(yè)創(chuàng)新案例一：外環(huán)隧道項(xiàng)目案例二：湘計(jì)算機(jī)案例三：山東國投外匯資金信托21精選ppt基金產(chǎn)品創(chuàng)新傘形基金（湘財合豐系列基金）指數(shù)基金（華安180指數(shù)基金）保底基金（南方避險增值基金

招募書明書）交易所交易基金（ETFs）22精選ppt支付與清算系統(tǒng)創(chuàng)新實(shí)時全額v.s.差額清算系統(tǒng)電子化支付清算與電子貨幣貨幣民主化？23精選ppt保險業(yè)創(chuàng)新投資聯(lián)結(jié)類產(chǎn)品保險V.S儲蓄24精選ppt銀行產(chǎn)品創(chuàng)新儲蓄品種個人金融服務(wù)銀證、銀保合作25精選ppt衍生品市場創(chuàng)新期貨期權(quán)互換遞延交易26精選ppt期貨交易的起源與發(fā)展起源發(fā)展現(xiàn)狀27精選ppt期貨市場的源頭古埃及Genesis,ch41“Egyptianpharaoh’sdreamandJoseph’strick”印度孔雀王朝（2000B.C）18世紀(jì)歐洲“to-arrives”期貨交易所的誕生28精選pptCBOT的誕生CBOT，1848年82個谷物商人成立地理位置1851年CBOT第一張遠(yuǎn)期合約1865年第一張期貨合約

29精選ppt30精選ppt31精選ppt32精選ppt33精選pptCBOT市場統(tǒng)計(jì)2002年統(tǒng)計(jì)34精選ppt當(dāng)前全球期貨交易情況約74家交易所.1970年代，美國各期貨交易所年交易合約1300萬張，主要為農(nóng)產(chǎn)品1990年代，美國期貨合約年交易5300萬張，農(nóng)產(chǎn)品期貨占10%左右35精選ppt全球期貨交易所情況36精選ppt重要交易所CME(ChicagoMercantileExchange)LIFFE(LondonInternationalFinancialFuturesandOptionsExchange)(COMMEX)CommodityandMonetaryExchangeofMalaysia(KCBT)KansasCityBoardofTrade(KOFEX)KoreanFuturesExchange(NYME)NewYorkMercantileExchange37精選ppt交易所會虧損嗎？LIFFE,199938精選ppt期貨合約定義：交易雙方約定按既定價格在未來買賣一定量物品的標(biāo)準(zhǔn)化合約特點(diǎn)1、價格、數(shù)量、時間已經(jīng)確定2、交割尚未發(fā)生3、標(biāo)準(zhǔn)化39精選ppt合約種類商品期貨1、農(nóng)林畜產(chǎn)品2、能源及化工產(chǎn)品3、金屬產(chǎn)品4、金融期貨1、利率2、貨幣3、指數(shù)4、股票天氣期貨40精選ppt合約要素基礎(chǔ)資產(chǎn)（underlying)合約規(guī)模（Contractsize）交割安排（Deliveryarrangements）交割月份（Deliverymonths）報價方式（Pricequotes）價格波動限制（Dailypricemovementlimits）持倉限制（Positionlimits）41精選pptCBOT電子交易小型黃金合約合約規(guī)模33.2finetroyoz.交割等級：純度99.5%,金條重量誤差不超過10%最小價格變動：10cent/finetroyoz.(or$3.32percontract).報價：Dollarsandcents/finetroyounce.合約月份：月度合約最后交易日：合約月份倒數(shù)第三個工作日最后交割日：合約月份最后一個工作日交易時間：電子

–8:15pmto4:00pm,Chicagotime,Sunday–Friday.交易代碼ElectronicTrading-YG

42精選ppt報價Prices(open,high,low)SettlementpriceLifetimehighsandlowsOpeninterest(onedaybefore)Volumeoftrading(estimated)43精選ppt6月18日報價CBOT紐約金報價NYMEX報價44精選ppt交易流程StepsoftradinginvestorbrokerTraderonthefloor45精選ppt經(jīng)紀(jì)商與委托指令Typesoftradersonfloorofexchange1.Commissionbroker2.LocalsTypesoforder1.Marketorder2.Limitorder46精選ppt保證金制度逐日清算制度（markingtomarket）保證金種類1.初始保證金2.維持保證金3.清算保證金(grossbasis&netbasis)47精選pptCBOT保證金要求保證金按目前價格，每張合約價格為11819美元，維持保證金/價格比不到20%投機(jī)性交易、套期保值交易與利差（價差）交易保證金有所區(qū)分48精選ppt交割空方選擇交割方式交割意向書Cashsettlement49精選ppt交易與交易者類型投機(jī)套利套期保值50精選ppt監(jiān)管美國中國1.CFTC(CommodityFuturesTradingCommission)2.NFA(NationalFuturesAssociation)3.SEC(SecuritiesandExchangeCommission)FED,U.STreasureDepartment51精選ppt期貨價格的影響因素現(xiàn)貨價格變動時間利率倉儲費(fèi)持有現(xiàn)貨方便性52精選ppt期貨合約的理論價格無收益資產(chǎn)已知收益資產(chǎn)已知收益率資產(chǎn)具有保藏費(fèi)用的資產(chǎn)持有現(xiàn)貨具有“方便收益”的資產(chǎn)53精選ppt套期保值目標(biāo)

財務(wù)狀況確定性金融學(xué)二“公理”morecertainisbetterthanriskytheearliermoneyisbetterthanlatter套期保值的完備性多頭套保與空投套保54精選ppt基差風(fēng)險目標(biāo)資產(chǎn)與期貨合約基礎(chǔ)資產(chǎn)不相同現(xiàn)貨頭寸時間不確定期貨合約可能提前平倉55精選ppt基差定義Basis=目標(biāo)資產(chǎn)現(xiàn)貨價格—期貨價格基差增強(qiáng)與減弱56精選ppt記號S1:t1時刻現(xiàn)貨價格S2:t2時刻現(xiàn)貨價格F1:t1時刻現(xiàn)貨價格F2:t2時刻現(xiàn)貨價格b1:t1時刻基差b2:t2時刻基差57精選pptCalculationofbasisb1=S1-F1b2=S2-F258精選ppt例1Accountreceivablewithin2monthsforeignexchangenow:spot$2.50future$2.202monthslatter:spot$2.00future$1.90ShorthedgeResult:Income:S2+F1-F2=F1+b2=2.20+0.10=$2.3059精選pptExample2AccountpayableLonghedgeResult:cost=S2+F1-F2=F1+b2=$2.3060精選ppt目標(biāo)資產(chǎn)與合約基礎(chǔ)差異導(dǎo)致的基差Sometimes,theassettobehedgedmaynotidenticaltotheunderlyingassetoffutureResult:Cost(income):S2+F1-F2Thiscanbewrittenas:F1+(S2*-F2)+(S2-S2*)61精選ppt合約選擇合約基礎(chǔ)資產(chǎn)選擇合約月份選擇62精選ppt應(yīng)用舉例廠商空頭套期保值批發(fā)商空頭存貨套期保值消費(fèi)者（廠商）多頭套期保值NYMEX案例63精選ppt股票指數(shù)期貨

64精選ppt從“911”恐怖襲擊事件談起指數(shù)期貨交易的高風(fēng)險、高收益特征與現(xiàn)貨市場交易對比65精選ppt道瓊斯指數(shù)期貨66精選ppt收益情況如恐怖資金于9月3日做空12月道指期貨賣出價10000點(diǎn)9月21日平倉，買入價8000點(diǎn)則盈利＝（10000－8000）×10＝＄20，000投入（保證金）＝＄5，40067精選pptS&P500指數(shù)期貨68精選ppt盈利情況如恐怖資金于9月3日做空SP500期貨賣出價1150點(diǎn)9月21日平倉，買入價950點(diǎn)則盈利＝（1150－950）×250＝＄50，000投入（保證金）＝＄21,56369精選pptNASDAQ100指數(shù)期貨70精選pptRUSSEL指數(shù)期貨71精選pptDowTrans(E)Cash72精選ppt911前后UAL成交量變化圖

09/18/200118.9905068609/17/200117.50010020109/10/200130.820610309/07/200131.550662309/06/200131.750568309/05/200132.700478709/04/200132.670371708/31/200132.680224308/30/200132.600334908/29/200132.640239808/28/200133.650290273精選ppt74精選ppt做空UAL收益情況如恐怖資金9月10日按$30.82賣空UAL，并于9月17日平倉，買入價$17.50。則盈利＝$13.32成本＝30.82*0.4=$12.328根據(jù)美聯(lián)儲規(guī)定，做空初始保證金比率40%,且收益不得動用75精選pptAAR76精選ppt做空AAR收益假定按＄25美元做空，＄18平倉收益＄7成本＝＄1077精選pptAmericanNationalInsurance78精選pptALLSTATECORP

ALJ

NYSE

79精選pptLOCKHEEDMARTIN80精選ppt股票指數(shù)期貨的初步認(rèn)識高杠桿率高風(fēng)險、高收益很難把握81精選ppt關(guān)于股指期貨合約以及交易的基本知識合約要素交易流程82精選ppt合約要素合約規(guī)模（每點(diǎn)價值）漲跌停制度保證金制度持倉限額交易時間清算價格交割月83精選ppt例：合約要素DJIA合約要素其他股指期貨合約舉例84精選pptS&P500IndexfutureTheIndexisbasedonthestockpricesof500large-capitalizationcompanies.Themarketvalueofthe500firmsisequaltoabout80percentofthevalueofallstockslistedontheNewYorkStockExchange.Overthepastfewyears,S&P500futurestradinghasaveragedmorethan$25billionperday

theminimumticksizeis.10indexpoints,sotheminimumtickis$250x.10,or$25.00percontract85精選pptE-MINIS&P500

StartedonSept,11997Pointvalueis$5086精選pptNASDAQ100INDEX

TheNasdaq100Indexcomprises100ofthelargestdomestic,non-financialcommonstockslistedonTheNasdaqStockMarketTheNasdaq100'smultiplieris$100withaminimumticksizeof.05,soitsminimumtickis$100x.05,or$5.00percontract.87精選pptValueLine?ContractSpecificationsCOMMODITY:ValueLineStockIndexFutures

(TradingBeganFeb.24,1982)TheMarket:KansasCityBoardofTrade.

TradingHours:8:30a.m.to3:15p.m.,Centraltime.

ContractUnit:$100xFuturesPrice.

TickerSymbol/QuotationSymbol:MV.

DeliveryMonths:March,June,September,December.

PriceQuotation:Indexpoints.

MinimumPriceFluctuation:.05point($5percontract).

MaximumDailyPriceFluctuation:Therearenolimitsontheupside.Forinformationondownsidelimits,clickhere.

SpeculativePositionLimits:5,000contractsnetlongorshortinallmonthscombined.

DeliveryMechanism:Sincethisisacashsettledcontract,theValueLineArithmeticIndexvalueatthecloseoftradingonthelasttradingdaywillbeusedtosettleallremainingopenpositions.

LastTradingDay:

ThethirdThursdayofthemonth.

FirstNoticeDay:Notapplicable(cashsettledcontract).

FirstDeliveryDay:Notapplicable(cashsettledcontract).FinalSettlementPrice:DeterminedonthethirdFridayofthecontractmonth.AspecialquotationoftheValueLineindexbasedontheopeningpricesofthecomponentstocksintheindex.88精選ppt合約要素重點(diǎn)解釋指數(shù)選擇（交易性指數(shù)、非交易性指數(shù)）保證金89精選ppt指數(shù)類型價格加權(quán)型指數(shù)價值加權(quán)型指數(shù)不加權(quán)型指數(shù)90精選pptPrice-weightedseriesAprice-weightedseriesisanarithmeticaverageofcurrentprices,whichmeansthatindexmovementsareinfluencedbythedifferentialpricesofthecomponents91精選pptDJIADowJonesIndustrialAveragecomponentsareselectedatthediscretionoftheeditorsofTheWallStreetJournal

theDowJonesIndustrialAverageisnotlimitedtotraditionallydefinedindustrialstocks.Instead,theindexservesasameasureoftheentireU.S.market,coveringsuchdiverseindustriesasfinancialservices,technology,retail,entertainmentandconsumergoods92精選pptComponentcompaniesAlcoaInc.AmericanExpressCo.AT&TCorp.BoeingCo.CaterpillarInc.CitigroupInc.Coca-ColaCo.E.I.DuPontdeNemours&Co.EastmanKodakCo.ExxonMobilCorp.GeneralElectricCo.GeneralMotorsCorp.Hewlett-PackardCo.HomeDepotInc.HoneywellInternationalInc.IntelCorp.(NasdaqNMS)InternationalBusinessMachinesCorp.InternationalPaperCo.J.P.MorganChase&Co.Johnson&JohnsonMcDonald'sCorp.Merck&Co.Inc.MicrosoftCorp.(NasdaqNMS)MinnesotaMining&ManufacturingCo.PhilipMorrisCos.Procter&GambleCo.SBCCommunicationsInc.UnitedTechnologiesCorp.Wal-MartStoresInc.WaltDisneyCo.93精選pptCalculationTheDowJonesAveragesareuniqueinthattheyarepriceweightedratherthanmarketcapitalizationweighted.94精選pptTheadjusteddivisorOct12th,2001,0.1445212495精選pptNikkei-DowJonesAverage225stocksonthefirstsectionoftheTSEPrice-weightedindexCompriseabout15%ofallstocksonthefirstsection96精選pptvalue-weightedseries97精選pptValue-weightedindicesS&PseriesNYSEseriesNASDAQseriesDowJonesEquityMarketIndexWilshire5000EquityMarketindexRusselseriesFTseriesTOPIXMSCI98精選pptUnweightedPriceindicatorseriesAllstockscarryequalweightregardlessoftheirpriceand/ortheirmarketvalue.AssumethatequaldollaramountsareinvestedineachstocksintheportfolioBasedontheaverageofthepercentpricechangesforthestocksintheindex99精選pptUnweightedseriesValuelineaverages1,industrial(geometric)2,utilities3,rails4,compositeFTordinaryshareindex(Geometric)100精選ppt合約每點(diǎn)價值比較CME-S&P500$250CBOT-DJIA$10KCBT-VALUELINE$250LIFFE-FTSE100GBP25EURES-DAXEURO25HKFE-HISHK$50101精選ppt01年6月合約乘數(shù)規(guī)定2001/6/8收盤合約價值美元CME—S&P500250美元1268.00317，000CBOT—DJIA10美元10975109，750KCBT—ValueLine250美元317.5079,375LIFFE—FTSE-10025英鎊5953.0205,527.3EUREX—DAX25歐元6187.21131,710.23MATIF—CAC4010歐元5939.9350,578.50SIMEX—NK225500日元13430.2055,534.00KOFEX—KOSDAQ50100,000韓元98.007632.40美元HKFE—HSI50港元13793.8096995美元TAIFEX—TAIEX200新臺幣8560.4455768美元精選ppt特點(diǎn)每點(diǎn)價值很大程度決定了合約規(guī)模以及投資者風(fēng)險程度各國合約價值大小不一，差別較大歐美大于亞洲地區(qū)合約規(guī)模與現(xiàn)貨市場規(guī)模相適應(yīng)103精選ppt合約月份3、6、9、12季月模式

S&P500,DJIA,Value-line,FTSE-100,DAX,NIKKI225,KOSPI200,以近期月份為主，加遠(yuǎn)期季月HIS,TAIEX,CAC40(3即期月，3季月）104精選ppt最小波動價位S&P5000.1POINT$25DJIA1$10Value-line0.05$5Ftse-1000.5GBP5DAX0.5EURO5HIS1HK$50105精選ppt漲跌停制度無漲跌停單向限幅彈性漲跌停固定漲跌停106精選ppt例：CME指數(shù)期貨

漲跌停制度RULESforS&P500,E-miniS&P500,S&PMidCap400,Russell2000,E-miniRussell2000andS&P500/BarraGrowth&Value107精選ppt5％跌停報價一旦觸及5％跌停限幅，在10分鐘內(nèi)（或芝加哥時間下午2：30以前），只能按高于或等于該價格成交10分鐘時（或2：30〕，若報價仍為跌停價，交易暫停2分鐘2分鐘后實(shí)行10％跌停限幅108精選ppt10％跌停限幅芝加哥時間下午1：30以前，若報價觸及10％跌幅限制，則只能是高于或等于該價位的委托成交；若達(dá)到10％跌停，且NYSE因DJIA達(dá)到10％跌停而終止交易，則交易暫停。直至SP500成份股市值50％以上股票恢復(fù)現(xiàn)貨市場交易后，股指期貨交易實(shí)行15％跌幅限制。109精選ppt下午1：30以后，若期指報價觸及10％跌停，10分鐘內(nèi)只能成交該價格以上委托。10分鐘后，若保盤仍維持跌停，則暫停2分鐘后實(shí)行15％跌停110精選ppt15％跌停若報價觸及15％跌幅限制，限幅維持10分鐘，10分鐘后若繼續(xù)跌停，實(shí)行20％跌停限幅111精選ppt20％跌停底線112精選ppt其他合約的漲跌停限制參見附件113精選ppt保證金水平初始保證金維持保證金催交保證金保證金變動值保證金可以是債券114精選ppt例：保證金CBOT股票指數(shù)期貨保證金CME股票指數(shù)期貨保證金115精選ppt交易時間所有期貨市場交易時間均覆蓋現(xiàn)貨市場，并且采取早開市或遲閉市，或同時采取兩者的做法。最后交易日不能推遲閉市現(xiàn)貨市場交易時間變動時，期貨市場交易時間隨之變動116精選ppt每日結(jié)算價收盤價加權(quán)平均價117精選ppt韓國期貨交易所KOFEX1996年5月3日在KSE開始KOSPI200指數(shù)期貨交易1998年7月韓國期貨業(yè)對國外全面開放1999年4月23日正式開業(yè)1999年9月29日推出國債期貨2000年12月，將KOSPI200指數(shù)期貨從韓國證交所（KSE）轉(zhuǎn)至KOFEX2001年1月30日推出KOSDAQ50指數(shù)期貨118精選ppt股指期貨交易交易系統(tǒng)交易時間報價清算交易費(fèi)用119精選ppt交易系統(tǒng)人工報價交易（PITTRADING）電子交易（GLOBALEX2）120精選ppt交易時間全天候交易？交易時間覆蓋問題121精選ppt報價報價閱讀報價差異？122精選pptQuotationOpenEndSettlementpriceOpeninterestEstimatedvolumePricechangeHighandlow123精選ppt例：11月16日報價SP500大廳報價SP500電子交易報價E－MINISP500報價DJIA報價124精選ppt交易費(fèi)用理論分析通常忽略交易費(fèi)用保證金構(gòu)成交易費(fèi)用嗎？交易費(fèi)用舉例：CME125精選ppt股票指數(shù)期貨的應(yīng)用單純投機(jī)套利（跨品種、跨市場、理論價、指數(shù)套利）套期保值（改變貝它系數(shù)）126精選ppt指數(shù)套利（Indexarbitrage）PensionfundIndexfund127精選pptanalysis

securitiesreturn=systematicreturn+unsystematicreturn128精選pptSystematicv.sunsystematicriskLetWegetThiscalledmarketmodel129精選pptSystematicv.sunsystematicriskSystematicriskequaltotimesthestandarddeviationofthemarketreturnSystematicriskunsystematicrisk=Withincreasingdiversification,theunsystematicriskofportfoliowillapproaches0130精選pptSystematicriskofaportfolioOr131精選pptHedgingusingindexfuturesDefineP:valueofaportfolioA:valueofassetsunderlyingonefuturescontractContractneeded:132精選pptExample某公司欲用2001年12月份S&P500期貨合約為其持有的價值$2,100,000的股票保值.資產(chǎn)組合B=1.54月4日S&P報價見下表求需用的合約數(shù)133精選pptChangingDefinethetheobject:contractnumber=Negativemeansshortandpositivemeanslong134精選ppt股指期貨定價金融工程方法1（無風(fēng)險套利定價）金融工程方法2（蒙特卡羅模擬）金融工程方法3（二叉樹定價）傳統(tǒng)方法（基本分析、技術(shù)分析）135精選ppt無風(fēng)險套利定價136精選pptContinuouscompoundingCompoundingonceperannumcompoundingmtimesperannumwhenmtendstoinfinite137精選pptContinuouscompounding

138精選pptConversionKnowncompoundingrate

139精選pptWhenm=1

whencontinuouscompoundingrateisknown140精選pptTheeffectofaknowndividendyieldForaninvestmentassetprovidingacontinuousdividendyieldrate@qis:

141精選pptProofConsideraninvestoradoptingthefollowingstrategy:1.Buyspote-qtoftheassetandreinvestincomefromtheassetintheasset2.Shortaforwardcontractononeunitoftheasset142精選pptResultInitialcashoutflow:Finalinflow:F0NoarbitrageopportunityrequirethatthePVofinflowequaltothePVofoutflowSo,or,

143精選pptExample16monthlongforwardcontractonanon-dividend-payingstock.Therisk-freerateis10%perannum,thestockpriceis$25,andthedeliverypriceis$24.Whatisthevalueoftheforwardcontract?144精選pptdiscretedividendyieldIfdiscretedividendsofq1,q2,….qnareexpectedbetweentimezeroandtimeT,wedefine:Wecangettheequivalentcontinuousdividendyield,q:145精選pptPractice某股票的遠(yuǎn)期合約,合約期限6個月.股票現(xiàn)貨價格為$80該股票在第一個月和第四個支付紅利,紅利率分別為股票價格的4%和5%無風(fēng)險利率(年連續(xù)復(fù)利)為6%

求:該遠(yuǎn)期合約的理論價格146精選ppt蒙特卡羅模擬股票價格指數(shù)的行為特征蒙特卡羅模擬的基本方法147精選pptGeometricBrowningmotionDiscreteform(11.7)148精選ppt幾個變量的估算:

以上證指數(shù)為例方法EWMA（指數(shù)加權(quán)移動平均）GARCH(1,1)漂移率0.3波動率0.2隨機(jī)數(shù)excel或其他軟件可以自動產(chǎn)生時間段：0.01年149精選ppt模擬6個月后的股價指數(shù)經(jīng)過50步運(yùn)算150精選ppt上證指數(shù)模擬

模擬結(jié)果151精選ppt二叉樹模擬一般用于為期權(quán)定價如果推出指數(shù)期權(quán)，可以得到應(yīng)用152精選ppt技術(shù)分析與基礎(chǔ)分析技術(shù)分析＝算命？優(yōu)劣比較153精選pptUnderlyingassumptionsoftechnicalanalysisValues,andthusprices,aredeterminedbysupplyanddemandSupplyanddemandisdrivenbybothrationalandirrationalbehaviorSecuritypricesmoveintrendsthatpersistforlongperiodsoftimeWhilethecauseforchangesinsupplyanddemandaredifficulttodetermine,theactualshiftsinsupplyanddemandcanbeobservedinmarketpricebehavior154精選pptfundamental,technical,andtheefficientmarketanalysisFundamentalanalysts:believethatasecurity’spriceisdeterminedbythesupplyanddemandfortheunderlyingsecuritybasedonitseconomicfundamentalssuchasexpectedreturnandrisk.Fundamentalistsbelievetheycanforecastvaluechangesbyanalyzingearningsdataandpubliclyavailabledata155精選pptChallengetotechniciansThemajorchallengeistheEMH.EMHthinksthatallavailableinformationisimpoundedinthecurrentsecurityprice.Thus,anynewinformationwillcauseinstantaneouspriceadjustments.Also,pasttechnicalrelationshipmaynotberepeated,technicalrulesrequiredtoomuchsubjectiveinterpretation,anddecisionvariableschangeovertime.156精選pptMaindifferencesamongthethreeapproachesThespeedatwhichtheseanalystsbelievenewsisimpoundedintoprices.Techniciansbelievethereactionisslow,fundamentalistsfeelpricesadjustquickly,andefficientmarkethypothesisanalystsfeelithappensalmostinstantaneous.157精選pptFundamentalistslookforchangesinthebasisofvalue,whicheventuallyleadstochangesinthesupplyanddemandforthestock.Technicianslookforevidenceofchangesinsupplyanddemandthroughmarketsignalsandindicators.EMHsaysallthislookingisahopelessandprofitlessexercisesincepriceswillchangeinstantaneouslytoinformationchanges.158精選pptvaluetimeOldintrinsicvaluePoint4:EMHPoint1:startPoint2:fundamentalistsPoint3:technicianNewintrinsicvalueSupportlevelResistancelevel精選pptAdvantagesoftechnicalanalysisIt’squickandeasyItdoesnotinvolvemessingwithdataandadjustingforaccountingproblemsItincorporatespsychologicalaswellaseconomicreasonsbehindpricechangesIttellswhentobuy;notwhyinvestorsarebuying160精選pptChallengestotechnicaltradingrulesPricesdonotmoveintrendsbasedonstatisticaltestsofautocorrelationandruns.Thatis,pastpricepatternsmaynotberepeatedinthefuture..Iftechnicaltradingrulesworked,themarketwouldself-destruct.Thisiscalledtheself-fulfillingprophecy.161精選pptIfatechnicaltradingprovedtobesuccessful,otherswouldcopyit.Asmoretradersimplementthestrategy,itsvaluewillbeneutralizedInterpretingtherulesistoosubjectiveandthedecisionvariableschangeovertime.162精選pptTechnicaltradingrulesandindicatorsTwobroadclasses1.Generalmarketmovementindicators2.Individualstockselectionindicators(graphsandmovingaverages)163精選pptGeneralmarketrulesThecontrarianview:contrary-opiniontechniciansfeelthateveryoneelseisstupid,sotheyhadbetterdotheoppositeofwhatinvestorsaredoing.Followthesmartmoneyview:techniciansfeelthatsmartinvestorsknowwhattheyaredoing,sothetechnicianshadbetter“jumponthebandwagon”whilethereisstilltime.164精選pptContrarianviewMajorityofinvestorsarealwayswrongGreed/panicview165精選pptAreviewofthecontrarianviewpoint

Optimism(starttobuy)Greed(heavybuying)Fear(holding)PanicsellingMarketcyclefeargreedoptimism166精選pptIndicatorsusedbycontrarianMutualfundcashpositions(MFR)>13%bullish,<5%bearishInvestorcreditbalancesinbrokerageaccountsFallingbalancebearish;increasing:bullishInvestmentadvisoryopinionsIAR=bearishopinion/totalopinion>60%bullish<20%bearish167精選pptOTCvs.NYSEvolume(VR)OTCissuesaremorespeculativethanNYSEVR=OTC/NYSE>112%bearish<87%,bullishCBOEput/callratioPut/callratio=Puts/callsPCR=>0.50,marketisbearish,socontrarianbullish<=0.35,bearish168精選pptFuturestradersbullishonstockindexfuturesWhen75%ormoreofspeculatorsarebullish,contrariansbecomebearishandsellWhen25%orlessofspeculatorsarebullish,contrariansbecomebullishandbuy169精選pptIndicatorsusedbySmartmoneytechnicianConfidenceindex(CI)CI=(Barron’sAverageYieldon10topgradecorporateBonds)/Dow-JonesAverage40BondsOr,CI=(qualitybondsyields)/AverageBondyields170精選pptInperiodsofconfidence,yieldspreadsnarrowandtheCIgetsbigger171精選pptT-billEurodollaryieldspreadTechniciansreasonthatintimesofinternationalcrisisthisspreadwillwidenasmoneyflowstoasafehaveninUST-Bills.Shortsalesbyspecialistsspecialistshortsaleratio=(specialist’sshortsales)/(totalshortsalesontheNYSE)<30%bullish;>50%bearishsign172精選pptDebitbalancesinbrokerageaccountsIncrease:bullishDecreaseaa;bearish173精選pptOthermarketenvironmentindicatorsBreadthofmarketAdvance-declineline:arunningtotalsumofthedailyadvanceslessthedeclinesontheNYSE.Iftheadvance-declinelineandtheindexmovetogether,itshowsthemovementisbroadlybasedacrossthemarket.Adivergencebetweenthetrendintheindexandtheadvance-declinelinewouldsignalthemarkethashitapeakortrough.174精選pptDiffusionindexIsa5-weekmovingaverageofthedailytotalofthestocksthatadvancedplusone-halfthenumberthatremainedunchanged,dividedbythetotalnumberofissuestraded.175精選pptShortinterestThecumulativenumberofsharesthathavebeensoldshortbyinvestorsandnotcoveredShortinterestratio(SIR)=(outstandingshortinterest)/(averagedailyvolumeonexchange)IfSIR>6.0,thereispotentialdemand,bullishsignSIR<4.0,bearishsign176精選pptStocksabovetheir200-daysmovingaverageIfmorethan80%ofthestocksaresellingabovetheir200-daymovingaveragethemarketisconsideredtobeoverbought,bearishsign.<20%,oversold,bullishsign177精選pptBlockuptick-downtickratio=#ofblockupticktransactions/#ofblockdownticktransactionsIftheratioiscloseto0.70,bullishCloseto1.10,bearish178精選pptStockpriceandvolumetechniquesDowtheory:stockpricesmoveintrends.Thereare3typesoftrends:majortrends,intermediatetrends,short-runmovementTechnicianslookforreversalsandrecoveriesinmajormarkettrends179精選pptvolumePricechangesonlowvolumetellusnothing.Pricechangesonhighvolumetellusifitisthesuppliersordemandersdrivingthechange.Upside-downsidevolumeratio=(volumeofstocksthatincreased)/(volumeofstocksthatdeclined)U-Dratio>1.50,overbought,bearishU-D<0.75,oversold,bullish180精選pptSupportandresistancelevelsUpperlimitsandthelowerlimits181精選pptMovingaverageline182精選pptRelativestrengthRelativestrength=stockprice/marketprice183精選pptgraphsBarchartsPoint–and–figurecharts184精選ppt指數(shù)相關(guān)產(chǎn)品的設(shè)計(jì)Principalsafetyandtheprofitstrategies185精選pptCBOE上市交易的指數(shù)產(chǎn)品TheChicagoBoardOptionsExchange(CBOE)

芝加哥期權(quán)交易所1973年成立，目前期權(quán)交易占全美51％，指數(shù)期權(quán)交易展全美91％。目前，有1200種股票有期權(quán)交易。1983年3月開始SP100指數(shù)期權(quán)（代碼OEX），SP500指數(shù)期權(quán)（代碼SPX）186精選ppt結(jié)構(gòu)化產(chǎn)品（1）StructuredProducts

TheBearStearnsCompaniesInc.S&P500?LinkedNotes(BSL)TheGoldmanSachsGroup,Inc.CallableIndex-LinkedNotesdueNov.23,2003(LinkedToTheGSTITMInternetIndex)(GIA.A)TheGoldmanSachsGroup,Inc.CallableIndex-LinkedNotesdueDec.2,2003(LinkedToTheGSTITMInternetIndex)(GII.A)187精選ppt結(jié)構(gòu)化產(chǎn)品（2）MerrillLynch&Co.,Inc.TechnologyMarketIndexTarget-TermSecuritiesSM(TKM)SalomonSmithBarneyHoldingsInc.DJIASMIndexEquityLinkedNotes(DSB)SalomonSmithBarneyHoldingsInc.Nikkei225IndexSecurities(NXS)188精選ppt結(jié)構(gòu)化產(chǎn)品（3）SalomonSmithBarneyHoldingsInc.S&P500?CallableEquityLinkedNotes(NSB)SalomonSmithBarneyHoldingsInc.S&P500?EquityLinkedNotes(KSB)SalomonSmithBarneyHoldingsInc.S&P500?EquityLinkedNotes(XSB)SalomonSmithBarneyHoldingsInc.S&P500?EquityLinkedNotes(YSB)SalomonSmithBarneyHoldingsInc.S&P500?EquityLinkedNotes(ZSB)

189精選ppt舉例

MerrillLynch&Co.,Inc.TechnologyMarketIndexTarget-TermSecuritiessm

產(chǎn)品特征發(fā)行日期：1996年8月8日到期日：2001年8月15日面值：10美元基礎(chǔ)資產(chǎn)：CBOE技術(shù)指數(shù)（TXX）償付：到期日收到：面值＋附加額附加額＝10×（期末指數(shù)－基準(zhǔn)指數(shù)）/基準(zhǔn)指數(shù)附加額上限＄10，下限＄0基準(zhǔn)指數(shù)＝1996年8月7日收盤指數(shù)×112.5%1996年8月7日收盤指數(shù)=168.43190精選ppt模擬回報到期指數(shù)變動償付收益率84.22 -50% $10.00 0.00%101.06 -40% $10.00 0.00%117.90 -30% $10.00 0.00%134.74 -20% $10.00 0.00%151.59 -10% $10.00 0.00%168.43** 0% $10.00 0.00%191精選ppt模擬回報（2）185.27 10% $10.00 0.00%202.12 20%$10.67 1.30%218.96 30% $11.56 2.92%235.80 40%$12.44 4.41%252.65 50% $13.33 5.82%269.49 60% $14.22 7.15%192精選ppt模擬回報（3）286.33 70% $15.11 8.41%303.17 80% $16.00 9.61%320.02 90% $16.89 10.74%336.86 100% $17.78 11.83%353.70 110% $18.67 12.86%370.55 120% $19.56 13.85%387.39 130% $20.00 14.33%404.23 140% $20.00 14.33%193精選ppt注：收益率計(jì)算美國公司債券半年付息一次因此，本例中收益率計(jì)算按半年付息標(biāo)準(zhǔn)計(jì)算年復(fù)利率如：到期償付11.56則收益率＝=2.92%194精選ppt指數(shù)期貨在指數(shù)化產(chǎn)品設(shè)計(jì)中的作用195精選ppt中國開展股票指數(shù)期貨

的討論需求條件法律前景展望196精選pptChineseIndexfuture:aproposalDoweneedauniquenationalindex?Howabouttherisk-freerate?Doesthedividendyieldmater?Contractsize?Stockexchangeorfutureexchange?Shanghaiorotherplace?197精選ppt合