衍生工具与风险管理
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作者： （美）钱斯（Chance，D.M.）著
出 版 社： 高等教育出版社
出版时间： 2005-1-1字数： 780000版次： 1页数： 408印刷时间： 2005/01/01开本：印次：纸张： 胶版纸I S B N ： 9787040161656包装： 平装内容简介
本书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
Don M．ctlance，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Virginiaa Tech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。
目录
Chapter1
Introduction
Derivative Markets and Instruments
Options
Forward Contracts
Futures Contracts
Options on Futures
Swaps and Other Derivatives
The Underlying Asset
Some Important Concepts in Financial and Derivative
Markets
Risk Preference
Short Selling
Return and Risk
Market Efficiency and Theoretical Fair Value
Fundamental Linkages between Spot and Derivative
Markets
Arbitrage and the Law of One Price
The Storage Mechanism: Spreading Consumption across
Time
Delivery and Settlement
The Role of Derivative Markets
Risk Management
Price Discovery
Operational Advantages "
Market Efficiency
Criticisms of Derivative Markets
Misuses of Derivatives
Derivatives and Your Career
Sources of Information on Derivatives
Summary
Further Reading
Questions and Problems
PART I
Options
Chapter 2
The Structure of Options Markets
The Development of Options Markets
Call Options
Put Options
The Over-the-Counter Options Market
Organized Options Trading
Listing Requirements
Contract Size
Exercise Prices
Expiration Dates
Position and Exercise Limits
Options Exchanges and Trading Activity
Option Traders
The Market Maker
The Floor Broker
The Order Book Official
Other Option Trading Systems
Off-Floor Option Traders
The Mechanics of Trading
Placing an Opening Order
The Role of the Clearinghouse
Placing an Offsetting Order
Exercising an Option
Option Price Quotations
Types of Options
Stock Options
Index Options
Currency Options
Other Types of Traded Options
Real Options
Transaction Costs in Option Trading
Floor Trading and Clearing Fees
Commissions
Bid-Ask Spread
Other Transaction Costs
The Regulation of Options Markets
Summary
Further Reading
Questions and Problems
Appendix 2: Margin Requirements
Chapter 3
Principles of Option Pricing
Basic Notation and Terminology
Principles of Call Option Pricing
The Minimum Value of a Call
The Maximum Value of a Call
The Value of a Call at Expiration
The Effect of Time to Expiration
The Effect of Exercise Price
The Lower Bound of a European Call
American Call Versus European Call
The Early Exercise of American Calls on
Dividend-Paying Stocks
The Effect of Interest Rates
The Effect of Stock Volatility
Principles of Put Option Pricing
The Minimum Value of a Put
The Maximum Value of a Put
The Value of a Put at Expiration
The Effect of Time to Expiration
The Effect of Exercise Price
The Lower Bound of a European Put
American Put Versus European Put
The Early Exercise of American Puts
Put-Call Parity
The Effect of Interest Rates
The Effect of Stock Volatility
Summary
Further Reading
……
Chapter8
Chapter9
Chapter10
PART II
Chapter11
Chapter12
Chapter13
