《期权期货和其他衍生品》英文第9版-Chap01-Intro-精品.pptx

The OTC Market Prior to 2008Options, Futures, and Other Derivatives, 9thEdition, Copyright ? John C. Hull 20145Largely unregulatedBanks acted as market makers quoting bids and offersMaster agreements usually defined how transactions between two parties would be handledBut some transactions were handled by central counterparties (CCPs). A CCP stands between the two sides to a transaction in the same way that an exchange does Since 2008…Options, Futures, and Other Derivatives, 9thEdition, Copyright ? John C. Hull 20146OTC market has become regulated. Objectives: Reduce systemic risk (see Business Snapshot 1.2, page 5) Increase transparencyIn the U.S and some other countries, standardized OTC products must be traded on swap execution facilities (SEFs) which are similar to exchangesCCPs must be used for standardized transactions between dealers in most countriesAll trades must be reported to a central registry Forward PriceOptions, Futures, and Other Derivatives, 9th Edition,Copyright ? John C. Hull 201411The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today (i.e., it is the delivery price that would makethe contract worth exactly zero)The forward price may be different for contracts of different maturities (as shown by the table) Profit from a Long Forward Position (K= delivery price=forward price at time contract is entered into)ProfitOptions, Futures, and Other Derivatives, 9th Edition,Copyright ? John C. Hull 201414Price of Underlying at Maturity, STK Profit from a Short Forward Position (K= delivery price=forward price at time contract is entered into)ProfitPrice of Underlying at Maturity, STKOptions, Futures, and Other Derivatives, 9th Edition,Copyright ? John C. Hull 201415 2. Oil: Another Arbitrage Opportunity?Options, Futures, and Other Derivatives, 9th Edition,Copyright ? John C. Hull 201423Suppose that:- The spot price of oil is US$95- The quoted 1-year futures price of oil isUS$80- The 1-yea