第三章-JOHN-HULL-期权与期货市场基本原理第七版ppt.ppt

FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 HedgingStrategiesUsingFutures Chapter3 1 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 Long ShortHedges AlongfutureshedgeisappropriatewhenyouknowyouwillpurchaseanassetinthefutureandwanttolockinthepriceAshortfutureshedgeisappropriatewhenyouknowyouwillsellanassetinthefuture wanttolockintheprice 2 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ArgumentsinFavorofHedging Companiesshouldfocusonthemainbusinesstheyareinandtakestepstominimizerisksarisingfrominterestrates exchangerates andothermarketvariables 3 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ArgumentsagainstHedging ShareholdersareusuallywelldiversifiedandcanmaketheirownhedgingdecisionsItmayincreaserisktohedgewhencompetitorsdonotExplainingasituationwherethereisalossonthehedgeandagainontheunderlyingcanbedifficult 4 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ConvergenceofFuturestoSpot Hedgeinitiatedattimet1andclosedoutattimet2 Time SpotPrice FuturesPrice t1 t2 5 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 BasisRisk Basisisthedifferencebetweenspot futuresBasisriskarisesbecauseoftheuncertaintyaboutthebasiswhenthehedgeisclosedout 6 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 LongHedge SupposethatF1 InitialFuturesPriceF2 FinalFuturesPriceS2 FinalAssetPriceYouhedgethefuturepurchaseofanassetbyenteringintoalongfuturescontractCostofAsset S2 F2 F1 F1 Basis 7 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ShortHedge SupposethatF1 InitialFuturesPriceF2 FinalFuturesPriceS2 FinalAssetPriceYouhedgethefuturesaleofanassetbyenteringintoashortfuturescontractPriceRealized S2 F1 F2 F1 Basis 8 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ChoiceofContract Chooseadeliverymonththatisascloseaspossibleto butlaterthan theendofthelifeofthehedgeWhenthereisnofuturescontractontheassetbeinghedged choosethecontractwhosefuturespriceismosthighlycorrelatedwiththeassetprice Therearethen2componentstobasis 9 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 OptimalHedgeRatio ProportionoftheexposurethatshouldoptimallybehedgediswheresSisthestandarddeviationofDS thechangeinthespotpriceduringthehedgingperiod sFisthestandarddeviationofDF thechangeinthefuturespriceduringthehedgingperiodristhecoefficientofcorrelationbetweenDSandDF 10 TailingtheHedge TwowayofdeterminingthenumberofcontractstouseforhedgingareComparetheexposuretobehedgedwiththevalueoftheassetsunderlyingonefuturescontractComparetheexposuretobehedgedwiththevalueofonefuturescontract futurespricetimesizeoffuturescontractThesecondapproachincorporatesanadjustmentforthedailysettlementoffutures FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 11 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 HedgingUsingIndexFutures Page63 TohedgetheriskinaportfoliothenumberofcontractsthatshouldbeshortediswhereVAisthecurrentvalueoftheportfolio bisitsbeta andVFisthecurrentvalueofonefutures futurespricetimescontractsize 12 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ReasonsforHedginganEquityPortfolio Desiretobeoutofthemarketforashortperiodoftime Hedgingmaybecheaperthansellingtheportfolioandbuyingitback Desiretohedgesystematicrisk 13 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 Example FuturespriceofS P500is1 000Sizeofportfoliois 5millionBetaofportfoliois1 5Onecontractison 250timestheindexWhatpositioninfuturescontractsontheS P500isnecessarytohedgetheportfolio 14 FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 ChangingBeta Whatpositionisnecessarytoreducethebetaoftheportfolioto0 75 Whatpositionisnecessarytoincreasethebetaoftheportfolioto2 0 15 StockPicking Ifyouthinkyoucanpickstocksthatwilloutperformthemarket futurescontractcanbeusedtohedgethemarketriskIfyouareright youwillmakemoneywhetherthemarketgoesupordown FundamentalsofFuturesandOptionsMarkets 7thEd Ch3 Copyright JohnC Hull2010 16 Fundame