衍生工具与风险管理ch9

1、D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 1Chapter 9: Futures Hedging StrategiesD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 2Important Concepts in Chapter 10D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.

2、Ch. 10: 3Why Hedge?D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 4Why Hedge? (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 5Hedging ConceptsD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 6Hed

3、ging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 7Hedging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 8Hedging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Managem

4、ent, 6th ed.Ch. 10: 9Hedging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 10Hedging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 11Hedging Concepts (continued)D. M. ChanceAn Introduction to De

5、rivatives and Risk Management, 6th ed.Ch. 10: 12Hedging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 13Hedging Concepts (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 14Hedging Concepts (continued)D. M.

6、ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 15Determination of the Hedge RatioD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 16Determination of the Hedge Ratio (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th

7、ed.Ch. 10: 17Determination of the Hedge Ratio (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 18Determination of the Hedge Ratio (continued)T1ttty)(1CPBD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 19Determination of the Hedg

8、e Ratio (continued)y1y)(DURBBBD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 20Determination of the Hedge Ratio (continued)BffBfy1y1fBDURDURND. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 21Determination of the Hedge Ratio (continued)D.

9、 M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 22Determination of the Hedge Ratio (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 23Hedging StrategiesD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10:

10、 24Hedging Strategies (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 25Hedging Strategies (continued)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 26Hedging Strategies (continued)D. M. ChanceAn Introduction to Derivatives an

11、d Risk Management, 6th ed.Ch. 10: 27SummaryD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 28Appendix 10.A: Derivation of the Hedge RatioFsP2 sS2 + sf2Nf2 + 2sSfNfFDifferentiating with respect to Nf, setting to zero and solving for Nf givesD. M. ChanceAn Introduction t

12、o Derivatives and Risk Management, 6th ed.Ch. 10: 29Appendix 10.A: Derivation of the Hedge Ratio (continued)Fys/r = yf/rBffyyfNBD. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 30Appendix 10.B: Taxation of HedgingD. M. ChanceAn Introduction to Derivatives and Risk Manag

13、ement, 6th ed.Ch. 10: 31(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 32(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 33(Return to text slide)D. M. ChanceAn Introduction to Derivatives and R

14、isk Management, 6th ed.Ch. 10: 34(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 35(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 36(Return to text slide)D. M. ChanceAn Introduction to Derivati

15、ves and Risk Management, 6th ed.Ch. 10: 37(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 38(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 39(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6th ed.Ch. 10: 40(Return to text slide)D. M. ChanceAn Introduction to Derivatives and Risk Management, 6