资源描述：
《futures, swaps, and risk management》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、Chapter23:Futures,Swaps,andRiskManagementChapterOpenerp.784THEPREVIOUSCHAPTERprovidedabasicintroductiontotheoperationoffuturesmarketsandtheprinciplesoffuturespricing.Thischapterexploresbothpricingandriskmanagementinselectedfuturesmarketsinmoredepth.Mostofthegrowthh
2、asbeeninfinancialfutures,whichdominatetrading,soweemphasizethesecontracts. HedgingInvestinginanassettoreducetheoverallriskofaportfolio.referstotechniquesthatoffsetparticularsourcesofrisk,ratherthanasamoreambitioussearchforanoptimalrisk-returnprofileforanentirepor
3、tfolio.Becausefuturescontractsarewrittenonparticularquantitiessuchasstockindexvalues,foreignexchangerates,commodityprices,andsoon,theyareideallysuitedfortheseapplications.Inthischapterwewillconsiderseveralhedgingapplications,illustratinggeneralprinciplesusingavarie
4、tyofcontracts.Wealsoshowhowhedgingstrategiescanbeusedtoisolatebetsonperceivedprofitopportunities. Webeginwithforeignexchangefutures,whereweshowhowforwardexchangeratesaredeterminedbyinterestratedifferentialsacrosscountries,andexaminehowfirmscanusefuturestomanageex
5、changeraterisk.Wethenmoveontostock-indexfutures,wherewefocusonprogramtradingandindexarbitrage.Nextweturntothemostactivelytradedmarkets,thoseforinterestratefutures.Wealsoexaminecommodityfuturespricing.Finally,weturntoswapsmarketsinforeignexchangeandfixed-incomesecur
6、ities.Wewillseethatswapscanbeinterpretedasportfoliosofforwardcontractsandvaluedaccordingly.23.1ForeignExchangeFuturesTheMarketsExchangeratesbetweencurrenciesvarycontinuallyandoftensubstantially.Thisvariabilitycanbeasourceofconcernforanyoneinvolvedininternationalbus
7、iness.AU.S.exporterwhosellsgoodsinEngland,forexample,willbepaidinBritishpounds,andthedollarvalueofthosepoundsdependsontheexchangerateatthetimepaymentismade.Untilthatdate,theU.S.exporterisexposedtoforeignexchangeraterisk.Thisriskcanbehedgedthroughcurrencyfuturesorfo
8、rwardmarkets.Forexample,ifyouknowyouwillreceive£100,000in90days,youcansellthosepoundsforwardtodayintheforwardmarketandlockinanexchangerateequalto
