金融创新：衍生产品策略

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1、金融创新：衍生产品策略DerivativeSecuritiesFinancialinstrumentsthatderivetheirvaluesfromothertradedclaimsarecalledderivatives.Typically,thevalueoftheseinstrumentsisverycloselyrelatedtothevalueoftheunderlyingasset.Asaresultderivativesareusefulfor:Speculatingontheunderlyingasset,and;Hedgingtheu

2、nderlyingasset.Furthermore,arbitrageopportunitiesmaybepossibleiftheunderlyingassetandthederivativeassetarenotpricedconsistently.SpeculatorsandHedgersSpeculatorsareindividualshopetomakeaprofitbyclosingouttheirpositionsatapricethatisbetterthantheinitialprice.Theydonotproduceorusethe

3、assetintheirdailycourseofbusiness.Hedgersareindividualswhousederivativestooffsetanotherwiseriskypositionintheunderlyingasset.Theyeitherproduceorusetheassetintheirdailycourseofbusiness.Example:WheatForwardsInawheatforwardcontracttwocounter-partiesagreetoexchangesomequantityofwheata

4、tsomedateinthefutureatapricenegotiatedtoday.Awheatfarmerhasexposuretothefuturespotpriceofwheat.Thespotpriceisthemarketpriceofwheatforimmediatedelivery.Thecropplantedinthespringandharvestedinthefallwillbesoldatfallspotprices.Sincethesespotpricesareuncertain,theprofitsonthefarmer’sc

5、roparerisky.Arisk-aversefarmercanhedgethisriskbysellingwheatnowusingaforwardcontract.WheatForwardsWhomighttaketheoppositesideofthistrade?Abreadproducermaywishtohedgeproductioncosts.Aweatherforecastermayspeculatethatthefuturespotpricewillbewellabovetheforwardpriceandthereforeusethi

6、scontractaspartofatradingstrategy(buyusingtheforwardcontractandsellinthefuturespotmarket).ArbitrageursTwobasictypesofarbitragetrades:Investnothingandmakepositivefutureprofits;Receiveprofitstodaywithoutanyfutureobligations.Arbitrageursusederivativecontractstoextractarbitrageprofits

7、.Theiractions,alongwithnormalsupplyanddemandforces,ensureconsistentrelationshipsamongtheunderlyingassetpricesandthederivativesecurityprices.WheatForwardsWhomightbeinapositiontoderivearbitrageprofitsfromwheatforwardcontracts?Ifyouhaveatechnologyforstoringwheatandtheforwardpriceishi

8、ghrelativetotoday’sspotprice,youm