期货与期权市场基本原理 下载 pdf 百度网盘 epub 免费 2025 电子版 mobi 在线

本书对金融衍生品市场中的期货与期权的基本理论进行了系统阐述，提供了大量业界案例，主要讲述了期货对冲策略、远期和期货价格的确定、利率与利率期货、互换、证券化与2007年信贷危机、期权市场机制、股票期权的属性、期权交易策略、二叉树模型、员工股票期权、股指期权与货币期权、期货期权与布莱克模型等众多内容。 第9版进行了内容更新并且改进了部分章节的呈现方式，对互换一章（第7章）进行了重大修订，增加了关于预期尾部损失（expected shortfall）度量的更多讨论，以反映其日益增加的重要性，提供了为本书读者量身打造的软件DerivaGem的新版本。 本书囊括了赫尔教授所著的《期权、期货和其他衍生品》一书的基本理论而又不涉及微积分，既可作为高等院校金融相关专业的本科生和研究生的教材，也可供金融业界人士作为参考用书。本书使用新形态“互联网+教材”的防盗版模式，附赠大量课后习题及其答案，增设章末“在线测试题”。

第 1 章 引言 ·····················1

1.1 期货合约·······1

1.2 期货市场的历史··············2

1.3 场外交易市场··················4

1.4 远期合约·······6

1.5 期权···············6

1.6 期权市场的历史··············9

1.7 交易者的类型················10

1.8 对冲者·········11

1.9 投机者·········13

1.10 套利者·······15

1.11 危险性 ·······16

本章小结··············17

深度阅读··············18

本章测验··············18

本章练习··············18

深度思考··············19

第 2 章 期货市场和中央对手方 ·············21

2.1 期货仓位的开仓和平仓·······················21

2.2 期货合约的细则············22

2.3 期货价格与现货价格的趋同···············24

2.4 保证金账户的操作········25

2.5 场外交易市场················28

2.6 市场报价························31

2.7 交割·············33

2.8 交易商类型和订单类型·······················34

2.9 监管·············35

2.10 会计与税务··················36

2.11 远期合约与期货合约 ·························37

本章小结··············39

深度阅读··············40

本章测验··············40

本章练习··············41

深度思考··············42

第 3 章 期货对冲策略 ···························44

3.1 基本原则························44

3.2 支持和反对对冲的观点·······················47

3.3 基差风险························49

3.4 交叉对冲························53

3.5 股指期货························56

3.6 移仓·············61

本章小结··············63

深度阅读··············64

本章测验··············64

本章练习··············65

深度思考··············66

附录3A 统计的重要概念和资本资产

定价（CAPM）模型 ···················67

第 4 章 利率 ···················72

4.1 利率类型························72

4.2 互换利率························74

4.3 无风险利率····················75

4.4 度量利率························75 [2]

4.5 零息利率························78

4.6 债券定价························78

4.7 确定零息利率················79

4.8 远期利率························82

4.9 远期利率协议················84

4.10 利率期限结构理论·····························86

本章小结··············89

深度阅读··············89

本章测验··············89

本章练习··············90

深度思考··············91

附录4A 指数和对数函数 ··························92

第 5 章 远期和期货价格的确定 ·············94

5.1 投资资产与消费资产···························94

5.2 做空·············94

5.3 假设和符号····················96

5.4 投资资产的远期价格···························96

5.5 已知收入························99

5.6 已知收益率··················101

5.7 远期合约定价··············101

5.8 远期价格和期货价格相等吗·············103

5.9 股指期货价格··············104

5.10 货币远期和期货合约·······················105

5.11 商品期货 ····················108

5.12 持有成本····················111

5.13 交割选择····················111

5.14 期货价格和预期现货价格···············112

本章小结············114

深度阅读············114

本章测验············115

本章练习············115

深度思考············116

第 6 章 利率期货 ·········118

6.1 天数计算和报价惯例·························118

6.2 国债期货······················120

6.3 欧洲美元期货··············125

6.4 久期···········129

6.5 基于久期的期货对冲策略·················132

本章小结············136

深度阅读············137

本章测验············137

本章练习············137

深度思考············138

第 7 章 互换 ·················140

7.1 利率互换机制··············140

7.2 天数计算问题··············145

7.3 确认书·······146

7.4 比较优势论··················147

7.5 利率互换定价··············149

7.6 价值如何随时间变化·························151

7.7 固定利率对固定利率货币互换·········152

7.8 固定利率对固定利率货币互换的

定价 ··········154

7.9 其他货币互换··············156

7.10 信用风险····················157

7.11 信用违约互换 ············158

7.12 其他类型的互换········159

本章小结············160

深度阅读············161

本章测验············161

本章练习············162

深度思考············163

第 8 章 证券化与2007年信贷危机·····165

8.1 证券化·······165

8.2 美国房地产市场··········168

8.3 问题的症结··················172

8.4 后果···········174

本章小结············175

深度阅读············175

约翰·赫尔(John Hull)多伦多大学罗特曼管理学院教授，国际公认的衍生品和风险管理界权威，十分注重相关应用方向的研究与探索。在相关领域曾出版过许多著作并被翻译成多种语言，在全世界广泛流行。1999年，被国际金融工程师协会（International Association of Financial Engineers）评选为年度金融工程大师（Financial Engineer of the Year）。曾担任北美、日本和欧洲众多金融机构的顾问，并于加拿大约克大学、美国纽约大学、英国伦敦商学院等众多高校任教，获得过许多教学奖项，包括多伦多大学享有盛誉的诺斯洛普·弗莱奖（Northrop Frye Award）。

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书籍介绍

本书对金融衍生品市场中的期货与期权的基本理论进行了系统阐述，提供了大量业界案例，主要讲述了期货对冲策略、远期和期货价格的确定、利率与利率期货、互换、证券化与2007年信贷危机、期权市场机制、股票期权的属性、期权交易策略、二叉树模型、员工股票期权、股指期权与货币期权、期货期权与布莱克模型等众多内容。 第9版进行了内容更新并且改进了部分章节的呈现方式，对互换一章（第7章）进行了重大修订，增加了关于预期尾部损失（expected shortfall）度量的更多讨论，以反映其日益增加的重要性，提供了为本书读者量身打造的软件DerivaGem的新版本。 本书囊括了赫尔教授所著的《期权、期货和其他衍生品》一书的基本理论而又不涉及微积分，既可作为高等院校金融相关专业的本科生和研究生的教材，也可供金融业界人士作为参考用书。本书使用新形态“互联网+教材”的防盗版模式，附赠大量课后习题及其答案，增设章末“在线测试题”。