《 期貨與期權市場基本原理（翻譯版·第9版）》是2021年清華大學出版社出版的一本圖書，作者：[加]約翰·赫爾（John C.Hull）著、陳學彬、陳婧譯。
基本介紹
- 中文名：期貨與期權市場基本原理（翻譯版·第9版）
- 作者：[加] 約翰·赫爾（JohnC.Hull）
- 譯者：陳學彬、陳婧
- 出版時間：2021年
- 出版社：清華大學出版社
- ISBN：9787302575467
- 定價：89 元
- 開本：16 開
內容簡介,目錄,
內容簡介
本書對金融衍生品市場中的期貨與期權的基本理論進行了系統闡述，提供了大量業界案例，主要講述了期貨對沖策略、遠期和期貨價格的確定、利率與利率期貨、互換、證券化與2007年信貸危機、期權市場機制、股票期權的屬性、期權交易策略、二叉樹模型、員工股票期權、股指期權與貨幣期權、期貨期權與布萊克模型等眾多內容。第9版進行了內容更新並且改進了部分章節的呈現方式，對互換一章（第7章）進行了重大修訂，增加了關於預期尾部損失（expected shortfall）度量的更多討論，以反映其日益增加的重要性，提供了為本書讀者量身打造的軟體DerivaGem的新版本。本書囊括了赫爾教授所著的《期權、期貨和其他衍生品》一書的基本理論而又不涉及微積分，既可作為高等院校金融相關專業的本科生和研究生的教材，也可供金融業界人士作為參考用書。本書使用新形態“網際網路+教材”的防盜版模式，附贈大量課後習題及其答案，增設章末“線上測試題”。
目錄
第 1 章 引言 ·····················1
1.1 期貨契約·······1
1.2 期貨市場的歷史··············2
1.3 場外交易市場··················4
1.4 遠期契約·······6
1.5 期權···············6
1.6 期權市場的歷史··············9
1.7 交易者的類型················10
1.8 對沖者·········11
1.9 投機者·········13
1.10 套利者·······15
1.11 危險性 ·······16
本章小結··············17
深度閱讀··············18
本章測驗··············18
本章練習··············18
深度思考··············19
第 2 章 期貨市場和中央對手方 ·············21
2.1 期貨倉位的開倉和平倉·······················21
2.2 期貨契約的細則············22
2.3 期貨價格與現貨價格的趨同···············24
2.4 保證金賬戶的操作········25
2.5 場外交易市場················28
2.6 市場報價························31
2.7 交割·············33
2.8 交易商類型和訂單類型·······················34
2.9 監管·············35
2.10 會計與稅務··················36
2.11 遠期契約與期貨契約 ·························37
本章小結··············39
深度閱讀··············40
本章測驗··············40
本章練習··············41
深度思考··············42
第 3 章 期貨對沖策略 ···························44
3.1 基本原則························44
3.2 支持和反對對沖的觀點·······················47
3.3 基差風險························49
3.4 交叉對沖························53
3.5 股指期貨························56
3.6 移倉·············61
本章小結··············63
深度閱讀··············64
本章測驗··············64
本章練習··············65
深度思考··············66
附錄3A 統計的重要概念和資本資產
定價（CAPM）模型 ···················67
第 4 章 利率 ···················72
4.1 利率類型························72
4.2 互換利率························74
4.3 無風險利率····················75
4.4 度量利率························75
4.5 零息利率························78
4.6 債券定價························78
4.7 確定零息利率················79
4.8 遠期利率························82
4.9 遠期利率協定················84
4.10 利率期限結構理論·····························86
本章小結··············89
深度閱讀··············89
本章測驗··············89
本章練習··············90
深度思考··············91
附錄4A 指數和對數函式 ··························92
第 5 章 遠期和期貨價格的確定 ·············94
5.1 投資資產與消費資產···························94
5.2 做空·············94
5.3 假設和符號····················96
5.4 投資資產的遠期價格···························96
5.5 已知收入························99
5.6 已知收益率··················101
5.7 遠期契約定價··············101
5.8 遠期價格和期貨價格相等嗎·············103
5.9 股指期貨價格··············104
5.10 貨幣遠期和期貨契約·······················105
5.11 商品期貨 ····················108
5.12 持有成本····················111
5.13 交割選擇····················111
5.14 期貨價格和預期現貨價格···············112
本章小結············114
深度閱讀············114
本章測驗············115
本章練習············115
深度思考············116
第 6 章 利率期貨 ·········118
6.1 天數計算和報價慣例·························118
6.2 國債期貨······················120
6.3 歐洲美元期貨··············125
6.4 久期···········129
6.5 基於久期的期貨對沖策略·················132
本章小結············136
深度閱讀············137
本章測驗············137
本章練習············137
深度思考············138
第 7 章 互換 ·················140
7.1 利率互換機制··············140
7.2 天數計算問題··············145
7.3 確認書·······146
7.4 比較優勢論··················147
7.5 利率互換定價··············149
7.6 價值如何隨時間變化·························151
7.7 固定利率對固定利率貨幣互換·········152
7.8 固定利率對固定利率貨幣互換的
定價 ··········154
7.9 其他貨幣互換··············156
7.10 信用風險····················157
7.11 信用違約互換 ············158
7.12 其他類型的互換········159
本章小結············160
深度閱讀············161
本章測驗············161
本章練習············162
深度思考············163
第 8 章 證券化與2007年信貸危機·····165
8.1 證券化·······165
8.2 美國房地產市場··········168
8.3 問題的癥結··················172
8.4 後果···········174
本章小結············175
深度閱讀············175
