金融市场原理介绍ppt.pptVIP

Introduction toFinancial Markets (Focusing on financial derivatives) Introduction 金融衍生产品与金融理论的发展 1896年，美国经济学家Irving Fisher，提出了关于资产的当前价值等于其未来现金流贴现值之和的思想。 Fisher saw that subjective economic value is not only a function of the amount of goods and services owned or exchanged but also of the moment in time when they are purchased. A good available now has a different value than the same good available at a later date; value has a time as well as a quantity dimension. The relative price of goods available at a future date, in terms of goods sacrificed now, is measured by the interest rate. 1938年，Frederick Macaulay提出“久期（duration）”的概念和“利率免疫(interest rate immunization )”的思想。 In finance, the duration of a financial asset measures the sensitivity of the assets price to interest rate movements. There are various definitions of duration and derived quantities. If not otherwise specified, “duration” generally means the Macaulay duration. Duration is the percent change in a bonds price function with respect to interest rate. Thus the duration is the absolute change with respect to interest rate, divided by the current price. In finance, interest rate immunization is a strategy that ensures that a change in interest rates will not affect the value of a portfolio. Similarly, immunization can be used to ensure that the value of a pension funds or a firms assets will increase or decrease in exactly the opposite amount of their liabilities, thus leaving the value of the pension funds surplus or firms equity unchanged, regardless of changes in the interest rate. Interest rate immunization can be accomplished by several methods, including cash flow matching, duration matching, and volatility and convexity matching. It can also be accomplished by trading in bond forwards, futures, or options. In finance, convexity is a measure of the sensitivity of the duration of a bond to changes in interest rates. 金融理论的发展与金融的工程化 50年代之前，金融理论基本是处于定性阶段。现代金融理论则从1952年Markowitz的资