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衍生金融工具 王晉忠 衍生品 衍生金融品 金融工程 
定 價(jià)：79 元
9 7 7 8 8 7 9 1 7 1 9 1 6 
本書以衍生金融工具為核心內(nèi)容，以風(fēng)險(xiǎn)管理為主線，全面介紹了衍生金融工具的發(fā)展歷程和市場現(xiàn)狀，對遠(yuǎn)期、期貨、互換和期權(quán)產(chǎn)品的運(yùn)行機(jī)制、定價(jià)理論和方法、套期保值的原理與運(yùn)用、套利機(jī)會的識別與套利方案的設(shè)計(jì)進(jìn)行了系統(tǒng)的介紹。全書在注重知識體系嚴(yán)謹(jǐn)性的同時，還對該領(lǐng)域的新進(jìn)展進(jìn)行了介紹，如介紹了奇異期權(quán)、信用衍生產(chǎn)品、結(jié)構(gòu)化產(chǎn)品以及實(shí)物期權(quán)等衍生產(chǎn)品的創(chuàng)新發(fā)展。對于衍生金融產(chǎn)品特別是期權(quán)定價(jià)問題，全書在清晰闡釋定價(jià)原理與嚴(yán)格推演定價(jià)方法的同時，又注意避免了純數(shù)理表述的復(fù)雜艱深，在確保金融邏輯嚴(yán)謹(jǐn)?shù)耐瑫r，力求推導(dǎo)過程簡潔。本書特別注重理論與實(shí)踐的結(jié)合，尤其是與中國衍生金融產(chǎn)品市場發(fā)展的結(jié)合，通過專欄、案例、討論題與延展閱讀等方式加深讀者對專業(yè)知識與技術(shù)的領(lǐng)悟。全書設(shè)置了多個二維碼，鏈接豐富的學(xué)習(xí)資源。
本書凝結(jié)了西南財(cái)經(jīng)大學(xué)、中央財(cái)經(jīng)大學(xué)、對外經(jīng)濟(jì)貿(mào)易大學(xué)、四川大學(xué)等知名院校三代學(xué)者的集體智慧，他們將數(shù)十年的學(xué)術(shù)積累、前沿的研究成果和實(shí)用的教學(xué)經(jīng)驗(yàn)融入教材，讓讀者通過系統(tǒng)學(xué)習(xí)提高自己的實(shí)踐能力和創(chuàng)新精神，為未來的職業(yè)發(fā)展做好充分準(zhǔn)備。 本書特色： 第一，知識體系更加完善：系統(tǒng)介紹了衍生金融工具的理論體系、定價(jià)思想與技術(shù)、套利和組合構(gòu)造方法、實(shí)踐運(yùn)用與市場發(fā)展等。 第二，理論聯(lián)系實(shí)際：通過案例分析、交易方案設(shè)計(jì)等方式讓學(xué)生更好地理解和掌握衍生金融工具的實(shí)際運(yùn)用。 第三，聯(lián)系中國市場發(fā)展：緊密結(jié)合中國市場發(fā)展實(shí)際情況，介紹了中國衍生金融工具市場最新的發(fā)展現(xiàn)狀。 第四，豐富的數(shù)字化資料：收錄了豐富的市場數(shù)據(jù)和案例分析材料，并通過數(shù)字化手段進(jìn)行了整合和呈現(xiàn)，方便讀者查閱和使用。
衍生金融工具，作為現(xiàn)代金融市場的璀璨明珠，自誕生以來便以其獨(dú)特的魅力和強(qiáng)大的功能在全球金融舞臺上扮演著舉足輕重的角色。從最初的遠(yuǎn)期、期貨、互換到后來的期權(quán)、信用違約互換等，衍生金融工具的種類不斷豐富，交易規(guī)模持續(xù)擴(kuò)大，已經(jīng)成為金融市場不可或缺的一部分。在全球范圍內(nèi)，衍生金融工具市場的發(fā)展已經(jīng)呈現(xiàn)出蓬勃態(tài)勢。特別是近年來，隨著科技進(jìn)步和金融創(chuàng)新的不斷深化，衍生金融工具的交易品種日益多樣化，交易方式也更加靈活便捷。這不僅為投資者提供了更為豐富的風(fēng)險(xiǎn)管理工具，也為金融市場的發(fā)展注入了新的活力。在我國，衍生金融工具市場的發(fā)展雖然起步較晚，但發(fā)展迅速。自 20世紀(jì) 90年代初推出第一張商品期貨合約以來，我國衍生產(chǎn)品市場經(jīng)過不斷探索和實(shí)踐已經(jīng)形成了包括商品期貨、股指期貨、國債期貨、期權(quán)等在內(nèi)的較為完善的金融衍生產(chǎn)品體系。特別是近年來，隨著金融市場的不斷開放和改革，我國衍生金融工具市場的發(fā)展步伐進(jìn)一步加快，市場規(guī)模持續(xù)擴(kuò)大，市場參與者日益增多。我國衍生金融工具市場的發(fā)展具有鮮明的特點(diǎn)。首先，我國衍生金融工具市場的發(fā)展注重與實(shí)體經(jīng)濟(jì)相結(jié)合，為實(shí)體經(jīng)濟(jì)的發(fā)展提供支持。其次，我國衍生金融工具市場的發(fā)展注重風(fēng)險(xiǎn)管理和市場穩(wěn)定，通過建立健全的監(jiān)管制度和風(fēng)險(xiǎn)防范機(jī)制確保市場穩(wěn)健運(yùn)行。此外，我國衍生金融工具市場的發(fā)展還呈現(xiàn)出多元化的趨勢，不僅有商品期貨、股指期貨、國債期貨、期權(quán)等傳統(tǒng)品種，還有碳金融衍生工具等創(chuàng)新品種，為投資者提供了更為豐富的選擇。衍生金融工具在經(jīng)濟(jì)與金融發(fā)展中具有不可替代的作用。首先，衍生金融工具具有風(fēng)險(xiǎn)管理功能，能夠幫助投資者有效管理風(fēng)險(xiǎn)，提高投資組合的穩(wěn)健性。在不確定性日益增強(qiáng)的現(xiàn)代經(jīng)濟(jì)中，風(fēng)險(xiǎn)管理已成為企業(yè)和個人關(guān)注的焦點(diǎn)。通過利用衍生金融工具進(jìn)行風(fēng)險(xiǎn)對沖和分散化投資，投資者可以降低風(fēng)險(xiǎn)敞口，提高投資收益的穩(wěn)定性。其次，衍生金融工具具有價(jià)格發(fā)現(xiàn)功能，能夠反映市場對未來價(jià)格走勢的預(yù)期。這對投資者制定投資決策、把握市場趨勢具有重要意義。通過觀察衍生金融工具的價(jià)格變動，投資者可以了解市場對相關(guān)資產(chǎn)未來走勢的預(yù)期，從而做出更為有效的投資決策。此外，衍生金融工具還具有信息吸納功能，能夠吸納更多的市場信息，提高市場的信息效率。在現(xiàn)代金融市場中，信息對投資者來說至關(guān)重要。衍生金融工具的交易價(jià)格往往包含了大量的市場信息，投資者可以通過觀察衍生金融工具的交易情況，了解市場動態(tài)和趨勢，從而做出更為明智的投資決策。在當(dāng)前金融市場快速發(fā)展的背景下，學(xué)習(xí)本教材對金融專業(yè)的學(xué)生來說具有重要意義。首先，通過學(xué)習(xí)本教材，學(xué)生可以了解衍生金融工具的基本原理、交易策略和管理方法，為未來的職業(yè)發(fā)展打下堅(jiān)實(shí)的基礎(chǔ)。其次，學(xué)習(xí)本教材可以幫助學(xué)生更好地理解和把握金融市場的運(yùn)行規(guī)律和趨勢。在現(xiàn)代金融市場中，衍生金融工具的交易情況往往反映了市場的動態(tài)和趨勢。通過學(xué)習(xí)本教材，學(xué)生可以了解市場的運(yùn)行情況和發(fā)展趨勢，為未來的投資決策提供有力的支持。此外，學(xué)習(xí)本教材還可以培養(yǎng)學(xué)生的實(shí)踐能力和創(chuàng)新精神。衍生金融工具的交易需要較高的實(shí)踐能力和創(chuàng)新精神，通過學(xué)習(xí)本教材，學(xué)生可以通過案例分析、模擬交易等方式提高自己的實(shí)踐能力和創(chuàng)新精神，為未來的職業(yè)發(fā)展做好充分準(zhǔn)備。本教材是在 2019年高等教育出版社出版的《衍生金融工具》（主編王晉忠、副主編馮建芬、郭劍光、陳小凡）的基礎(chǔ)上編寫的。本次在機(jī)械工業(yè)出版社出版的教材相對于高等教育出版社的版本具有以下改進(jìn)：第一，知識體系更加完善，本教材系統(tǒng)介紹了衍生金融工具的理論體系、定價(jià)思想與技術(shù)、套利和組合構(gòu)造方法、實(shí)踐運(yùn)用與市場發(fā)展等方面的知識，形成了較為完善的知識體系。本教材特別針對期權(quán)定價(jià)理論從離散到連續(xù)進(jìn)行了邏輯一致的推演，對于學(xué)生深刻理解和把握期權(quán)定價(jià)理論與方法有著十分積極的作用。第二，理論聯(lián)系實(shí)際，本教材注重將理論知識與實(shí)際應(yīng)用相結(jié)合，注重培養(yǎng)學(xué)生的實(shí)踐能力，通過案例分析、交易方案設(shè)計(jì)等方式讓學(xué)生更好地理解和掌握衍生金融工具的實(shí)際運(yùn)用。第三，聯(lián)系中國市場發(fā)展，本教材緊密結(jié)合中國市場發(fā)展實(shí)際情況，介紹了中國衍生金融工具市場最新的發(fā)展現(xiàn)狀，幫助學(xué)生更好地了解和掌握中國市場的情況。第四，豐富的數(shù)字化資料，本教材收錄了豐富的市場數(shù)據(jù)和案例分析材料，拓展學(xué)生的視野，并通過數(shù)字化手段進(jìn)行了整合和呈現(xiàn)，方便學(xué)生查閱和使用。本教材在原有編寫人員的基礎(chǔ)上，進(jìn)一步加強(qiáng)了編寫力量，編寫團(tuán)隊(duì)由來自西南財(cái)經(jīng)大學(xué)、對外經(jīng)濟(jì)貿(mào)易大學(xué)、中央財(cái)經(jīng)大學(xué)、四川大學(xué)、成都錦城學(xué)院的教師組成。主編王晉忠負(fù)責(zé)教材大綱的編寫、編寫要求的制定、稿件的審核與總纂，副主編馮建芬、郭劍光、陳小凡負(fù)責(zé)落實(shí)編寫任務(wù)的協(xié)調(diào)推進(jìn)。各章節(jié)具體編寫工作分工如下：第一章、第二章、第三章由陳小凡、謝蓓編寫；第四章、第五章、第六章由馮建芬、聶晶、杜冬云編寫；第七章、第八章、第九章由郭劍光、楊浩、胡歆雪編寫；第十章、第十一章、第十二章、第十三章由王晉忠、王茜、楊正則、陳帆編寫。在編寫本教材的過程中，我們得到了許多專家、學(xué)者和同行的指導(dǎo)和幫助。在此，我們向所有為本書編寫付出辛勤勞動和貢獻(xiàn)智慧的專家和學(xué)者表示衷心的感謝！同時，我們也要感謝機(jī)械工業(yè)出版社的王洪波等同志對出版本教材的大力支持。由于衍生金融工具發(fā)展很快，加之編者水平有限，本教材不足之處在所難免，敬請專家、讀者批評指正。2025年 1月 16日于光華園
王晉忠，男，重慶市人，中國民主建國會會員，經(jīng)濟(jì)學(xué)博士，金融學(xué)教授。西南財(cái)經(jīng)大學(xué)金融創(chuàng)新與產(chǎn)品設(shè)計(jì)研究所所長，西南財(cái)經(jīng)大學(xué)長江經(jīng)濟(jì)帶（揚(yáng)州）金融創(chuàng)新研究院院長。全國高等院校金融工程學(xué)會常務(wù)理事。成都市人民政府參事，人民銀行四川分行特聘金融專家，四川省金融辦特聘金融專家。主要從事金融學(xué)、投資學(xué)、企業(yè)投融資、金融衍生工具、金融工程的教學(xué)、研究和實(shí)務(wù)。擔(dān)任西南財(cái)經(jīng)大學(xué)金融工程系首位系主任十五年，是我國高等院校金融工程專業(yè)建設(shè)的開創(chuàng)人之一，是西南財(cái)經(jīng)大學(xué)金融工程學(xué)科的奠基人。主編教材《商業(yè)銀行學(xué)》、《金融工程》、《
前言第一章 衍生金融工具概述 ···················1第一節(jié) 衍生金融工具的概念及特點(diǎn) ·········· 2第二節(jié) 衍生金融工具的類型 ·················· 5第三節(jié) 衍 生金融工具市場概述 ················ 8第四節(jié) 全球衍生金融工具市場的發(fā)展 ······13第五節(jié) 我國衍生金融工具市場的發(fā)展 ······19本章小結(jié) ·········································· 27重要術(shù)語 ·········································· 28復(fù)習(xí)思考題 ······································· 28討論題 ············································· 29延展閱讀 ·········································· 29第二章 遠(yuǎn)期合約與期貨合約 ············· 30第一節(jié) 遠(yuǎn)期合約 ································31第二節(jié) 期貨合約 ······························· 45本章小結(jié) ·········································· 62重要術(shù)語 ·········································· 62復(fù)習(xí)思考題 ······································· 63討論題 ············································· 63延展閱讀 ·········································· 63第三章 遠(yuǎn)期和期貨的定價(jià) ················ 64第一節(jié) 準(zhǔn)備知識 ······························· 65第二節(jié) 基于無套利均衡定價(jià)法的遠(yuǎn)期（期貨）定價(jià) ·························· 70第三節(jié) 基于持有成本模型的遠(yuǎn)期（期貨）定價(jià) ···································· 86第四節(jié) 期貨價(jià)格與現(xiàn)貨價(jià)格的關(guān)系········ 90本章小結(jié) ·········································· 94重要術(shù)語 ·········································· 95復(fù)習(xí)思考題 ······································· 95討論題 ············································· 97延展閱讀 ·········································· 97第四章 利率期貨 ···························· 98第一節(jié) 利率期貨市場的發(fā)展 ················ 99第二節(jié) 短期利率期貨交易 ·················· 103第三節(jié) 中長期國債期貨交易 ··············· 112本章小結(jié) ········································· 129重要術(shù)語 ········································· 129復(fù)習(xí)思考題 ······································ 130討論題 ············································ 132延展閱讀 ········································· 132第五章 遠(yuǎn)期和期貨交易策略 ············ 133第一節(jié) 期貨的投機(jī)與杠桿風(fēng)險(xiǎn)············· 134第二節(jié) 遠(yuǎn)期和期貨的套利策略············· 138第三節(jié) 遠(yuǎn)期和期貨的套期保值策略 ······· 149本章小結(jié) ········································· 161重要術(shù)語 ········································· 161復(fù)習(xí)思考題 ······································ 161討論題 ············································ 162延展閱讀 ········································· 163第六章 互換 ································ 164第一節(jié) 互換的產(chǎn)生與發(fā)展 ·················· 165第二節(jié) 互換的定價(jià) ··························· 174第三節(jié) 互換的應(yīng)用 ··························· 180本章小結(jié) ········································· 189重要術(shù)語 ········································· 189復(fù)習(xí)思考題 ······································ 190討論題 ············································ 192延展閱讀 ········································· 192第七章 期權(quán)產(chǎn)品與期權(quán)市場 ············ 193第一節(jié) 期權(quán)交易與期權(quán)合約 ··············· 194第二節(jié) 期權(quán)的類別 ···························203 第三節(jié) 期權(quán)市場及其制度 ·················· 214本章小結(jié) ········································· 219重要術(shù)語 ·········································220復(fù)習(xí)思考題 ······································220討論題 ············································ 221延展閱讀 ········································· 221第八章 期權(quán)的價(jià)值分析和交易策略······222第一節(jié) 期權(quán)頭寸的損益和價(jià)值·············224第二節(jié) 期權(quán)價(jià)值的無套利分析·············232第三節(jié) 期權(quán)的組合和交易策略·············240本章小結(jié) ·········································252重要術(shù)語 ·········································253復(fù)習(xí)思考題 ······································253討論題 ············································254延展閱讀 ·········································254第九章 期權(quán)的定價(jià) ························255第一節(jié) 期權(quán)定價(jià)的一般思路 ···············257第二節(jié) 離 散時間二叉樹模型 ···············265第三節(jié) 離散時間模型的隨機(jī)差分方程形式 ···································274第四節(jié) 連續(xù)時間模型 ························282本章小結(jié) ·········································293重要術(shù)語 ·········································294復(fù)習(xí)思考題 ······································294討論題 ············································295延展閱讀 ·········································295第十章 期權(quán)的套期保值 ··················296第一節(jié) 期權(quán)頭寸的風(fēng)險(xiǎn)與抵補(bǔ)·············297第二節(jié) Delta套期保值 ······················300第三節(jié) Theta ·································306第四節(jié) Gamma ······························308 第五節(jié) Vega·································· 311第六節(jié) Rho ··································· 314第七節(jié) 希臘值在交易中的運(yùn)用············· 316第八節(jié) 情景分析 ······························320本章小結(jié) ········································· 321重要術(shù)語 ·········································322復(fù)習(xí)思考題 ······································322討論題 ············································323延展閱讀 ·········································323第十一章 奇異期權(quán) ························324第一節(jié) 非標(biāo)準(zhǔn)美式期權(quán) ·····················325第二節(jié) 遠(yuǎn)期開始期權(quán) ························326第三節(jié) 復(fù)合期權(quán) ······························327第四節(jié) 后定期權(quán) ······························329第五節(jié) 障礙期權(quán) ······························330第六節(jié) 兩值期權(quán) ······························340第七節(jié) 回望期權(quán) ······························ 341第八節(jié) 叫停期權(quán) ······························342第九節(jié) 亞式期權(quán) ······························343第十節(jié) 資產(chǎn)交換期權(quán) ························346第十一節(jié) 一籃子期權(quán) ························346第十二節(jié) 靜態(tài)復(fù)制 ···························348本章小結(jié) ·········································349重要術(shù)語 ·········································349復(fù)習(xí)思考題 ······································349討論題 ············································350延展閱讀 ········································· 351第十二章 信用衍生產(chǎn)品 ··················352第一節(jié) 信用違約互換 ························354 第二節(jié) 信用指數(shù) ······························355第三節(jié) 信用違約互換的估值 ···············357第四節(jié) CDS遠(yuǎn)期和期權(quán) ··················· 361第五節(jié) 總收益互換 ··························· 361第六節(jié) 一籃子信用違約互換 ···············363第七節(jié) 債務(wù)抵押債券 ························364第八節(jié) 一籃子 CDS和 CDO定價(jià) ·······369第九節(jié) 信用衍生產(chǎn)品的交易策略 ··········370第 十節(jié) 我國信用衍生產(chǎn)品的發(fā)展 ··········374本章小結(jié) ·········································378重要術(shù)語 ·········································378復(fù)習(xí)思考題 ······································379討論題 ············································380延展閱讀 ·········································380第十三章 衍生工具的運(yùn)用和發(fā)展 ······· 381第一節(jié) 結(jié)構(gòu)化產(chǎn)品 ···························382第二節(jié) 實(shí)物期權(quán) ······························ 391第三節(jié) 管理者期權(quán) ···························395第四節(jié) 天氣衍生產(chǎn)品 ························400第五節(jié) 保險(xiǎn)衍生產(chǎn)品 ························403第 六節(jié) 數(shù)字資產(chǎn)衍生產(chǎn)品 ··················407第七節(jié) 碳金融衍生產(chǎn)品 ···················· 408本章小結(jié) ········································· 412重要術(shù)語 ········································· 412復(fù)習(xí)思考題 ······································ 412討論題 ············································ 413延展閱讀 ········································· 413參考文獻(xiàn) ······································ 414
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