【正文】 A,Valueline, FTSE100,DAX,NIKKI225,KOSPI200, ? 以近期月份為主，加遠(yuǎn)期季月 HIS,TAIEX,CAC40(3即期月， 3季月） Shanghai University of Financeamp。P500 $25 ? DJIA 1 $10 ? Valueline $5 ? Ftse100 GBP5 ? DAX EURO5 ? HIS 1 HK$50 Shanghai University of Financeamp。Economics 107 例： CME指數(shù)期貨 漲跌停制度 ? RULES for Samp。P 500, Samp。P 500/Barra Growth amp。Economics 108 5％跌停 ? 報(bào)價一旦觸及 5％跌停限幅，在 10分鐘內(nèi)（或芝加哥時間下午 2： 30以前），只能按高于或等于該價格成交 ? 10分鐘時（或 2： 30〕，若報(bào)價仍為跌停價，交易暫停 2分鐘 ? 2分鐘后實(shí)行 10％跌停限幅 Shanghai University of Financeamp。直至 SP500成份股市值 50％以上股票恢復(fù)現(xiàn)貨市場交易后，股指期貨交易實(shí)行 15％跌幅限制。Economics 110 ? 下午 1： 30以后，若期指報(bào)價觸及 10％跌停， 10分鐘內(nèi)只能成交該價格以上委托。Economics 111 15％跌停 ? 若報(bào)價觸及 15％跌幅限制，限幅維持 10分鐘， 10分鐘后若繼續(xù)跌停，實(shí)行 20％跌停限幅 Shanghai University of Financeamp。Economics 113 其他合約的漲跌停限制 ? 參見附件 Shanghai University of Financeamp。Economics 115 例：保證金 ? CBOT股票指數(shù)期貨保證金 ? CME股票指數(shù)期貨保證金 Shanghai University of Financeamp。 ? 最后交易日不能推遲閉市 ? 現(xiàn)貨市場交易時間變動時，期貨市場交易時間隨之變動 Shanghai University of Financeamp。Economics 118 韓國期貨交易所 KOFEX ? 1996年 5月 3日在 KSE開始 KOSPI200指數(shù)期貨交易 ? 1998年 7月韓國期貨業(yè)對國外全面開放 ? 1999年 4月 23日正式開業(yè) ? 1999年 9月 29日推出國債期貨 ? 2022年 12月，將 KOSPI200指數(shù)期貨從韓國證交所（ KSE） 轉(zhuǎn)至 KOFEX ? 2022年 1月 30日推出 KOSDAQ50指數(shù)期貨 Shanghai University of Financeamp。Economics 120 交易系統(tǒng) ? 人工報(bào)價交易（ PIT TRADING） ? 電子交易（ GLOBALEX2） Shanghai University of Financeamp。Economics 122 報(bào)價 ? 報(bào)價閱讀 ? 報(bào)價差異？ Shanghai University of Financeamp。Economics 124 例： 11月 16日報(bào)價 ? SP500大廳報(bào)價 ? SP500電子交易報(bào)價 ? E－ MINISP500報(bào)價 ? DJIA報(bào)價 Shanghai University of Financeamp。Economics 126 股票指數(shù)期貨的應(yīng)用 ? 單純投機(jī) ? 套利（跨品種、跨市場、理論價、指數(shù)套利） ? 套期保值（改變貝它系數(shù)） Shanghai University of Financeamp。Economics 128 analysis securities return= systematic return + unsystematic return ?? ??? mRR?Shanghai University of Financeamp。Economics 130 Systematic unsystematic risk ? Systematic risk equal to times the standard deviation of the market return Systematic risk unsystematic risk= With increasing diversification, the unsystematic risk of portfolio will approaches 0 ?m?????Shanghai University of Financeamp。Economics 132 Hedging using index futures ? Define P: value of a portfolio A: value of assets underlying one futures contract Contract needed: AP?Shanghai University of Financeamp。P500期貨合約為其持有的價值 $2,100,000的股票保值 .資產(chǎn)組合 B= ? 4月 4日 Samp。Economics 134 Changing ? Define the the object: contract number= Negative means short and positive means long ?*?AP)( * ?? ?Shanghai University of Financeamp。Economics 136 無風(fēng)險套利定價 Shanghai University of Financeamp。Economics 138 Continuous pounding ? RnRnRmmmnmAemRAmRA ????????)1(lim)1(limShanghai University of Financeamp。Economics 140 When m=1 ? ? when continuous pounding rate is known )1ln ( RR c ??)1( ?? mR cemRShanghai University of Financeamp。Economics 142 Proof ? Consider an investor adopting the following strategy: 1. Buy spot eqt of the asset and reinvest ine from the asset in the asset 2. Short a forward contract on one unit of the asset Shanghai University of Financeamp。Economics 144 Example1 ? 6 month long forward contract on a nondividendpaying stock. The riskfree rate is 10% per annum, the stock price is $25, and the delivery price is $24. ? What is the value of the forward contract? Shanghai University of Financeamp。Economics 146 Practice ? 某股票的遠(yuǎn)期合約 ,合約期限 6個月 . ? 股票現(xiàn)貨價格為 $80 ? 該股票在第一個月和第四個支付紅利 ,紅利率分別為股票價格的 4%和 5% ? 無風(fēng)險利率 (年連續(xù)復(fù)利 )為 6% 求 : 該遠(yuǎn)期合約的理論價格 Shanghai University of Financeamp。Economics 148 Geometric Browning motion ? Discrete form tStSS????????() ),(~ ttSS ??? ???Shanghai University of Financeamp。Economics 150 模擬 6個月后的股價指數(shù) ? 經(jīng)過 50步運(yùn)算 tStSS ????? ???SSS ? ?????Shanghai University of Financeamp。Economics 152 二叉樹模擬 ? 一般用于為期權(quán)定價 ? 如果推出指數(shù)期權(quán)，可以得到應(yīng)用 Shanghai University of Financeamp。Economics 154 Underlying assumptions of technical analysis ? Values, and thus prices, are determined by supply and demand ? Supply and demand is driven by both rational and irrational behavior ? Security prices move in trends that persist for long periods of time ? While the cause for changes in supply and demand are difficult to determine ,the actual shifts in supply and demand can be observed in market price behavior Shanghai University of Financeamp。Economics 156 Challenge to technicians ? The major challenge is the EMH. EMH thinks that all available information is impounded in the current security price. Thus , any new information will cause instantaneous price adjustments. ? Also, past technical relationship may not be repeated, technical rules required too much subjective interpretation, and decision variables change over time . Shanghai University of Financeamp。Economics 158 ? Fundamentalists look for changes in the basis of value, which eventually leads to changes in the supply and demand for the stock. ? Technicians look for evidence of changes in supply and demand through market signals and indicators. ? EMH says all this looking is a hopeless and profitless exercise since prices will change instantaneously to information changes. value time Old intrinsic value Point4:EMH Point1:start Point2:fundamentalists Point3:technician New intrinsic value Support level Resistance level Shanghai University of Financeamp。 not why investors are buying Shanghai University of Financeamp。Economics 162 ? If a technical trading proved to be successful, others would copy it. As more traders implement the strategy, its value will be ne