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1、Chapter23:Futures,Swaps,andRiskManagementChapterOpenerp.784THEPREVIOUSCHAPTERprovidedabasicintroductiontotheoperationoffuturesmarketsandtheprinciplesoffuturespricing.Thischapterexploresbothpricingandriskmanagementinselectedfuturesmarketsinmoredepth.Mostofthegrowthh
2、asbeeninfinancialfutures,whichdominatetrading,soweemphasizethesecontracts.???HedgingInvestinginanassettoreducetheoverallriskofaportfolio.referstotechniquesthatoffsetparticularsourcesofrisk,ratherthanasamoreambitioussearchforanoptimalrisk-returnprofileforanentirepor
3、tfolio.Becausefuturescontractsarewrittenonparticularquantitiessuchasstockindexvalues,foreignexchangerates,commodityprices,andsoon,theyareideallysuitedfortheseapplications.Inthischapterwewillconsiderseveralhedgingapplications,illustratinggeneralprinciplesusingavarie
4、tyofcontracts.Wealsoshowhowhedgingstrategiescanbeusedtoisolatebetsonperceivedprofitopportunities.???Webeginwithforeignexchangefutures,whereweshowhowforwardexchangeratesaredeterminedbyinterestratedifferentialsacrosscountries,andexaminehowfirmscanusefuturestomanageex
5、changeraterisk.Wethenmoveontostock-indexfutures,wherewefocusonprogramtradingandindexarbitrage.Nextweturntothemostactivelytradedmarkets,thoseforinterestratefutures.Wealsoexaminecommodityfuturespricing.Finally,weturntoswapsmarketsinforeignexchangeandfixed-incomesecur
6、ities.Wewillseethatswapscanbeinterpretedasportfoliosofforwardcontractsandvaluedaccordingly.23.1ForeignExchangeFuturesTheMarketsExchangeratesbetweencurrenciesvarycontinuallyandoftensubstantially.Thisvariabilitycanbeasourceofconcernforanyoneinvolvedininternationalbus
7、iness.AU.S.exporterwhosellsgoodsinEngland,forexample,willbepaidinBritishpounds,andthedollarvalueofthosepoundsdependsontheexchangerateatthetimepaymentismade.Untilthatdate,theU.S.exporterisexposedtoforeignexchangeraterisk.Thisriskcanbehedgedthroughcurrencyfuturesorfo
8、rwardmarkets.Forexample,ifyouknowyouwillreceive￡100,000in90days,youcansellthosepoundsforwardtodayintheforwardmarketandlockinanexchangerateequalto
