ding...........

非常感谢~感觉之前的很多理解都是错误的~~~大牛啊~~~

您给我说的这些，我的教材上都没有写啊，可能是因为我没有学过任何衍生品的知识，就直接开始学定价……请问有没有什么推荐的资料啊，多谢。

I know, most of the text books will not say this. Even not included in Hull's book.

I learn it from my advisor.

But I can give you a tip that will help you to think the things in a different way.

The main function of a derivative (especially some derivative with linear payoff) is to operate the cash flow. This means that whenever you have a derivative on hand, it is not a derivative but a series of future and spot cash flows. In this case, if you can exactly replicate these cash flows with existing assets, you actually manually "create" a derivative by yourself and of cause the price of this derivative is the summation of the prices of the assets you use to replicate it.

The main part lies in your skill to decompose the derivative.

And a by-product is that with derivative and by manipulating the cash flows, you can do many things that previously unable to do. For example, long a forward=borrowing money+buying a spot.

if you modify this equation:

borrowing money=long a forward+shorting a spot. Short a spot will give you some cash right now and long a forward will lock the price at maturity. So at maturity, the forward is settled, you buy back the asset and then close your short position. The money you pay is just the interest rate. In this case, you borrow some money without go to the bank and "borrow" it.

Analyzing cash flow and replicate these cash flow is very important in derivative both pricing and risk management. So try to think it in this way.

best,

hi~~i  cannot understand this:"The money you pay is just the interest rate".
short a spot at time t: get money S(t);
At time T: S(t) becomes S(t)/B(t,T);
               exercise the forward contratct: the delivery price K=S(t)/B(t,T).

So the interest rate equals S(t)/B(t,T)-S(t)

还想再问一下，根据您所说的，是不是设计衍生品的初衷就是为了让衍生品所产生的cash flow 去cover 一个asset的cash flow.

不好意思，我问的问题有点傻。O(∩_∩)O~

1. Yes, you are almost there.

short a spot, get S(t)

long a future contract, at time T, you pay S(t)/B(t,T) to buy back the asset.

so your net cash flow is S(t)-S(t)/B(t,T), if you assume the "average" interest rate on this period is r, then, use single compounding: B(t,T)=1/(1+r(T-t))

S(t)-S(t)/B(t,T)=S(t)-S(t)(1+r(T-t))=-rS(t)(T-t), which is the interest you paid.

2. Yes, you can say that. The essence of risk is the uncertainty of cash flow. Sometimes some derivative such as american option or credit derivative may have an uncertainty both in time and cash flow it is more complicated (you will receive unknown cash flow at an unknown point). I am glad you realize that.

best,

天啊，你好好啊~~这么晚还回复我的贴子，感动。

土豪，求交朋友啊~~我有给你发消息~~~

niu........