-

4-3


.
. .

2002

..................................................................................................................................... 2
1. . ......................................... 4
............................................................... 4
........................................................................................................ 5
...................................................................................... 7
.................................................................................................. 9
2. .................................................................. 15
......................................................................... 16
....................................................................................... 28
................................................................. 30
3. ....................... 35
.................................................................................... 35
.......................................................................................................................... 38
........................................................................................................ 39
................................................................................................................................ 40
............................................................................................................................... 41
.................................................................................................................. 46

,
,
, . ,
, .
,
,
.
,
(
80- 90-).
,
.
,
. . ,
,
. (
) ,
,
,
.
,
,
.
, ,
.
.
, ,
.

, ,

.
,
( . .
: , 2001),
.
, ,
( , ) .
.

3
:
, , ,
.

, .
,
.
,
-.

4
1. . .
.
, 1,
,
80- 90- .
, 1848 CBOT (Chicago Board of Trade)

, .
,


. , , ,
, -
.
, .
,
.
, :
,
. ,
- CFO2,
. , ,
.
Procter & Gamble,
(levered swap), Bankers
Trust 2 1993 ,
1994 3. , ,

.
, .
, 1986 35 11
, ,
, . $3,5 .
, ,
.
NYMEX (New York Mercantile Exchange).
1991 ., $21,5 (
1

Gegengeschft .
Chief Financial Officer, .
3
Rene M. Stulz, Risk Management and Financial Engineering, 2002.
2

5
2 $22,6 $13,91 ).
,
(21,5 $ ),
.
.

.

1996 22 18 , ,
.
15 1997 30
(Heating Oil) NYMEX, 10 %
. IPE
(International Petroleum Exchange) NYMEX (5 ),
. .
1997 7 IPE
NYMEX. 180 ,
20000 , 300 39484 . ,
115645
, -.
( ) 8 .
56 , 28 %
(197 ). , ,
. , , , .
, - .

,
. NYMEX Light
Sweet .
.
. ,
.
1) ,
,
, 1.
2) ,
2.
1
2

The Corporate Hedging Process by Ian H. Giddy (adapted from an article published by Bank of Montreal).
. . , , 2002.

6
3)
( )
,
1.
4) ,
- ,
2.
5) ,

3.
(CFTC
Commodity Futures Trading Commission) ,
,
() ,
4.
, 3 :
. ,
. , ,
.
( ),
.
. ()
(), ,
, .
. .
,

, ,
. ,
,
. ,
, ; , ( )
. ( , ),
, -.

. . , , - 2002.
Rene M. Stulz, Risk Management and Financial Engineering, 2002.
3
. , , 10, 2000.
4
. , . , , - 1996.
2

7
.
? , , .
P&G
(
Metallgesellschaft), .
Volkswagen,
1987 , Laker Airways,
1982 .
, .
,
( ) .
25 30 . . ,
,
18 20 . . , ,
6 8 . 1.
,
, ,
.
, ,
.
, .
.
1. .
, - ,
, . , ,
: . ,
,
, .
, -
, ,
.
,
.
, ,
, , ,
. ,
,
. .
2. .
1

, , , Internet Trading Group 2000.

8
.

( ) . ,
.
3. .

. , ,
, 1.
, ,
,

.
4. .
,

. , ,
.
-. ,
,
, .
,
.
,
.
, , .
5. .
,
,
. !
, ,

.
, .
6. .
, ,
,
. , ,
.

1

, , 1998.

9
-.
.
.
:
.

-
(
). ,

.
, .
()
, .
, ,
. ,
.
,
, plain
vanilla derivatives.

,
, .

70- ., - .
.
, ,
.
, ,
.

(initial margin) .
,
( )
. ,
, ( margin call) ,
,
.

(off-set deal).

10
(underlying asset) ,
. ,
, ,
spot.
( )
,
. ,
,
.
:
,
, . ,
, .
, ,
, .
() ,
(interest rate futures), .
, , .
:
) . ( )
.
)
.
, .

. ,
-.
) . , ,
, (, , , ),
.
:
) , . ,
6- 6 . ,

. :
.
) . ,
. ,

11
,
.
.
1, .
, ,
( , , , )
. ,
, 2,
, 3, .
-4.
,
. ,
. (
),
,
(FOX, forward with option exit5). . ,
.
, ,
(
).

()
(
).

(exchange of cash flows)6.
,
. ., () .
( sell spot purchase forward), ( ,
), ( ),
( ,

: Forward Rate Agreement.

, , , , ,
, . , , , , .
3
, (1, 2
; 1, 2, 3, 4, 5, 6 ).
4
. -
.
5
.
6
Rene M. Stulz, Risk Management and Financial Engineering, 2002.
2

12
) . . , ,
.
, ,
: LIFFE (London International Financial Futures Ezchange), CBOT
CME (Chicago Mercantile Exchange)
,
.
. ,
ISDA (International Swap Dealers Association),
- 2001 . $69,2 ,
16
1. ,
. ,

(reference rate),
,
-.

, .
,
:
, ,
.
: (call) (put).
.
put
(exercise price, strike price), ,
,
( ).
call
,
.
, , ,
:
.
.
1

, ,
( 2000 .) 2000 . $155 .,
-.
.

13
(the buyer, the
holder) (the writer)
, , ( USD).
, .
(. 1).
,
,
.
, .
call ,
, , ,
+ , .
,

: (in the money), (at the money) (out of
the money). , , call
spot strike, put . ,
, , . ,
, .
,
.
, .
,
,

. (
)
.
, :
1) (call) (put);
2) ;
3) ;
4) .
, :
5) (compound options );
6) (plain vanilla options) (exotics).
, ,

, ,
.

14

.
1790 .,
, .
1973 .
,
, .

. 1973 . CBOE (Chicago Board of Options
Exchange)
: call 16
. , 1982 .,
. PSE (Philadelphia Stock Exchange).
1984 .
(1985) (1986).
1989 .
PSE
, 70 % CBOE AMEX
(American Exchange) , ,
, . ,
( ) 2001 $324,5 .
$143,1 . .
,
2000 :
. .
,
: CBOE 1992 .
177 . , 2000 1,3 . 1.
28,6
. .

,
, 15, 2001.

15
2. .

, ,
.
, .
, ( options),
.
(
) , , ,
.

, ,
.
,
,
.
,
,
, ,
.
,
.

,
.
, ,

.

16


.
:
(
; ),
- .
, (contingent exposure)
. ,
,
, .
:
, ,
.
.
;
. .
,
, 1.
;
.
,
.
call,
put (. . 1).

. 1
call, ,
.
,
.
.
,

1

17
.
( strike
). , ,
.

.
,
.
( ) ,
, .
- ,
.

.
,
, 1.

, ,
. ,
, . ,
,
.

, :
, .

(call put) , .

, .
.
:
, . ,
(call put).
, - -
- (. . 2).

. , : , 15, 2001.

18

. 2. - .
,
: , , ,
.
, - -
-
. - -
.
, - -
- (. . 3), -
- .

. 3. - .
(butterfly)
(condor). ,
, (,
- - ).
.
-
,
.
(. . 4).

19

. 4. - butterfly.
,

(. 2).
- , ,

, .
.

( ).
,
, , .
, -
,

(
, (. 2).
,

(. .
5).

. 5. .
,
.
(naked option position), . ,
, ,
() :

20
. ,
, .
,
(call put)
. ,
.
: straddle, strangle, strip strap,
, ,
.
put call ,
(. . 6),
.

. 6. .
,
.
,
.
,
.

.
, , ,
. , ,
.

(. . 7).
, ,
1.

. , : , 15, 2001.

21

. 7. .
,
/ (. . 8).

. 8. .
,
: .

.
, . ,
,
.

. ,
, .
.
,
. ,
.
,
/ () .

.

22

. 9. .
. 9,

. ,
, .
,
: ,
.
,
,
, .
, -
- (. .
10).

. 10. .
() ,
. ,
. ,
.


, (. . 11).

23

. 11. .
,
$50. ,
20 % .
put $40 call $60.
( )
.
20 % put,

, ( . 11
!). ,
( ).
, ,
,
( ).

(. 3).
, ,
,
.
,
(. 12).

. 11. .

, , ,
.
, , ,
,

24
,
,

.

( flexible
options). , ,
.
, ,
.
, .


, :
(path-dependent derivatives),
(choice-dependent derivatives) (correlationdependent derivatives)1.
, ( )
: ARO (average rate options), ASO (average strike options),
(barrier options, trigger options).
- ARO
, ;
. - ASO
, , ,
; .
, ,
.
ARO , .
, ,

.
ARO.
( )
.
. - .
,
,
.

. , , 16, 2002.

25
ARO ,
.
, ( )
.
ARO
. ,
)
.
,
. ,
1.
ARO
, , , ,
15 .
ARO
.

. ARO
.
ASO ,
, - .
call ASO, put ASO
( ), ,
.
ASO ,
, .
, ASO ,
, ,

.
, ,

1

: 1980 . Hunt Brothers

. , , ,
, ,
: . ,
$9 $50 . : ,
Hunt Brothers .
. . , , 15, 2002.

26
. ,
. knock-in, knock-out.

: down & in, down & out, up & in, up & out.
call put.
, (normal)
(reverse) . 1.
1. .
normal

reverse

knock-out

knock-in

knock-out

knock-in

call

down & out call

down & in call

up & out call

up & in call

put

up & out put

up & in put

down & out put

down & in put

,
, , ,
,
.
, .
,
.
, - , , ( ),
. , ,
( , ), ,
, .
.
-, (compound options)
. , ,
. call put
, .

, .
:
, , ,
, , -, ,
,
. ,
.
(installment options).
,

27
, .
, ,
.
,
.
, ,
(chooser options), (call put)
( (choose date)
- ).
, , .
, (multi-asset options)
, - .
(spread options)
.
() , .

,
.
,
, .

, (
)1. put,
call.
,
.
- (cross-currency options, QUANTOS) ,
. (basket options),
, .
,
.
,
. . , ,
, .
,
, .
1

,
, .

28

,
, .

,
,
. , ,
, ,
, .
, ,
, .
, .
,
: (interest rate futures), (FRA) , ,
.
,
, (interest rate
guarantee IRG). ,
( ).
, FRA. IRG
FRA. ,
IRG, .
, .
,
, .
,
( 365) .
IRG LIBOR
( ,
)1. LIBOR
, .
IRG,
. , , ,
.
.
, ,
, .
(rainbow options) ,
1

. , . , , -, 1996.

29
, ,
(, LIBOR, GILTS FTSE-100)1.

CAP, FLOOR COLLAR. CAP FLOOR
IRG, .
, .

LIBOR, .

; ,
, .
, .
(pay-as-you-go options).
,
,
.
, . ,
cap. S&P 500 S&P 100.
, ,
$30, $3000 . Call cap ,
$30 ; put cap
, $30 .
COLLAR . ,

, pay-as-you-go (
3).

(swaptions), . .
IRS (interest rate swap)
, . ,
.
:
,
, ,

. ,
.
, cap
floor .
1

. , , 15, 2002.

30
,
. , .
. LIBOR ( reference rate)
,
, . LIBOR
, ,
( ).
.


.
,
,
.
.

, .
:
() ;
() .
, ,
.
.
, - ,
. -
, . ,
,
.
,
: ,
. ,
, ,
.

.
: ,
,
(. 12).
.

31

, .

. 12. .

-
(. 13) ,
, .
.

. 13. .
( )

: , .
,
, .
.
, .
-1,
. . 1973 .
call :

C = ert[FN(d1) EN(d2)],

d1 = [ln(F/E) + (S2t/2]/St;
d2 = d1 St.
, F
, . . , t ( ), S
, , N(d)
, , ,
1

, -.

32
, , ,
d, (2,71828), r
1.
, ,
, .
put :

P = C (F Eert),
, F
, , r
.
- ,
,
(
.
-
,
.
(),
. - N(d1).

. 0 1 0,5
.
,
(. . 14).

. 14. -.
, .

. , . , , -, 1996.

33
.
-
. -.

, ,
,
,
.
().

d[N(d1)]/dS -.
- .


(. 15).

. 15. -.
() ().
.

.
, ,
1 %.

-
, , , .
, ,

34
, .
.

35
3.
.


90- .
1998 .,
: .
: , , -,
,
.
,
1998 .
.
:
. ,
.
?
.
1. , , .
(1993 .)
,
. ,

14.04.93 01-20/3371 ,

,
. , 22.05.96 42
,
, (?), ,
.
, ,

(
). ,
10.06.96 290
, ,
, , ,

36
. ,
.

,
21.03.97 55
: :
, , (index forward), , ,
. ,
call
put. ,
, ,
, .
-
. , 55 21.03.97
(
) .
. ,
,
, .
2. . 1998 ,
(
), .
, .
. , ,
,
. .
,
, .
3. .
,
(, -, )
. .

.
, ,
,

. ,
, .

37
:

. , ,
, ,
, 1,
today
tomorrow, . , ,

.
, , ,
: ,
, .
.
,
,
.
.
(
) .
,
,
.
.

,
.
,
1998 :
. ,
2.

: .
.
, , .
- ,

,
.
2
, . ,

. , , 1, 2001.

38
. ,
.


. ,
.
,

, .
:
,
, ,
, .

, , ,
. ,
( call put).
,

.

.

1.
, , , ,
, ,
. , ? ,
, .
,

, .

,
.

. , : , 15, 2001.

39
,
.

,
,
, .

, -
.
,
,
,
, , .

.

: ,
, , , .
, ,
,
,
, .

40

. ,
.
.
,
:
. , , ,
.

. : , ,
.
, ,
.

.
, .
, , ,
. , ,
. ,
.
,
,
. .
, ,
.


. , ,
,
. :

.

41
1.

:
call:

put:.

42
call:

put:

43
2.
:
:
1 :

:
:

(call put) ,
.

44
:

45
3.
collar. .

, %

, %

46
.
1. Rene M. Stulz, Risk Management and Financial Engineering, 2002.
2. . . , , - 2002.
3. . , . , , - 1996.
4. , , 1998.
5. . , : ,
3, 2002.
6. . , , , 15, 16, 17,
2002.
7. . , , 19,
2001.
8. . ,
, 15, 2001.
9. . , : ,
15, 2001.
10. , , 1,
2001.
11. . , , 10, 2000.
:
college.biysk.secna.ru/zenbum/book.htm
www.hf.ru/an/articles/hedge
derivatives.spb.ru/hedge.htm
www.aadsoft.com/tutorial/hedge.htm
www.finpipe.com/hedge.htm
www.internettrading.ru