波动率交易在我国银行理财产品设计中的应用
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上海财经大学学报 2007 年 第 09 卷第 04 期, 页码：50 - 57
摘要
参考文献
摘要
为了构建预期收益率高于同期国债利率的创新金融产品,我们必须使用波动率交易这项新工具。本文简述了波动率交易的起因和原理,重点介绍了一种简便的波动率交易工具。本文重点以中国银行的理财产品为例,分析了如何利用波动率交易来构建一个新的金融产品,并确保银行在这个产品的有效期内实现无风险的收益。
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[8]Holder and Riggs·Pitfalls in evaluating risky projects[M]·Harvard Business Review,January～Februar-y·1985·
[9]Hayes and Garvin·Managing as if tomorrow mattered[J]·Harvard Business Review,May～June1982·
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[2]周洛华·金融工程学[M]·上海:上海财经大学出版社,2004·
[3]周洛华·资产定价学[M]·上海:上海财经大学出版社,2004·
[4]John Hull·Options,Futures,and Other Derivatives[M]·Fifth Edition,Prentice Hall,2000·
[5]Richard A·Brealey&Stewart C·Myers·Principles of Corporate Finance[M]·McGraw Hill,1996·
[6]Avinash K·Dixit&Robert S·Pindyck·Invest ment Under Uncertainty[M]·Princeton,1993·
[7]Copeland,Koller&Murrin·Valuation:Measuring and Managing the Value of Companies[M]·Wiley&Sons,1994·
[8]Holder and Riggs·Pitfalls in evaluating risky projects[M]·Harvard Business Review,January～Februar-y·1985·
[9]Hayes and Garvin·Managing as if tomorrow mattered[J]·Harvard Business Review,May～June1982·
[10]Hayes and Abernathy·Managing our way to economic decline[J]·Harvard Business Review,July～Au-gust1980·
[11]F·E·Fama·Efficient Capital Markets:A Reviewof Theory and Empirical Work[J]·Journal of Finance,May1970·
[12]Mark Rubinstein·I mplied Binomial Trees[J]·Journal of Finance,1994,7(69)·
引用本文
周洛华. 波动率交易在我国银行理财产品设计中的应用[J]. 上海财经大学学报, 2007, 9(4): 50–57.
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