前言
第一章　衍生金融工具概述 ···················1
第一节　衍生金融工具的概念及特点 ·········· 2第二节　衍生金融工具的类型 ·················· 5第三节　衍 生金融工具市场概述 ················ 8第四节　全球衍生金融工具市场的发展 ······13第五节　我国衍生金融工具市场的发展 ······19本章小结 ·········································· 27重要术语 ·········································· 28复习思考题 ······································· 28讨论题 ············································· 29延展阅读 ·········································· 29

第二章　远期合约与期货合约 ············· 30
第一节　远期合约 ································31第二节　期货合约 ······························· 45本章小结 ·········································· 62
重要术语 ·········································· 62复习思考题 ······································· 63讨论题 ············································· 63延展阅读 ·········································· 63

第三章　远期和期货的定价 ················ 64
第一节　准备知识 ······························· 65第二节　 基于无套利均衡定价法的远期
（期货）定价 ·························· 70第三节　 基于持有成本模型的远期（期货）
定价 ···································· 86第四节　期货价格与现货价格的关系········ 90本章小结 ·········································· 94重要术语 ·········································· 95复习思考题 ······································· 95讨论题 ············································· 97延展阅读 ·········································· 97

第四章　利率期货 ···························· 98
第一节　利率期货市场的发展 ················ 99第二节　短期利率期货交易 ·················· 103第三节　中长期国债期货交易 ··············· 112本章小结 ········································· 129重要术语 ········································· 129复习思考题 ······································ 130讨论题 ············································ 132延展阅读 ········································· 132
第五章　远期和期货交易策略 ············ 133
第一节　期货的投机与杠杆风险············· 134第二节　远期和期货的套利策略············· 138第三节　远期和期货的套期保值策略 ······· 149本章小结 ········································· 161重要术语 ········································· 161复习思考题 ······································ 161讨论题 ············································ 162延展阅读 ········································· 163

第六章　互换 ································ 164
第一节　互换的产生与发展 ·················· 165第二节　互换的定价 ··························· 174第三节　互换的应用 ··························· 180本章小结 ········································· 189重要术语 ········································· 189复习思考题 ······································ 190讨论题 ············································ 192延展阅读 ········································· 192
第七章　期权产品与期权市场 ············ 193
第一节　期权交易与期权合约 ··············· 194第二节　期权的类别 ···························203 第三节　期权市场及其制度 ·················· 214本章小结 ········································· 219重要术语 ·········································220复习思考题 ······································220讨论题 ············································ 221延展阅读 ········································· 221
第八章　期权的价值分析和交易策略······222
第一节　期权头寸的损益和价值·············224第二节　期权价值的无套利分析·············232第三节　期权的组合和交易策略·············240本章小结 ·········································252重要术语 ·········································253复习思考题 ······································253讨论题 ············································254延展阅读 ·········································254

第九章　期权的定价 ························255
第一节　期权定价的一般思路 ···············257第二节　离 散时间二叉树模型 ···············265第三节　 离散时间模型的随机差分方程
形式 ···································274第四节　连续时间模型 ························282本章小结 ·········································293重要术语 ·········································294复习思考题 ······································294讨论题 ············································295延展阅读 ·········································295

第十章　期权的套期保值 ··················296
第一节　期权头寸的风险与抵补·············297第二节　Delta套期保值 ······················300第三节　Theta ·································306第四节　Gamma ······························308 第五节　Vega·································· 311第六节　Rho ··································· 314第七节　希腊值在交易中的运用············· 316第八节　情景分析 ······························320本章小结 ········································· 321重要术语 ·········································322复习思考题 ······································322讨论题 ············································323延展阅读 ·········································323

第十一章　奇异期权 ························324
第一节　非标准美式期权 ·····················325第二节　远期开始期权 ························326第三节　复合期权 ······························327第四节　后定期权 ······························329第五节　障碍期权 ······························330第六节　两值期权 ······························340第七节　回望期权 ······························ 341第八节　叫停期权 ······························342第九节　亚式期权 ······························343第十节　资产交换期权 ························346第十一节　一篮子期权 ························346第十二节　静态复制 ···························348本章小结 ·········································349重要术语 ·········································349复习思考题 ······································349讨论题 ············································350延展阅读 ········································· 351

第十二章　信用衍生产品 ··················352
第一节　信用违约互换 ························354 第二节　信用指数 ······························355第三节　信用违约互换的估值 ···············357第四节　CDS远期和期权 ··················· 361第五节　总收益互换 ··························· 361第六节　一篮子信用违约互换 ···············363第七节　债务抵押债券 ························364第八节　一篮子 CDS和 CDO定价 ·······369第九节　信用衍生产品的交易策略 ··········370第 十节　我国信用衍生产品的发展 ··········374本章小结 ·········································378重要术语 ·········································378复习思考题 ······································379讨论题 ············································380延展阅读 ·········································380
第十三章　衍生工具的运用和发展 ······· 381
第一节　结构化产品 ···························382第二节　实物期权 ······························ 391第三节　管理者期权 ···························395第四节　天气衍生产品 ························400第五节　保险衍生产品 ························403第 六节　数字资产衍生产品 ··················407第七节　碳金融衍生产品 ···················· 408本章小结 ········································· 412重要术语 ········································· 412复习思考题 ······································ 412讨论题 ············································ 413延展阅读 ········································· 413
参考文献 ······································ 414