本书以衍生金融工具为核心内容，以风险管理为主线，全面介绍了衍生金融工具的发展历程和市场现状，对远期、期货、互换和期权产品的运行机制、定价理论和方法、套期保值的原理与运用、套利机会的识别与套利方案的设计进行了系统的介绍。全书在注重知识体系严谨性的同时，还对该领域的新进展进行了介绍，如介绍了奇异期权、信用衍生产品、结构化产品以及实物期权等衍生产品的创新发展。对于衍生金融产品特别是期权定价问题，全书在清晰阐释定价原理与严格推演定价方法的同时，又注意避免了纯数理表述的复杂艰深，在确保金融逻辑严谨的同时，力求推导过程简洁。本书特别注重理论与实践的结合，尤其是与中国衍生金融产品市场发展的结合，通过专栏、案例、讨论题与延展阅读等方式加深读者对专业知识与技术的领悟。全书设置了多个二维码，链接丰富的学习资源。

本书凝结了西南财经大学、中央财经大学、对外经济贸易大学、四川大学等知名院校三代学者的集体智慧，他们将数十年的学术积累、前沿的研究成果和实用的教学经验融入教材，让读者通过系统学习提高自己的实践能力和创新精神，为未来的职业发展做好充分准备。 本书特色： 第一，知识体系更加完善：系统介绍了衍生金融工具的理论体系、定价思想与技术、套利和组合构造方法、实践运用与市场发展等。 第二，理论联系实际：通过案例分析、交易方案设计等方式让学生更好地理解和掌握衍生金融工具的实际运用。 第三，联系中国市场发展：紧密结合中国市场发展实际情况，介绍了中国衍生金融工具市场最新的发展现状。 第四，丰富的数字化资料：收录了丰富的市场数据和案例分析材料，并通过数字化手段进行了整合和呈现，方便读者查阅和使用。

衍生金融工具，作为现代金融市场的璀璨明珠，自诞生以来便以其独特的魅力和强大的功能在全球金融舞台上扮演着举足轻重的角色。从最初的远期、期货、互换到后来的期权、信用违约互换等，衍生金融工具的种类不断丰富，交易规模持续扩大，已经成为金融市场不可或缺的一部分。在全球范围内，衍生金融工具市场的发展已经呈现出蓬勃态势。特别是近年来，随着科技进步和金融创新的不断深化，衍生金融工具的交易品种日益多样化，交易方式也更加灵活便捷。这不仅为投资者提供了更为丰富的风险管理工具，也为金融市场的发展注入了新的活力。在我国，衍生金融工具市场的发展虽然起步较晚，但发展迅速。自 20世纪 90年代初推出第一张商品期货合约以来，我国衍生产品市场经过不断探索和实践已经形成了包括商品期货、股指期货、国债期货、期权等在内的较为完善的金融衍生产品体系。特别是近年来，随着金融市场的不断开放和改革，我国衍生金融工具市场的发展步伐进一步加快，市场规模持续扩大，市场参与者日益增多。我国衍生金融工具市场的发展具有鲜明的特点。首先，我国衍生金融工具市场的发展注重与实体经济相结合，为实体经济的发展提供支持。其次，我国衍生金融工具市场的发展注重风险管理和市场稳定，通过建立健全的监管制度和风险防范机制确保市场稳健运行。此外，我国衍生金融工具市场的发展还呈现出多元化的趋势，不仅有商品期货、股指期货、国债期货、期权等传统品种，还有碳金融衍生工具等创新品种，为投资者提供了更为丰富的选择。衍生金融工具在经济与金融发展中具有不可替代的作用。首先，衍生金融工具具有风险管理功能，能够帮助投资者有效管理风险，提高投资组合的稳健性。在不确定性日益增强的现代经济中，风险管理已成为企业和个人关注的焦点。通过利用衍生金融工具进行风险对冲和分散化投资，投资者可以降低风险敞口，提高投资收益的稳定性。其次，衍生金融工具具有价格发现功能，能够反映市场对未来价格走势的预期。这对投资者制定投资决策、把握市场趋势具有重要意义。通过观察衍生金融工具的价格变动，投资者可以了解市场对相关资产未来走势的预期，从而做出更为有效的投资决策。此外，衍生金融工具还具有信息吸纳功能，能够吸纳更多的市场信息，提高市场的信息效率。在现代金融市场中，信息对投资者来说至关重要。衍生金融工具的交易价格往往包含了大量的市场信息，投资者可以通过观察衍生金融工具的交易情况，了解市场动态和趋势，从而做出更为明智的投资决策。在当前金融市场快速发展的背景下，学习本教材对金融专业的学生来说具有重要意义。首先，通过学习本教材，学生可以了解衍生金融工具的基本原理、交易策略和管理方法，为未来的职业发展打下坚实的基础。其次，学习本教材可以帮助学生更好地理解和把握金融市场的运行规律和趋势。在现代金融市场中，衍生金融工具的交易情况往往反映了市场的动态和趋势。通过学习本教材，学生可以了解市场的运行情况和发展趋势，为未来的投资决策提供有力的支持。此外，学习本教材还可以培养学生的实践能力和创新精神。衍生金融工具的交易需要较高的实践能力和创新精神，通过学习本教材，学生可以通过案例分析、模拟交易等方式提高自己的实践能力和创新精神，为未来的职业发展做好充分准备。本教材是在 2019年高等教育出版社出版的《衍生金融工具》（主编王晋忠、副主编冯建芬、郭剑光、陈小凡）的基础上编写的。本次在机械工业出版社出版的教材相对于高等教育出版社的版本具有以下改进：第一，知识体系更加完善，本教材系统介绍了衍生金融工具的理论体系、定价思想与技术、套利和组合构造方法、实践运用与市场发展等方面的知识，形成了较为完善的知识体系。本教材特别针对期权定价理论从离散到连续进行了逻辑一致的推演，对于学生深刻理解和把握期权定价理论与方法有着十分积极的作用。第二，理论联系实际，本教材注重将理论知识与实际应用相结合，注重培养学生的实践能力，通过案例分析、交易方案设计等方式让学生更好地理解和掌握衍生金融工具的实际运用。第三，联系中国市场发展，本教材紧密结合中国市场发展实际情况，介绍了中国衍生金融工具市场最新的发展现状，帮助学生更好地了解和掌握中国市场的情况。第四，丰富的数字化资料，本教材收录了丰富的市场数据和案例分析材料，拓展学生的视野，并通过数字化手段进行了整合和呈现，方便学生查阅和使用。本教材在原有编写人员的基础上，进一步加强了编写力量，编写团队由来自西南财经大学、对外经济贸易大学、中央财经大学、四川大学、成都锦城学院的教师组成。主编王晋忠负责教材大纲的编写、编写要求的制定、稿件的审核与总纂，副主编冯建芬、郭剑光、陈小凡负责落实编写任务的协调推进。各章节具体编写工作分工如下：第一章、第二章、第三章由陈小凡、谢蓓编写；第四章、第五章、第六章由冯建芬、聂晶、杜冬云编写；第七章、第八章、第九章由郭剑光、杨浩、胡歆雪编写；第十章、第十一章、第十二章、第十三章由王晋忠、王茜、杨正则、陈帆编写。在编写本教材的过程中，我们得到了许多专家、学者和同行的指导和帮助。在此，我们向所有为本书编写付出辛勤劳动和贡献智慧的专家和学者表示衷心的感谢！同时，我们也要感谢机械工业出版社的王洪波等同志对出版本教材的大力支持。由于衍生金融工具发展很快，加之编者水平有限，本教材不足之处在所难免，敬请专家、读者批评指正。2025年 1月 16日于光华园

王晋忠，男，重庆市人，中国民主建国会会员，经济学博士，金融学教授。西南财经大学金融创新与产品设计研究所所长，西南财经大学长江经济带（扬州）金融创新研究院院长。全国高等院校金融工程学会常务理事。成都市人民政府参事，人民银行四川分行特聘金融专家，四川省金融办特聘金融专家。主要从事金融学、投资学、企业投融资、金融衍生工具、金融工程的教学、研究和实务。担任西南财经大学金融工程系首位系主任十五年，是我国高等院校金融工程专业建设的开创人之一，是西南财经大学金融工程学科的奠基人。主编教材《商业银行学》、《金融工程》、《

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