It's Layla's labyrinth

Month: March 2011 (page 1 of 1)

The power of simple

When step back to the entire student life over the 20 years, I can say that the most magic course I’ve taken is no doubt to be mathematics.Everybody learns mathematics for at least 12years, from primary to senior high, the only difference is someone enjoys, someone suffers.

 

I’ve been the latter for sure. No mathematics intelligence is inherited from my parents though they are both talented in dealing with mathematics. Father studies physics, which is based on mathematics training. Mother studies engineering, fundamental mathematics is in great need of which.

However, after graduation from primary school, I fell in a strange math-phobia. Troubles kept showing up to ridicule my clumsiness and brainless effort. I tried so many ways to get it better but failed thereafter.

Mathematic is COMPLEX. I said to myself during every-night-fight with maths.

 

I can’t remember how I survived before I finally met physics. Physics is  the last straw. I was totally defeated by this charming sister of mathematics. I envy my peers who can easily deal with these twin sisters, after all, I can’t.

 

So I can’t understand why I’ve choose finance and finance engineering as major of college. My mathematics teacher in high school told me economics is mathematics. How could I just forget that….

 

Regret? No, absolutely not. Actually I felt so fortunate to have made this decision. Otherwise, I might have missed a lot of great experiences now.

Change happened in my college year..

To tell the significance of changes, let’s extract a piece of my memory: On Tuesday I attended my class of derivatives,  professor tried to tell us a phenomenon that the distances in premium of call option with different strike price is shorter than the distance  in the strike prices. He tried to tell us verbally in the first 15 minutes, but failed. Verbally is institutionally indeed, but not convincing.

He would have no alternative to turn to mathematics, I guessed. Why not use function convexity to illustrate that? Quite simple, right? You might say the function is not continuous, but so what? Try convex set, you’ll get the conclusion.

Just as expected, he went the the whiteboard and drew  a plot, and started to explain in Mathematics way. Only 5 minutes, things got clear.

See? Mathematics is SIMPLE.

The existent of mathematics is aimed at making the world more simple and clarified, especially applied mathematics. Statistics, algorithm, operational research….everything is meant to MAKE IT SIMPLER.

Take operational research and linear programming as another example. Everybody who ever enrolled in this course learnt about queue theory and simplex method. Simplify the business decision: manufacturer management, price setting,selling plans…and other complex real business problems into relatively simple mathematics model, and solve them using random variables or basic constraints, and then find possible optimal solution.

Got it? Mathematic is used to deduct the complexity of real world problems.

We have to admit that mathematics itself may be hard to learn. Many many art students are going crazy with calculus or probabilities. Many many engineering students are busy with graph theory and combination. Many many science students are fighting against analysis, differential equations, number theory….

But the NATURE of mathematics is simple. Complexity inside mathematics is served to accompany the simpleness with convince.Look at Taylor expansion, many of us feel uncomfortable to memorize the equation, but when applied into practice, and by ignoring high order terms, Taylor expansion does contribute to dealing with high order polynomial.Another example is algorithm. Applying algorithm into programming will help decrease meaningless duplication. However, it might be time-costing or space costing quite often. To find or develope a clear and good algorithm can be quite hard. But we have to experience and shoulder the hardship and complexity to be simple.

In some field, simple is not enough. For example, literature. When studying comparative literature, people have to master two or more languages to do the research.Art will get dull without complexity. But not mathematics. We are not meant to make these look complex and “zhuangbility”, all we need is to make things simple but also convincing.

 

Try to think in this way: Can I abstract the nature of problem? Can I express them in a more clear way? Can I recount this problem to another person in an most efficient way?

 

If you do think like this, I believe finally the method is to use mathematics, for most of the case.

Look, this is the power of simple.

 

金融衍生品观澜(1)——远期与期货

今天随便说说金融产品。(补一句,本来想写多一点了,但是最易懂的期货都写了这么长,所以干脆就分开了写成系列了,请谅解。)

提到金融产品,大部分人总能或多或少的提出来一些。比方说股票、债券、基金什么的。稍微更了解一点的人会说出期货、期权这样的名词。但是正如同大部分人对股市是一种摸索的心态一样,大部分人对于金融产品都是一知半解,常常只知其名,不知其义。

金融产品可以笼统的现分为两类:原生金融产品和衍生金融产品。

原生金融产品是正儿八经实实在在存在的需要拿钱去购买的“产品”。比如股票和债券——好比你去买一家公司的股票,把钱给他,拿着股票,就代表你对公司有一定的所有权。原生金融产品是最通俗易懂也是最好理解的,也是其他一切金融产品的基础。

衍生金融产品,顾名思义,是从原生金融产品那里衍生过来的。所以它们是那种往往不是直接和公司相联系,而是盯住原生金融产品的价格来运作的“合约”。比方说,一份股指期货,它不在乎这个公司运行的好或不好,它只在乎所盯住的股指的价格变动——等一下我们详细来解释。你所听到的其他的名词——期货、期权、远期、互换、欧洲美元——都是衍生品。

而原生品和衍生品、衍生品和衍生品之间也可以互相组合——比如买一个期权买一个期权,买一个股票卖一个期权;买一个股票卖一个远期……诸如此类,这就是金融的智慧与奇妙了。在利益面前,人的聪明才智是无穷的。

原生产品大家都比较熟悉了,所以今天我只讲衍生品。

衍生品1号——远期和期货

我曾在过往的日志中不止一次地提到过远期和期货这对金融姐妹花。什么是远期?就是A和B两位同鞋在0时刻约好,我们到时间t进行一笔交易,B同鞋以一个价格F(0,T)卖一定量的产品X给A。然后他们签个合约,这个合约就叫做远期合约。为什么叫远期?因为是在0时刻决定了未来t时刻交易的内容、数量和价格——也就是说,一切都在0时刻决定好了。到了t时刻的时候,不管这个产品的价格变成了什么样,这笔交易都一定要进行

远期的标的物——产品,可以是任何东西,可以是大豆、黄铜这种实物,也可以是股票、债券这种原生产品,还可以是外汇这种现金产品。

而不知大家发现没有,远期关注的不是这个产品本身,而是它价格的变动——在t时刻,它的真实价值和F(0,T)相比到底谁高?如果真实价格比远期价格高,那么买的人A就会赚钱,因为他完全可以在完成这笔交易后以St的价格把这产品立刻卖掉。所以我们知道对于远期合约的买方来说,他的收益就是St-F(0,T)

相对的,远期合约的卖方的收益就是F(0,T)-St,当t时刻的真实值比远期价格低的时候赚钱——这也很好理解。

不知道大家注意到没有,衍生品市场有一个特点——零和博弈。一方赚了多少,另一方就会亏了多少。永远总和都是零,这是所有衍生品交易的特点。

说到这里大家应该可以试着画出远期的收益图了吧?没错就是下图那条斜率为正的直线——我们叫它long forward position payoff,也就是远期合约买方的收益图。根据零和博弈原理,卖方的示意图就是把这条直线沿X轴反射即可。至于图中蓝色虚线的long call option,我们等下再看他,请暂时忽略它吧!

clip_image002

 

接下来说下期货。期货跟远期非常相似,原理是一摸一样的,但是它比起远期来有一些小小的优势。我们换个角度想,远期有什么问题?最大的问题就是风险!A君要怎么保证B君在t时刻St>F(0,T)的情况下还愿意跟他完成交易?B君要是耍赖怎么办?

期货——是标准化的远期合约。什么叫做标准化?首先它是有期货交易所专门发行的(当然发行买方的就要发行卖方的~),合约上的产品标准(比如XX规格的99足黄金)、交易量(比如1000g)、交易时间(比如6个月后)、交易地点(比如芝加哥期货交易所第X号仓库)……都是规定好了的。这就使得原本两个人之间的合约变得更加大众化,这张合约的转换更加流畅(比如A君不想要这张合约了可以在到期日前卖给C君)。

另外非常重要的一点事,期货交易所普遍实行“保证金制度”,期货合约的每一方都要按照一定比例缴纳保证金。同时,每日按照价格结算,就是按照今日的价格来“估算”你是亏了还是赚了(实际上还没到期呢),如果它算出来按照今天的价格当做St,你亏了,它就会帮你结算掉……(很eggache吧),而你亏的钱扣掉之后保证金不够了,他就会催缴保证金,若是你补不上保证金……不好意思,交易所会帮你瞬间平仓,你就被强行退出交易了,哪怕从今天以后、又在到期日前,标的产品的价格变得有利于你,那也不好意思,都跟你没有关系了。

果然很eggache……但是保证金制度有一个特别好的地方在于它的杠杆性。比方说保证金比率是10%,那么你购买一份期货合约实际上只需要缴纳10%的钱,你等于是用1万块去控制10万的资产,这种杠杆性的优点在于它缓解了现金流的缺陷问题,缺点却是,你每亏一分,就要被放大十倍。

 

现在我们算是把原理讲清楚了。接下来就是解决一个问题——请问期货用来干嘛的?

期货和远期简而言之有三大功能——价格发现、套期保值和套利。

你有没有发现,现在国际大宗商品的价格决定已经远远不是用经济上的“供求关系”来决定的了呢?实际上,现在黄金、石油、贵金属、还有其他稀缺资源……统统都有专门的商品期货在交易,往往是期货市场上的价格决定了这些商品在真实现货市场上的价格。这是因为远期价格F(0,T)在无套利的条件下应当就是预计的St,所以往往在期货到期时,远期价格就成为到期时刻的现货价格。这个等下讲套利的时候再解释:)

 

第二个作用,就是非常使用的套期保值了。我们来看下面一种情况。A君手里有X公司的股票。他当然希望这股票涨……但问题是股票万一跌了怎么办?我们的A君是个风险规避者,他只求不亏,不希望自己有风险。当当当当,A君于是成为了X公司股票期货合约的卖方。

我们来看看A君的收益:股票上的收益是St-S0,期货上的收益是F(0,T)-St,我们把它加起来,算出A君的总收益= St-S0*e^rT+F(0,T)-St, 其中我们是站在时间t考虑的,所以要把0时刻的价格算上利息,变成S0*e^rT。

这是,如果F(0,T)=S0*e^rT的话,A君的总收益刚好为0,说明了什么?说明了过了T的时间,A君成功保值了~虽然他也没有额外的收益,但他至少规避了风险。

 

第三个作用,套利。什么叫做套利?套利就是上面那个例子中F(0,T)>S0*e^rT的时候,这时候A君通过这个合约拿到了正的额外的收益~事实上,金融市场上套利是极其有限的,术语称为no-arbitragy.为什么?因为前面说了,金融市场是零和博弈的——你无风险套利了,就有人注定亏了,每个人都想套利,反而就没有人能够套利了。

那么,在no-arbitragy assumption的前提下,我们必然得到F(0,T)=S0*e^rT,即远期价格的决定公式——实际上远期价格应该就是这样定价的,用合同确定的当日的价格按无风险收益率r贴现到T天之后的价格来作为远期价格。

今天留这个小问题给大家,能证明么?期待大家的思考:)

本系列下一篇会降到期权——那是个比期货好玩的多、灵活的多的工具,也是我最喜欢的金融产品。用期权跟标的产品、跟期货组合会有很多很多又有意思金融工具。下次可以酣畅淋漓地讲一讲。