CUPRINS

INTRODUCERE                                                                                                                              3

CAPITOLUL 1 - Operațiuni pe piețe financiare                                                                          5

            1.1. Piața de capital                                                                                                              5

                        1.1.1. Cererea și oferta de capital                                                                                  8

            1.2. Piața monetară                                                                                                              9

                        1.2.1. Piața valutar㠖 segment de bază al pieței monetare                                              9

                                   1.2.1.1. Motivația operațiunilor pe piața valutară                                        10

                                   1.2.1.2. Participanții la piața valutară internațională                                  11

                                   1.2.1.3. Tipuri de operațiuni pe piața valutară                                             12

            1.3. Piețele la termen. Evoluție și caracteristici                                                              13

                        1.3.1. Piețele de mărfuri la termen, predecesoare ale piețelor financiare                        13

                        1.3.2. Tranzacțiile la termen – cerință a modernizării schimburilor

                                  economice                                                                                                        15

                        1.3.3. Casele de compensație – verigă esențială a operațiunilor la termen                      16

                        1.3.4. Piețele financiare la termen                                                                                17

                                   1.3.4.1. Tipuri de operațiuni cu instrumente financiare                                18

                                   1.3.4.2. Caracteristicile piețelor pe care se negociază

                                                instrumentele financiare la termen                                                  19

                                   1.3.4.3. Motivațiile contractelor la termen                                                   20

CAPITOLUL 2 – Operațiuni pe piețe futures și options                                                          22

            2.1. Contracte futures                                                                                                         22

                        2.1.1. Definire                                                                                                             22

                        2.1.2. Prețurile futures                                                                                                 24

                                   2.1.2.1. Relația dintre prețurile spot și prețurile futures                                25

                                   2.1.2.2. Noțiunile: bază, contango, backwardation și randament

                                                convenabil                                                                                        26

                        2.1.3. Contracte futures pe valute                                                                                28

                                   2.1.3.1. Baza și convergența                                                                         28

                                   2.1.3.2. Operațiuni de hedging                                                                       30

            2.2. Contracte options                                                                                                        32

                        2.2.1. Definire                                                                                                             32

                        2.2.2. Categorii, trăsături caracteristice                                                                        32

                                   2.2.2.1. Call options                                                                                      32

                                   2.2.2.2. Put option                                                                                         34

                                   2.2.2.3. In-the-money, at-the-money, out-of-the-money                               34

                                   2.2.2.4. Intrinsic value, time value                                                                35

            2.3. Tipuri de opțiuni valutare                                                                                            36

                        2.3.1. Opțiuni pe cursul de schimb                                                                               36

                        2.3.2. Opțiuni pe contracte futures pe valute                                                                36

                        2.3.3. Opțiuni în stil futures                                                                                          37

            2.4. Piața opțiunilor valutare                                                                                              39

            2.5. Strategii de utilizare a opțiunilor valutare                                                                  41

                        2.5.1. Cumpărare de opțiuni calls                                                                                42

                        2.5.2. Vânzarea descoperită de opțiuni calls                                                                43

                        2.5.3. Cumpărarea de opțiuni   puts                                                                             44

                        2.5.4. Vânzarea unui put descoperit                                                                             45

                        2.5.5. Vânzarea acoperită de call                                                                                46

                        2.5.6. Vertical spreads                                                                                                48

                        2.5.7. Straddles și strangles                                                                                         51

                        2.5.8. Alte strategii                                                                                                      54

CAPITOLUL 3 – Modelarea piețelor pe opțiuni                                                                        58

            3.1. Relația de paritate put-call                                                                                         58

            3.2. Factorii ce determină primele opțiunilor                                                                   60

                        3.2.1. Impactul asupra opțiunilor calls                                                                            60

                        3.2.2. Impactul asupra opțiunilor puts                                                                         62

            3.3. Calculul volatilității                                                                                                       62

                        3.3.1. Volatilitatea istorică                                                                                           62

                        3.3.2. Volatilitatea dedusă                                                                                           63

            3.4. Principii elementare legate de prețul opțiunilor                                                       63

            3.5. Modelul Black-Scholes                                                                                               67

            3.6. Modelul binomial de evaluare a opțiunilor                                                                68

                        3.6.1. Modelul binomial cu un interval                                                                       69

                        3.6.2. Modelul binomial cu mai multe intervale                                                           70

            3.7. Modelul Garman-Kohlhagen                                                                                      71

            3.8. Măsurarea riscului opțiunii și a senzitivității                                                            73

CAPITOLUL 4 – Simularea operațiunilor pe piețele futures și options                                77

            4.1. Simularea operațiunilor pe piețele futures                                                               77

            4.2. Simularea operațiunilor pe piața opțiunilor                                                 83                 

                          4.2.1. Calcularea primei unei opțiuni call folosind modelul binomial                            84

                        4.2.2. Calcularea primei unei opțiuni call folosind modelul

                                  Garman-Kohlhagen                                                                                           88

            4.3. Operațiuni secifice investitorului pe piața opțiunilor                                                90

CONCLUZII                                                                                                                                    94

BIBLIOGRAFIE                                                                                                                             96

ANEXE                                                                                                                                            98