Professional Documents
Culture Documents
gii thiu
H Ni Toulouse, 2014
Quyn sch ny c son tho trong qung thi gian 2009-2011. Bn ebook ny, vi
s gip ca Sputnik Education, c cng b min ph cho bn c, nhm ng gp
vo s nghip gio dc Vit Nam. N c th dng lm ti liu cho mt kho hc v
ton ti chnh dnh cho nhng ngi theo cc ngnh ton hc hay kinh t v ti chnh.
Bn quyn thuc v cc tc gi.
iii
Li gii thiu
Mc ch ca cun sch ny l nhm gip cc bn sinh vin cc ngnh kinh t, ti
chnh, v ton hc nm bt c mt s kin thc c bn ca ton ti chnh, vi cc ng
dng thc t trong ti chnh, qua c th tip tc tm hiu su thm v lnh vc ny.
Do nhm phc v c sinh vin ton cn thiu kin thc v ti chnh, ln sinh vin kinh
t - ti chnh cn thiu kin thc v ton, chng ti thit k quyn sch ny vi nhng
chng c tnh cht b tc v ti chnh, v ng thi c gng gim nh v mt hnh
thc ton hc so vi mt s ti liu cao cp bng ting Vit khc [14, 20, 28].
Vo thi im chng ti bin son cun sch ny, ton ti chnh l mt ngnh cn
kh mi m Vit Nam, tuy rng trn th gii n tr thnh mt ngnh ln v rt
quan trng, c th coi l khng th thiu trong cc hot ng ca cc t chc ti chnh
nh ngn hng, bo him, u t, cng nh trong vic qun l ti chnh ca cc chnh
ph, cc doanh nghip ln. H thng ti chnh quc t ngy cng tr nn tinh vi v phc
tp, v cnh tranh trong h thng ny, ngy cng cn nhiu n cc cng c ton hc
m hnh ha, phn tch v tnh ton. Khng ch i vi cc t chc v doanh nghip
ln, m cc c nhn cng cn c nhng hiu bit ti thiu v ti chnh v ton ti chnh,
s rt c ch trong cc quyt nh ti chnh ca mnh, nhm t c mt tng lai m
bo hn v t do hn v ti chnh, trnh c cc ri ro.
Nhn thy nhu cu pht trin o to ngnh ton ti chnh Vit Nam, Khoa Ton
trng i hc S phm H ni di s h tr ca Trung tm Ton Ti chnh v Cng
nghip H ni gn y m ra m ngnh o to bc c nhn v ton ti chnh. Quyn
sch ny ra i cng l nhm phc v cho trng trnh o to c nhn ny.
Cu trc ca quyn sch ny nh sau: n gm c 8 chng, c th chia lm 3 phn.
Phn th nht gm 2 chng u, l chng v tin t v chng v th trng ti chnh.
Phn ny hu nh khng c ton, v mc ch chnh ca phn ny l nhm lm quen cc
sinh vin ngnh ton vi cc khi nim c bn v ti chnh. Phn th nht ny cng c
mt s thng tin cp nht v th trng ti chnh th gii, c th th v i vi bn c
c kin thc v ti chnh. Phn th hai gm 4 chng tip theo, v kinh doanh chnh
lch gi, phn tch tri phiu, phn tch c phiu, v qun l danh mc u t. Phn ny
bt u c nhiu cng thc ton hc v nh l, nhng mc phc tp va phi, cc
sinh vin kinh t v ti chnh chc cng s khng gp kh khn g c bit v ton khi
c phn ny, c bit nu c mt s kin thc c s v gii tch v xc sut thng
iv
Li cm n
Mt phn ca quyn sch ny c vit khi tc gi Nguyn Tin Dng n thm v
lm vic ti Trung tm Lin khoa Bernoulli (Centre Interfacultaire Bernoulli), i hc
Bch khoa Lin bang Lausanne (EPFL), Thy S, mt thi gian trong nm 2010, theo
li mi ca GS. Tudor Ratiu. Chng ti chn thnh cm n GS. Ratiu v Trung tm
Bernoulli to iu kin lm vic rt tt vit quyn sch ny. Mt phn ca quyn
sch cng c son tho khi tc gi c Thi n thm v lm vic ti Khoa Ton,
i hc Toulouse, Cng ho Php, mt thi gian trong nm 2010, theo li mi ca GS.
Thomas Pascal v tc gi NTD. Chng ti chn thnh cm n GS. Thomas Pascal v
H Toulouse to iu kin cho chng ti lm vic v hp tc cht ch hn trong vic
son tho cun sch.
Trong qu trnh son tho quyn sch ny, chng ti c may mn c tho lun trc
tip vi nhiu chuyn gia v ton ti chnh v bo him, v mt s chuyn gia cao cp trong
cc tp on ti chnh, qua hiu r hn cc vn thc s ca ton ti chnh. Chng
ti xin chn thnh cm n tt c cc chuyn gia , c bit l ng Nguyn Nam Kim,
b ng Thu Hng, GS Trn Hng Thao, GS Adrien Blanchet, GS Jaksa Cvitanic, GS
Paul Embrechts, GS Jean-David Fermanian, GS. Max Hongler, GS Bernt Oksendal, GS
Juan-Pablo Ortega, GS Christian Y. Robert, GS Michel Simoni, GS Christine Thomas,
GS Anne Vanhems, v GS Stphane Villeneuve.
Trong qu trnh son tho quyn sch ny, cc ti liu dng tham kho, v cc
chng sch vit d hay cn ang sa cha, c em ra tho lun ti xmina ton ti
chnh thuc Trung tm Ton Ti chnh v Cng nghip H ni, xmina Ton ti chnh
t chc ti Toulouse, v ti xemina v ton ti chnh ti i hc Kinh T - Lut, HQG
TPHCM. Cc thnh vin tham gia ba xmina ny ng gp nhiu kin b ch cho
quyn sch ny. Chng ti xin chn thnh cm n tt c cc thnh vin ca ba xmina,
c bit l: PGS L Anh V, TS Lu Hong c, TS H Bnh Minh, TS Nguyn Thnh,
cc NCS L Hong Chinh, Phm Vit Hng, Nguyn Vn Minh, Trng Hng Minh, L
Vn Tun, Nguyn Thanh Thin, Phan Thanh Tng, L Hi Yn, v.v.
c bit, chng ti xin chn thnh cm n TS Nguyn Hng Hi, TS Trn Trng
Nguyn, v ThS L Vn Tun c k bn tho u ca quyn sch ny, v cho rt
nhiu kin ng gp v vic sa cha quyn sch sao cho tt hn. Nh cc kin ,
m chng ti nhn ra v sa cha rt nhiu ch cn thit trong sch.
vi
Mc lc
1
1.1
1.2
1.3
1.4
Lm pht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.5
Li sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.6
13
1.7
Ngoi t v t gi ngoi t
. . . . . . . . . . . . . . . . . . . . . . . .
15
Th trng ti chnh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
19
2.1
19
2.2
Cc sn phm n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
2.3
C phiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
2.4
33
2.4.1
Hp ng k hn v hp ng tng lai . . . . . . . . . . . . . . . . . . .
33
2.4.2
Quyn chn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
35
2.4.3
Hp ng hon i . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
37
2.5
38
2.6
43
47
3.1
47
3.2
50
3.3
55
3.4
58
3.5
nh gi hp ng k hn v hp ng tng lai . . . . . . . . . . . .
62
vii
viii
MC LC
67
67
4.1.1
Li n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
67
4.1.2
70
4.1.3
Li kp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
71
4.1.4
72
4.1.5
74
4.1.6
Li kp lin tc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
74
76
4.2.1
76
4.2.2
78
4.2.3
81
4.2.4
Li sut hon vn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
83
4.3
84
4.4
ng li sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
89
4.5
92
4.6
Cu trc ri ro ca li sut . . . . . . . . . . . . . . . . . . . . . . . .
95
99
5.1
Gi th trng v gi tr tht . . . . . . . . . . . . . . . . . . . . . . .
99
5.2
4.1
4.2
5.2.1
5.2.2
5.3
Cc lc tc ng n gi c phiu . . . . . . . . . . . . . . . . . . . . 111
5.3.1
5.3.2
Tm l th trng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
5.3.3
Cc ngoi lc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
5.3.4
5.3.5
5.4
5.4.1
H s volatility . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
5.4.2
H s beta
5.4.3
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
MC LC
ix
6.1.1
6.1.2
a dng ha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
6.1.3
n by ti chnh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
6.1.4
m an ton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
6.1.5
6.1.6
u t c t chc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
6.2
6.2.1
6.2.2
Bt ng sn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
6.2.3
Cc sn phm n . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
6.2.4
C phiu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
6.2.5
6.3
6.3.1
6.3.2
6.4
6.4.1
6.4.2
6.4.3
6.5
Cc thc o ri ro . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
6.5.1
6.5.2
6.5.3
6.6
. . . . . . . . . . . . . . . . . . . . . . . . . 150
6.6.1
6.6.2
6.6.3
6.7
6.7.1
ng th trng vn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
6.7.2
MC LC
7.1.1
7.1.2
7.1.3
7.1.4
7.1.5
7.2
Martingale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182
7.2.1
7.2.2
7.3
7.3.1
7.3.2
7.3.3
7.3.4
7.3.5
7.3.6
7.4
7.4.1
7.4.2
B It . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
7.5
7.5.1
7.5.2
7.5.3
7.6
7.6.1
o hm RadonNikodym . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
7.6.2
nh l CameronMartin . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
7.6.3
7.6.4
nh l Girsanov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
Quyn chn
8.1
8.1.1
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
MC LC
xi
8.1.2
8.1.3
8.1.4
8.1.5
8.2
. . . . . . . 225
8.2.1
8.2.2
8.3
8.4
8.5
Cc ch ci Hy Lp . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
8.6
xii
MC LC
Chng 1
Mt s khi nim v tin t
1.1
Nh chng ta bit, trn th gii hin ti c nhiu loi tin khc nhau, trong c tin
ng Vit Nam (k hiu: VND), tin Dollar M (k hiu: USD, hay $), tin Euro ca
Chu u (k hiu: EUR), tin Nhn Dn T ca Trung Quc (k hiu: RMB), vn vn.
Cc ng tin khc nhau c chung 3 chc nng sau:
- n v o lng gi tr. Mun nh gi v so snh gi tr ca cc ti sn khc
nhau vi nhau, ngi ta c th quy i chng ra thnh tin. Chng hn mt ci nh no
c tnh gi tr l 10 t VND, cn mt ci t c tnh gi tr l 500 triu VND,
th ci nh s c coi l c gi tr bng 20 ln ci t. Khi ngi ta ni mt t ph no
c 30 t USD, th c ngha l ton b ti sn ca ngi nu qui i ra tin th c
tng cng 30 t USD.
- Trao i hng ha. T hng ha y c dng theo ngha rng, ch mi th
ti sn, sn phm v dch v c th c em trao i. Chng hn mt ngi nng dn
mun i thc ly gch xy nh, th khng cn thit phi mang thc n i trc tip
cho ngi lm gch, m c th bn thc i ly tin ri em tin i mua gch, nh vy
tin li hn, v ngi lm gch c th ang cn th khc ch khng cn thc. Ngi lm
gch s dng tin bn gch mua th mnh cn.
- Tch tr ti sn. V c th d dng i tin ly cc hng ha cn thit vo thi
im cn thit, nn gi tin l mt hnh thc tch tr ti sn dng trong tng lai.
Ni theo ngn ng ti chnh, nhng th ti sn c c c ba chc nng trn th c
gi l tin. Tt nhin, 3 chc nng trn gn lin vi nhau. m nhim c tt 3 chc
1
Xem: http://en.wikipedia.org/wiki/Hyperinflation
i nhiu, v hu ht cc giao dch thng mi trn th gii l dng tin php nh, trong
c hai ng tin quan trng nht vo nm 2010 l USD (khong 60% cc giao dch
ngoi thng c thanh ton bng USD) v EUR (chim khong 30% cc thanh ton
ngoi thng).
Theo Hip c Bretton Wood(2) vo nm 1944, nc M m bo gi tr ca USD
bng cch c nh t gi gia USD l 35USD = 1 lng vng. Nhng n nm 1971 M
phi n phng tuyn b t b t gi c nh , sau mt thi gian di d tr vng
ca M i xung, do cc nc khc, c bit l c v Nht, siu xut khu sang M
i nhiu tin USD m h c c sang thnh vng. Ngy nay, vn c nhng ngi mun
c nh t gi gia tin php nh v vng, nh mt hnh thc chng lm pht v m
bo gi tr ca tin. Tuy nhin, trong nn kinh t hin i, vng cng ch l mt th hng
ha trong s nhiu hng ha thng dng. Vng ch chim mt phn nh (di 1%) tng
gi tr cc ti sn hu hnh trn th gii, ngoi vng ra cn c nhiu th quan trng khc
nh go, du ha, st thp, v.v., v khng c vng th ngi ta vn sng c. Nu ch
c tn vng, m khng tnh n cc ti sn quan trng khc, th s to mt s thin
lch lm km hm s pht trin ca nn kinh t.
1.2
Xem http://en.wikipedia.org/wiki/Bretton_Woods_system
1.3
Theo Hnh 1.1, tng cung tin M2 trn th gii vo nm 2008 (tt c cc loi tin
khc nhau) tng ng vi khong 46 nghn t USD, v tc tng trng cung tin
trung bnh trn th gii hng nm trong giai on 19702008 l vo khong 14%/nm.
1.4
Lm pht
Lm pht (inflation) l khi nim ch s gim gi tr (sc mua) ca tin theo thi
gian. V d, t l lm pht Vit Nam trong nm 2010 l vo khong 10,5%. iu c
ngha l, gi c ca cc hng ha v dch v thng dng Vit Nam tng ln trung bnh
10,5% trong nm 2010, v 110,5 nghn (= (1 + 10.5%) 100000) VND vo thi im cui
nm ch c sc mua bng 100 nghn VND vo thi im u nm.
Mt trong cc cch tnh mc lm pht l: ngi ta dng mt r ti sn, i din
cho cc hng ha v dch v ph bin v quan trng nht, ri tnh gi ca r ti cc
thi im khc nhau. Con s nhn c gi l ch s CPI (consumer price index). T l
thay i ca ch s CPI theo thi gian chnh l t l lm pht. Mi nc c mt cch tnh
ch s CPI khc nhau, da trn mt r hng ha v dch v khc nhau, ph thuc vo
quan nim v nhng g cn cho vo r vi t trng bao nhiu. Theo thng bo ca Ngn
hng nh nc Vit Nam, lng cung tin M2 ca Vit Nam tng 25.3% trong nm 2010.
Vo thi im 01/2010, r tnh CPI ca Vit Nam c kt cu nh trong bng pha sau.
Nhm hng v dch v
T trng (%)
39,93
8,18
24,35
7,40
4,03
7,28
10,01
8,65
5,61
8,87
2,73
IX. Gio dc
5,72
3,83
3,34
Tng cng
100
1.4. LM PHT
Mt s yu t nh hng n cu l:
S tng dn s. V d dn s tng ln ko theo nhu cu v t ai tng ln, nhng
din tch t khng tng ln, v l mt trong nhng nguyn nhn khin gi t
tng ln.
S tng thu nhp. Khi thu nhp trung bnh ca ngi dn tng ln, th nhu cu
ca h cng tng ln. Bi vy nhng nc ang pht trin nhanh v kinh t th c
xu hng lm pht.
Tham nhng. Nhng khon tin do s tham nhng em li (v d nh khot rut
cc cng ty hay cng trnh ca nh nc) cng phi c tiu vo u , v khi
nhng khon ny rt ln, th n gy ra lm pht.
1.5. LI SUT
Chi tiu ca chnh ph. Cc chnh sch kch cu v chi tiu ca chnh ph c th
nh hng trc tip n lng cu. Nu chnh ph chi tiu qu nhiu th to p lc
y gi tng ln.
Lng cung tin. Gi s s lng hng ha v dch v khng thay i, m ch c
lng cung tin tng ln gp i, th tc l c mt lng tin nhiu gp i trc
kia chy theo mt lng hng ha v dch v nh c, v iu ny s y gi ca
hng ha dch v tng dn ln n gp i (nu cc yu t khc khng thay i).
Hnh 1.3 cho thy lng cung tin Vit Nam tng rt nhanh trong thp k u tin
ca th k 21, vi tc cao hn nhiu ln tc tng trng ca nn kinh t. y
l mt trong nhng nguyn nhn chnh gii thch v sao t l lm pht Vit Nam cao
(trung bnh n 9% mt nm) trong giai on .
1.5
Li sut
Khi mt t chc hay c nhn cn tin th c th i vay n bng nhiu kiu khc nhau,
v d nh vay trc tip nh bng, hoc l pht hnh tri phiu. Mt tri phiu l mt
hp ng qui nh bn pht hnh tri phiu phi tr cho bn gi tri phiu nhng khon
tin no vo cc thi im no . Bn gi tri phiu c th hiu l bn cho vay tin
(khon tin cho vay l khon tin tr cho bn pht hnh tri phiu i ly cc tri
phiu ), cn bn pht hnh tri phiu l bn i vay tin (cc khon tin nhn c t
vic pht hnh tri phiu l tin vay c, cn cc khon tin phi tr theo hp ng
ca tri phiu l cc khon tr li v gc cho ch tin vay c ). Vay qua hnh thc
pht hnh tri phiu khc vi vay t ngn hng ch ngi cho vay thng khng phi
l ngn hng, m l nhng t chc hay c nhn c tin d tr mun cho vay, v d nh
cc nh u t nh l hay l cc qu hu tr. Vic vay n bng tri phiu ny ct bt
c trung gian ngn hng, v v th c th c li hn cho c bn cho vay ln bn i vay,
khng b ngn hng n chn gia.
Trong ti chnh, tt c cc khon n theo cc kiu khc nhau, k c tri phiu ln vay
trc tip ngn hng, c gi chung l cc sn phm n. Gi ca cc sn phm n th
hin qua li sut (interest rate), tc l t l gia s tin li phi tr hng nm cho s
tin n ban u. (Nu nh khon n c k hn khc mt nm, th cng qui i ra thnh
t l tin li nu tnh theo nm l bao nhiu). V d, mt ngi vay nh bng 200 triu
VND v sau mt nm phi tr thnh 232 triu VND, trong 200 triu l tin gc cn
10
32 triu l tin li. T l gia tin li v tin gc l 32 chia cho 2, tc l 16%, v con s
ny c gi l li sut.
C nhiu qui c tnh li sut khc nhau (cho ra kt qu khng tng ng), m
chng ta s bn c th hn trong Chng 4. Khi cc nh kinh t ni n li sut m
khng ni c th l tnh theo qui c no, th c hiu l tnh theo qui c li kp theo
nm, hay cn c gi l li sut tri phiu, hay li sut hon vn.
V li sut l gi ca cc sn phm n, nn s thay i ca n cng tun theo qui tc
cung cu trn th trng i vi cc sn phm n. C th k n mt s yu t c nh
hng ln n li sut nh sau:
Lng cung tin. Khi lng cung tin c tng ln, th tc l lng cung cc sn
phm n tng ln, dn n xu hng gim li sut. Hiu ng ny c nh kinh
t Milton Friedman gi l hiu ng lu thng tin (liquidity effect). Tuy nhin,
s tng lng cung tin cng c th dn n xu hng lm pht trong tng lai,
v iu ny th li dn n trin vng tng li sut trong tng lai. Khi t l tit
kim trong nc cao, th tc l cng c nhiu tin cho vay hn, v do li
sut s thp hn, so vi nu t l tit kim thp.
tng trng kinh t. Khi mt nn kinh t ang trong giai on pht trin
nhanh, th thng c li sut cao, cn ngc li khi nn kinh t b chng li hoc
i vo suy thoi, th li sut s c xu hng gim thp xung. Qui lut kinh t ny
c th c gii thch nh sau: khi nn kinh t pht trin nhanh, tc l c nhiu c
hi pht trin, v cc doanh nghip s mun c thm vn pht trin v nm bt
cc c hi , dn n cu v cc sn phm n tng ln. Ngc li, khi nn kinh t
trong giai on tr tr, th cc doanh nghip khng nhn thy nhiu c hi pht
trin, do t c nhu cu v vn pht trin, khin cho cu v n trn th trng
gim xung, v iu ny ko li xut i xung.
Li sut tham chiu ca ngn hng trung ng. Ngn hng trung ng thng
t ra mt mc li sut gi l li sut tham chiu (reference rate), da vo
cc ngn hng thng mi iu chnh cc mc li sut nhn vay v cho vay ca
mnh. Khi ngn hng trung ng tng/gim li sut tham chiu, th li sut cho vay
v li sut huy ng vn ca cc ngn hng thng mi cng s tng/gim theo.
(Xem chi tit hn Mc 1.6).
ri ro v n (default risk). T chc hay c nhn no c mc tn nhim (credit
rating hay credit score) cng cao, tc l c coi l c ri ro v n cng thp,
1.5. LI SUT
11
1+R
R
1=
.
1+
1+
(1.1)
Xem: http://en.wikipedia.org/wiki/Irving_Fisher
12
(1.2)
13
ch yu l do cc chnh ph (M, Anh, Php, Canada, Nht Bn, Italia, c, v.v.) pht
hnh(5) .
1.6
Xem: http://en.wikipedia.org/wiki/Inflation-indexed_bond
14
H thng ngn hng trn th gii hot ng theo nguyn tc gi l fractional reserve
(nguyn tc d tr mt phn). iu c ngha l, khi mt ngi X gi tin vo mt
ngn hng A mt khon tin no , th ngn hng A phi d tr (tc l gi ti ngn
hng trung ng) t nht mt phn ca khon tin theo mt t l do ngn hng trung
ng qui nh, gi l t l d tr bt buc , cn phn cn li c th em cho i tc
Y khc vay.
V d, t l d tr bt buc M l 10% trong nm 2010. Nu mt ngi X c mt
khon tin M no em gi ngn hng no , th ngn hng phi d tr 10%M
ngn hng trung ng, v c th em 90%M cho mt ngi Y vay. Ngi Y c th
khon tin vay mt ngn hng no , v ngn hng li phi d tr 10% ca
90%M ngn hng trung ng, v c th cho mt ngi Z khc vay ch cn li, tc l
0.92 M = 0.81M , v c nh th. Tc l, t mt lng tin ban u l M c gi vo
ngn hng, qua s khuych i ca h thng ngn hng, c th sinh ra mt lng cung
tin tng cng l 10 ln M :
(1 + 0.9 + 0.92 + 0.93 + 0.94 + ...)M = 10M.
H s 10 y gi l h s khuych i, v n bng 1 chia cho t l d tr bt buc.
Nh vy, h thng ngn hng c tc dng lm khuch i lng cung tin ln (n 10 ln,
trong trng hp ca nc M) t nhng khon tin ban u. Nhng khon tin ban u
l nhng khon tin xut pht t chnh ph (thng qua ngn hng trung ng), bi v
pht hnh tin l c quyn ca chnh ph, ch cc ngn hng thng mi khng c
php pht hnh tin.
Chnh ph (c th l di s kim sot ca Quc hi) c quyn pht hnh tin (ni
nm na l in tin), v thng y quyn vic pht hnh cho ngn hng trung ng
thc hin. Khi chnh ph pht hnh tin cho cc t chc v c nhn (i li ly cc ti
sn hay dch v no cho chnh ph), th c ngha l chnh ph n cc t chc v c
nhn cc khon tin . Nu chnh ph lm dng hnh thc in tin vay n, th iu
s lm tng lng cung tin nhanh chng (thng qua s khuych i ca h thng
ngn hng), v iu c th dn n lm pht, thm ch siu lm pht. Kiu in tin
dn n lm pht nh vy l mt hnh thc bt nhn dn (nhng ngi gi tin) phi
min cng ng thu, qua vic tin ca h b gim gi tr i, v gi tr b gim i
chnh l do chnh ph ly mt qua vic in tin. Khi chnh ph mun vay tin mt cch
ng hong hn v khng gy ra lm pht, th c th pht hnh cc tri phiu, thay v
in tin v ti v.
Ngoi vic in tin cho chnh ph, nhim v chnh ca cc ngn hng trung ng l
15
1.7
Ngoi t v t gi ngoi t
16
Vo nm 2011, hai ng tin mnh nht th gii l USD (chim khong 60% cc thanh
ton ngoi thng trn th gii) v ng Euro (chim khong 30% cc thanh ton ngoi
thng). Tuy Trung Quc l nc c nn kinh t ln th hai trn th gii vo nm 2011,
nhng ng RMB ca Trung Quc cha c lit vo danh sch cc ng tin mnh, bi
v n cha tha mn c trng th 3 k trn, tc l cn qu t ngi trn th gii gi tin
RMB, v n cn hu nh cha c dng lm cng c thanh ton ngoi Trung Quc.
Tuy nhin chnh ph Trung Quc ang a ra cc chnh sch nhm bin ng tin RMB
tr thnh ng tin ph bin hn trn th gii.
Cc nc ang cn yu v kinh t, m bo cho ng ni t ca mnh khi b mt
gi, c th thc hin chnh sch c nh t gi (pegging) ng ni t vi mt ng ngoi
t mnh no . V d, nhiu nc chu Phi (Senegal, Cameroon, Benin, Mali, Gabon,
v.v., tng cng 14 nc vo nm 2011) dng ng tin gi l CFA Franc (Franc chu
Phi), c t gi c c nh vi ng Euro l 100 CFA Franc = 1 Franc ca Php trc
khi c Euro = 0.152449 Euro(6) . Mt s nc khc nh Rp X t (Saudi Arabia), Li
Bng (Lebanon), Hng Kng, Bermuda, Panama, Ecuador chn la c nh t gi tin
ni t ca mnh vi ng USD.
Vic c nh (hay gn c nh, vi bin giao ng nh) t gi ca mt ng tin
yu vi mt ng tin mnh i hi phi c k lut trong cc chnh sch tin t v ti
kha (fiscal policies), bi v nu in tin nhiu qu hay vay n nc ngoi nhiu qu th
t dn n mt gi ng tin, khng cn m bo t l gi c nh vi mt ng ngoi
t mnh c na. y l iu xy ra Thi Lan nm 1997, nh du m u cuc
khng hong ti chnh chu giai on 19971998: sau khi vay n qu nhiu v u t
trn lan, vo ngy 02/07/1997 chnh ph nc ny tuyn b th ni ng Baht Thi
v khng gi ni t gi gn c nh vi USD, v ch trong vng t lu sau ng Baht
mt gi n 50% so vi USD (xem Hnh 1.6).
Tnh hnh i vi ng RMB th ngc li: chnh ph Trung Quc cng mun gi
t gi RMB/USD gn nh c nh, nhng gp s phn i ca chnh ph M. M cho
rng (vo nm 2011) t gi RMB/USD qu thp, to ra li th xut khu bt thng cho
Trung Quc, v mun Trung Quc phi tng gi ng RMB ln thnh qung 1USD = 4
(6)
Xem: http://en.wikipedia.org/wiki/CFA_franc
17
RMB hay 5 RMB, thay v 1 USD = 6,5 RMB. Ni mt cch tng qut, khi t gi ng
ni t i xung so vi ngoi t th iu c li cho xut khu, v n lm cho gi thnh
cc mt hng sn xut trong nc tr nn r hn so vi nc ngoi, v ngc li n
gy bt li cho nhp khu. Chnh sch ng tin yu ca Trung Quc (tc l gi t gi
ca RMB thp so vi cc ngoi t mnh) l mt trong nhng nguyn nhn v sao Trung
Quc c xut siu rt ln, n qung 200 t USD mt nm vo nhng nm 20082010.
Vo nhng nm, khi Nht Bn vo tnh hnh tng t, vi xut siu qu ln sang M,
M thnh cng trong vic p Nht Bn nng t gi ng Yn ln 2 ln so vi USD:
t 254 Yn = 1 USD vo u nm 1985 thnh 127 Yn = 1 USD vo u nm 1988.
ng VND ca Vit Nam hin l mt ng tin yu v kh chuyn i nc ngoi.
Vit Nam c chnh sch gi gi ng VND so vi USD (khng phi l c nh gi, m l
cho php giao ng trong bin hp, v thnh thong trt gi vi tc chm). Tuy
nhin, Vit Nam c tng trng cung tin qu cao, ko theo lm pht cao. Trong tnh
hnh nh vy, vic gi gi VND so vi USD khng nhng kh thc hin, m cha chc
c li cho nn kinh t nu gi c gi mc cao, bi v n c th lm cho hng ha
sn xut ti Vit Nam tr nn c gi thnh t so vi th gii, gy kh khn cho sut
khu v kch thch nhp khu, dn n n nc ngoi qu nhiu.
K c gia cc ng ngoi t mnh vi nhau, t gi cng c th c nhng lc giao
ng rt mnh ch khng hn l n nh. V d, ch trong vng 6 thng t 07/2008
n 01/2009, t gi EUR/USD ri t 1,60 xung 1,25 (gim hn 20%) ri li ln trn
1,45 (xem hnh 1.7). Mt phn ca s giao ng mnh ny l do khng hong ti chnh
20082009, nhng mt phn ln s giao ng cng c th ti cho lng u c qu ln
trn th trng chng khon th gii. Trong tnh hnh nh vy, vic c nh t gi ca
18
Chng 2
Th trng ti chnh
Cc th trng ti chnh (financial markets) l ni giao dch cc sn phm ti chnh
(financial products), cn gi l cc cng c ti chnh (financial instruments), trong
c cc loi tin t, cc mn n ngn hng, v cc loi sn phm ti chnh khc, nh c
phiu, tri phiu, hp ng tng lai, v.v., gi chung l cc chng khon (securities).
trong chng ny, chng ta s tm hiu qua v chc nng v cu trc ca cc th trng
ti chnh, cc i tng tham gia th trng ti chnh, v cc loi sn phm ti chnh
c giao dch .
2.1
20
21
22
t khp lnh gia nhng ngi mun mua v mun bn theo mt thut ton m
bo gi ti u cho c bn mua v bn bn, v ti mi thi im trn th trng ch c 1
gi giao dch. cc th trng OTC th khc, khng c mt danh sch lnh chung, m c
nhiu im trao i c phiu khc nhau, vi gi c c th chnh lch nhau. Tuy nhin, vi
s in t ha cc th trng chng khon, trn th gii khng cn c s phn bit ln
gia cc th trng nim yt v th trng OTC, v chng u tr thnh cc trung tm
giao dch in t. K c i vi cc c phiu giao dch OTC, th lnh mua/bn thng
cng c chuyn n trung tm giao dch in t no c gi tt nht, v lnh c th
c chuyn t trung tm giao dch in t ny sang trung tm giao dch in t khc
ch trong tch tc khp lnh. Vit Nam, hai sn chng khon nim yt TP H Ch
Minh v H Ni s dng giao dch in t, v t nm 2009 mt s c phiu OTC ln
cng c giao dch in t thng qua mt mng in t gi l UPCoM. Nhng c phiu
OTC no m cha c giao dch in t th vic mua bn chng cn kh bt tin.
Cc th trng ti chnh cn c th c phn loi theo sn phm ti chnh c giao
dch trn . Mt s loi th trng ti chnh v sn phm ti chnh tng ng ph bin
nht l:
Th trng ngoi hi (foreign exchange, vit tt l FOREX hay FX), l ni mua
bn trao i gia cc loi tin vi nhau (v d nh mua EUR bng USD). Th trng
FOREX l mt th trng khng l, vi tng lng giao dch trn th gii vo khong 1
triu t (1015 ) USD trong nm 2010, gp gn 20 ln tng GDP ca th gii(1) (GDP ca
th gii l vo khong 60 nghn t USD). Lng giao dch ln nh vy khng phi l do
nhu cu i tin thc s ln n vy, m l do ngy nay phn ln lng giao dch trn cc
th trng ti chnh (hn 90%) l do gii u c to ra, mua i bn li nhiu ln nhm
kim li.
Th trng n (debt market), hay cn gi l gi l th trng tri phiu (bond
market), hay th trng thu nhp c nh (fixed income market), l ni giao dch cc tri
phiu, tc l cc chng khon n. Tng gi tr ca cc tri phiu trn cc th trng th
gii t khong khong 91 nghn t USD vo nm 2009(2) , trong th trng M chim
39% v th trng Nht chim 18%.
Th trng tin t (money market) l th trng chuyn v cc sn phm n ngn
hn (thi hn di 1 nm) v c tnh thanh khon v an ton cao gn nh l tin mt,
v d nh cc tn phiu ngn hn ca chnh ph. Th trng ny thch hp cho cc u
(1)
(2)
Xem: http://en.wikipedia.org/wiki/Foreign_exchange_market
Xem: http://en.wikipedia.org/wiki/Bond_market
23
Xem: http://en.wikipedia.org/wiki/Derivative_(finance)
24
t, vi cc con s hin ln trong ti khon, ch khng cn trao tay trc tip cc t giy
na. Vic in t ha cc chng khon v cc th trng chng khon khin cho vic qun
l v giao dch chng khon tr nn thun tin v hiu qu hn nhiu so vi trc kia,
v gp phn quc t ha cc th trng chng khon. V d, c phiu ca cng ty LDK
Solar ca Trung Quc (chuyn sn xut cc h thng in nng lng mt tri) li c
nim yt th trng chng khon New York (NYSE) M, v mt ngi ngi Php
c th t cc lnh mua bn c phiu LDK Solar ny trc tip trn NYSE qua internet.
Cc giao dch in t trn cc th trng chng khon khng phi l c thanh ton
trc tip gia ngi mua v ngi bn trn th trng, m l thng qua trung tm
thanh ton (clearing center). Vit Nam, trung tm thanh ton ny c gi l Trung
tm lu k chng khon Vit Nam. V d, mt ngi A trong 1 ngy mua 300 c phiu
XYZ t mt ngi B v sau bn 200 c phiu XYZ cho ngi C, th khng c ngha l
A nhn c trc tip ca B 300 c phiu XYZ ri phi chuyn li trc tip cho C 200 c
phiu XYZ. Trong ngy , tnh tng cng li, A mua 100 c phiu (= 300 200), v A
s nhn c 100 c phiu t trung tm thanh ton (ch khng phi trc tip t B), v
cng khng phi chuyn cho C c phiu no, v c trung tm thanh ton lm vic . V
trung tm thanh ton mt thi gian lm cc cng vic cng tr s lng chng khon
cho cc bn, nn sinh ra cc nguyn tc nh kiu T+2 (tc l 2 ngy sau khi thc hin
mt lnh mua/bn chng khon th mi thanh ton xong cho lnh ).
Trong cc mc di y, chng ta s bn thm v mt s loi chng khon ph bin
nht v cc th trng ca chng.
2.2
Cc sn phm n
2.2. CC SN PHM N
25
bng mnh gi. Tn phiu kho bc c tnh thanh khon cao nht trong s cc cng c
ca th trng tin t do chng c mua bn rng ri nht. Loi tn phiu ny cng l
cng c th trng tin t an ton nht do khng c kh nng xy ra v n, v cng lm
th chnh ph c th in tin tr n cho loi tn phiu ny. Phn ln tn phiu kho bc
c cc trung gian ti chnh, c bit l cc ngn hng, nm gi. Ngn hng trung ng
ca cc nc thng s dng vic mua/bn tn phiu kho bc trn th trng m nh l
mt cng c iu hnh chnh sch tin t.
Thng phiu (commercial papers) l mt cng c n ngn hn c cc ngn hng
ln v cc cng ty ln c uy tn cao, v d nh General Electric, pht hnh. S tng
trng ca th trng thng phiu kh n nh: tng s d ca thng phiu tng hn
1200% (t 122 t la n 1544 t la) trong khong thi gian 1980 2005.
Chng ch tin gi (certificates of deposit, vit tt l CDs) l mt loi cng c n
ch yu do cc ngn hng pht hnh, c k hn (vi cc k hn thng l 3 thng, 6
thng, hoc l t 1 n 5 nm), c c bo him (k c khi ngn hng ph sn, th ngi
gi CD vn c hon li tin), v bi vy cng an ton nh l tin mt. i vo chi tit
hn th c nhiu loi CD khc nhau(4) . Mt s loi CD c th c giao dch trn th
trng chng khon th cp. Th trng chng ch tin gi (tnh ring M nm 2010
l khong 2 nghn t USD) l mt ngun ln cc nh bng v cc trung tm ti chnh
huy ng vn.
Chp phiu ngn hng (bankers acceptances, vit tt l BAs) l mt loi hi phiu
do cng ty pht hnh v c ngn hng chp nhn thanh ton bng cch nh du chp
nhn ln hi phiu. N tng t nh l mt tm sc c m bo ca ngn hng l s
c thanh ton trong tng lai, v c s dng trong cc thng v mua bn quc t
(4)
Xem: http://en.wikipedia.org/wiki/Certificate_of_deposit
26
t hng trm nm nay. Cng ty phi np mt khon l ph cho ngn hng (mt th l
ph bo him) hi phiu c ng du chp nhn. Nu nh sau cng ty khng c
tin thanh ton chp phiu ngn hng ca mnh, th ngn hng s phi ng ra thanh
ton khon tin . Cc chp phiu ngn hng ny d c cc i tc nc ngoi chp
nhn v c bo him ca ngn hng. Cc chp phiu ngn hng hay c bn li gim
gi trn th trng th cp, tng t nh l tn phiu kho bc.
Hp ng mua li chng khon (repurchase agreements, vit tt l repos) l cc
hp ng cho vay, thng c k hn thanh ton ngn, trong mt s chng khon (nh
tn phiu hay c phiu) c em ra lm ti sn th chp, tc l ti sn m ngi cho
vay s nhn c nu ngi i vay khng tr c n. V d, mt ngn hng c th vay
cng ty Microsoft 1 triu USD trong 2 tun bng cch lm mt hp ng repo, trn danh
ngha l bn cho Microsft 1 triu USD tn phiu kho bc v ha mua li ch tn phiu
vi gi cao hn mt cht sau 2 tun. Nhng nh cho vay quan trng nht trn th trng
repo ny l nhng cng ty ln.
Qu d tr bt buc ( ngn hng trung ng, M gi l FED Funds). Mt
ngn hng, khi s tin d tr ngn hng trung ng gim xung di mc ti thiu
bt buc, c th vay ngn hn (tng ngy mt, gi l vay qua m) t mt ngn hng
khc ang c s tin d tr ngn hng trung ng cao hn mc bt buc, b cho
khon d tr bt buc ngn hng trung ng. Li sut vay qua m cho cc khon
vay cho d tr bt buc ny l thc o cng thng ca th trng tn dng trong h
thng ngn hng: khi li sut ny cao th tc l cc ngn hng ang rt kt tin trong
ngn hn.
Eurobonds l tn gi cc tri phiu c pht hnh theo mt ng tin khc vi ng
tin s ti ca ni pht hnh (ch n khng cn c g lin quan chu u hay ng Euro).
V d, mt tri phiu tnh theo USD do chnh ph Vit Nam pht hnh Singapore cng
c gi l Eurobond. n 80% cc tri phiu pht hnh trn th gii ngy nay l loi
Eurobonds (trong c cc tri phiu ngn hn).
Cc sn phm n di hn hn (thuc v th trng vn, thay v th trng tin t)
gm c nhng loi chnh nh sau:
Tri phiu chnh ph (government bonds) do cc chnh ph pht hnh, trang
tri cho cc thiu ht trong ngn sch ca chnh ph, thng l loi tri phiu c giao
dch nhiu nht trn th trng, tc l c tnh thanh khon cao nht. Cc tri phiu chnh
ph thng c coi l c ri ro v n thp hn so vi cc tri phiu khc trong nc.
Ngoi ra cn c tri phiu chnh quyn a phng, hay cn c gi l tri phiu
2.2. CC SN PHM N
27
28
2.3
C phiu
Xem: http://en.wikipedia.org/wiki/Collateralized_debt_obligation
2.3. C PHIU
29
30
2.3. C PHIU
31
32
gn 900 t USD(6) .
C nhiu ETFs khc nhau, u t vo cc loi chng khon hay ti sn khc nhau, v
do nh u t c th chn mua bn c phiu ca ETF no nh l mt hnh thc
u t vo loi ti sn hay chng khon tng ng. Mt s v d trn th trng M:
- Qu u t theo ch s S&P500, vi m chng khon SPY. C phiu SPY l c phiu
c tnh thanh khon cao nht trn th gii.
- Qu u t tri phiu di hn, vi m chng khon TLT. Thay v mua cc tri phiu
chnh ph di hn, c th mua TLT, s c mc li nhun tng t, m li c th c
l ph giao dch r hn l nu mua thng cc tri phiu, v c th mua s lng nh
hn so vi nu mua tri phiu.
- Qu u t vo vng, vi m chng khon GLD. Thay v mua bn vng (l mt
cng vic lch kch hn), c th u c gi vng bng cch mua bn GLD trn th trng
c phiu.
(6)
Xem: http://en.wikipedia.org/wiki/Exchange-traded_fund
2.4
33
2.4.1
Hp ng k hn v hp ng tng lai
Hnh dung mt tnh hung sau: mt cng ty xy dng s cn nhiu thp cho cc hp
ng xy dng c k t trc nhng c giai on n nm sau mi trin khai, vi gi
thnh xy dng c c nh trong hp ng. Cng ty s khng tch tr thp t by
gi nm sau dng, v lm nh vy s va kt tin va tn cng bo qun. Th nhng,
nu i n nm sau mi mua thp cho nhu cu ca nm sau, th s c mt ri ro l gi
thp trn th trng c th tng mnh, lm cho li nhun ca tng ty tr nn bp bnh.
gim thiu s bp bnh , cng ty c th k mt hp ng vi mt cng ty sn xut
hay thng mi thp, mua thp cho nm sau, n nm sau mi trao hng v gi tin,
nhng c nh gi t by gi. Mt hp ng kiu nh vy gi l mt hp ng k hn
(forward contract), hay cn gi l hp ng t trc. i vi cng ty sn xut thp,
vic k cc hp ng k hn bn thp cng c li l lm o bo doanh thu, gim
c ri ro v doanh thu nu nh gi thp gim i trong nm ti.
Theo ngn ng ti chnh, mt hp ng k hn (forward contract) l mt hp ng
mua bn mt mt hng no , vi mt gi n nh no gi l gi k hn (forward
price), vo mt thi im no trong tng lai (k hn ca hp ng), gi l thi im
giao hng (delivery time). Cc hp ng k hn (nu c dng ng n) c tc dng
gip cho c bn mua ln bn bn gim thiu c ri ro v bin ng gi c, kim sot
c tt hn tnh hnh ti chnh.
Hu nh mt hng no cng c th tr thnh i tng ca hp ng k hn. Nu
mt hng l mt loi chng khon, v d nh c phiu ca mt cng ty no , th hp
ng k hn tr thnh mt loi chng khon phi sinh t c phiu .
Cc hp ng k hn ng vai tr quan trng trong qun l ti chnh, nhng chng
vn i km mt s ri ro nh:
- Ri ro v i tc: mt trong hai bn k hp ng k hn c th b ph sn, hay n
phng ph hp ng, gy thit hi cho bn kia.
- Ri ro v thanh khon: kh khn trong vic chuyn nhng hp ng, nu nh i
34
35
Do thanh ton bng tin thay v bng hng, tnh thanh khon cao tin li cho vic
mua bn, v do yu cu vn ti thiu (margin requirement) m bo hu nh khng c
ri ro v i tc, nn nhiu hp ng tng lai (c bit l cho cc loi hng ph bin
nht nh du ha v vng) tr thnh cc cng c u c ln c gii u c a thch.
V d c rt nhiu ngi khng h c nhu cu v du ha, nhng vn u c gi du ha
theo cc hp ng tng lai. Vic u c ny dn n s bin ng gi c rt mnh ca
nhiu mt hng thng dng.
Phn ln cc giao dch trn th trng commodities l cc giao dch hp ng tng
lai. C th xem gi c cho hp ng tng lai ca cc mt hng ph bin trn nhiu trang
web khc nhau, v d nh Wall Street Journal(7) , CNN money(8) , v.v. Ngoi hp ng
tng lai cho commodities, trn th trng ti chnh cn c cc hp ng tng lai cho
cc th khc, v d nh hp ng tng lai cho tri phiu chnh ph, hp ng tng lai
cho ch s S&P500, hp ng tng lai cho ngoi t, v.v.
2.4.2
Quyn chn
(7)
Xem http://online.wsj.com/mdc/public/page/mdc_commodities.html
Xem http://money.cnn.com/data/commodities/
(9)
Xem http://en.wikipedia.org/wiki/Option_(finance)
(8)
36
Symbol
Last
Chg
Bid
Ask
Vol
Open Int
12.00
BAC110416C00012000
1.91
+ 0.01
1.89
1.91
1011
4585
13.00
BAC110416C00013000
1.18
+ 0.01
1.17
1.19
2372
9719
14.00
BAC110416C00014000
0.66
+ 0.03
0.65
0.66
27321
52210
15.00
BAC110416C00015000
0.33
+ 0.02
0.33
0.34
6859
46497
Symbol
Last
Chg
Bid
Ask
Vol
Open Int
12.00
BAC110416P00012000
0.29
+ 0.03
0.28
0.29
907
31596
13.00
BAC110416P00013000
0.56
+ 0.05
0.56
0.57
4243
40087
14.00
BAC110416P00014000
1.03
+ 0.06
1.03
1.05
2950
22739
15.00
BAC110416P00015000
1.72
- 0.05
1.71
1.73
776
7696
37
2.4.3
Hp ng hon i
38
2.5
39
40
41
42
(11)
Xem: http://en.wikipedia.org/wiki/Long-Term_Capital_Management
2.6
43
1980
2005
1481
9156
792
1750
Cc qu tn dng
67
688
464
4351
182
1242
Cc qu lng hu t nhn
504
4527
Cc qu lng hu nh nc
197
2661
Cc cng ty ti chnh
205
1439
Cc qu u t chng khon
70
5882
Cc qu th trng tin t
76
1877
Xem http://en.wikipedia.org/wiki/Basel_Accords
44
nhiu ngi dn mt tin oan. ngn chn tnh trng , M thit lp t chc bo
him tin gi lin bang (FDIC) vo nm 1933, c nhim v bo him cho cc ti khon
tin gi cc ngn hng, v cc ngn hng phi ng tin bo him cho FDIC. T nm
2008, s tin ti a m FDIC bo him cho mi ti khon tin gi l 250 nghn USD.
Hn ch li sut. C cc qui nh v vic cm cc trung gian ti chnh khng c
vay hay cho vay vi li sut cao hn nhng mc no . Cc qui nh ny c th nhm
bo v ngi i vay khi b bc lt. Cc qui nh v li sut ny cng c th xut pht t
quan im iu tit hot ng ca cc ngn hng, nhm ngn chn s cnh tranh qu
ng v li sut gia cc ngn hng (c nguy c lm nhiu ngn hng ph sn).
Hn ch tip cn. C cc qui nh v cc iu kin ti thiu c php tham
gia nhng mng no trn th trng ti chnh. V d, mt nh u t cn c vn ti
thiu l bao nhiu c tham gia nhng loi hnh u t mo him cao. Mt ngi
phi c cc chng ch hnh ngh nhn c qua cc k thi no chng t trnh
mi c php lm cc cng vic trung gian ti chnh no . Mt ngn hng mun c
thnh lp phi c s vn ti thiu no , v mt lng ti thiu nhn vin c nghip
v ngn hng, v.v.
Minh bch thng tin. C cc qui nh v vic cc thng tin quan trng lin quan
n gi tr ca cc sn phm ti chnh phi c cng b mt cch minh bch. Nhng
qui nh ny nhm gim thiu tnh trng thng tin bt i xng, m bo quyn li cho
cc bn tham gia th trng ti chnh. V d, theo qui nh ca cc y ban chng khon
(l c quan chnh ph kim sot hot ng ca th trng chng khon), cc cng ty c
phn c c phiu giao dch trn cc sn chng khon phi thng bo cng khai bng cn
i k ton ti chnh nh k hng qu, v thng bo cng khai cc tin tc quan trng
khc lin quan trc tip n gi tr ca c phiu ca cng ty.
Kim ton c lp. m bo cc thng tin ti chnh cng b c trung thc v
khng c gian ln, trn th gii c cc cng ty kim ton (audit firms), c chc nng kim
tra s sch ca cc cng ty khc. Tng doanh thu (t dch v kim ton c lp) ca bn
cng ty kim ton ln nht th gii (Deloitte Touche Tohmatsu, PricewaterhouseCoopers,
Ernst & Young, KPMG)(13) trong nm 2010 ln n gn 100 t USD, chng t nhu
cu v kim ton trn th gii rt ln.
i km vi vic yu cu minh bch thng tin l chng giao dch ni gin v chng
lng on th trng. Nu nh c nhng ngi tay trong (v d mt gim c iu
hnh ca mt cng ty, hay ngi nh ca gim c) m giao dch c phiu ca cng ty
(13)
Xem http://en.wikipedia.org/wiki/Big_Four_(audit_firms)
45
da trn thng tin quan trng nh hng ln n gi tr c phiu ca cng ty, m thng
tin cha c cng b ra ngoi, th b phm ti giao dch ni gin (insider trading),
c th b x t theo lut hnh s. C nhng nhn vt ni ting, v d nh b Martha
Stewart(14) , cng tng b x t v giao dch ni gin. Lng on th trng l khi c
mt nhm ngi c tnh lng on gi chng khon (v d nh thi gi ca mt chng
khon no ln mc cao bt bnh thng trong mt thi gian ngn, qua cc hnh thc
nh t mua t bn cho chnh mnh lm gi, tung cc tin n hay bo co phn tch
rm, v.v.), qua kim li v gy thit hi cho cc nh u t khc. Tuy rng cc c
quan kim sot c iu tra v cc hin tng lng on th trng, nhng n vn hay xy
ra trn th gii, v th trng hay chng khon no cng nh th cng d b lng on,
gy thit hi cho cc nh u t.
(14)
Xem http://en.wikipedia.org/wiki/Martha_Stewart
46
Chng 3
Kinh doanh chnh lch gi
3.1
48
th X 0 tr thnh 39$ cng vi tin li sut 39 0.25% 0.1 $, tc l qung 39.1$, trong
khi X tr thnh 40$. Tht vy, nu gi ca S lc trn 40$ th P lc c gi tr
bng 0, v S tr C chuyn thnh 40$ v c phiu b gi i theo gi 40$, tc l ngi
gi Call C lc s s dng quyn mua vi gi 40$ ca mnh i C cng 40$ ly S.
Ngc li, nu gi ca S lc di 40$, th Call C khng c gi tr g (khng ai dng
C mua S vi gi 40$ lm g, khi c th mua trn th trng vi gi r hn), nhng khi
c th i S cng P ly 40$, tc l s dng quyn Put bn S theo gi 40$, v bi
vy X lc vn tr thnh 40$. Nh vy, vo thi im hin ti th X v X 0 c gi bng
nhau l 39$, nhng sau 1 thng th X thnh 40$ trong khi X 0 ch thnh 39.1$ d tnh
hung no xy ra, v do c mt c hi arbitrage gia X v X 0 . Trong thc t, c xy
ra nhng c hi arbitrage kiu nh vy trn th trng chng khon th gii.
Mi s bun bn tt nhin da trn chnh lch gi. V d nh cc ca hng mua
vo vi gi thp hn l gi bn ra, cc nh bng vay tin vo vi li sut thp hn l li
sut cho vay li. Th nhng, cc ca hng v nh bng vn c chu mo him v gi: cc
ca hng c th b hng khng bn c vi gi d nh, cc nh bng c th b kt
tin phi vay gii li sut cao hn l li sut cho ngi khc vay, v.v. tng chnh
ca kinh doanh chnh lch gi l kinh doanh m khng phi chu mo him (hoc rt t
mo him) v gi. Tt nhin, k c khi khng c mo him v gi, th vn cn nhng ri
ro khc, v d nh ngi mua khng chu tr tin, ngi bn khng chu giao hng, v.v.
Nhng y ta s tm thi b qua cc ri ro , coi n l nh khng ng k, v ch ch
n gi.
Ni mt cch hnh thc ton hc, ta c th nh ngha nh sau:
nh ngha 3.1. Ta ni rng trn mt th trng no c c chnh th gi, hay
c c hi kinh doanh chnh lch gi, ti thi im T0 (thi im hin ti), nu nh
c th thit lp mt r ti sn Y , trong c th c c cc ti sn vi s lng dng
(gi tr dng) ln cc ti sn c s lng m (gi tr m), sao cho tng gi tr ca Y ti
thi im T0 bng 0, th nhng tng gi tr ca Y ti mt thi im T1 > T0 (tc l li
nhun ca chin lc ny ti thi im tng lai T1 ) l khng m d bt k tnh hung
no xy ra, v c k vng l s dng.
Mt chin lc lp r ti sn Y vi li nhun lun khng m v k vng li nhun
l s dng nh trong nh ngha trn c gi l mt chin lc kinh doanh chnh
49
YT1 dp > 0.
50
0:
R = x.VX + y.Vy + z.VZ (x + y + z).
y, VX , VY , VZ l gi tr ca v cc con nga X, Y, Z, v x, y, z l cc s lng v (c
th l s m). Ti thi im T0 ta c gi tr ca VX , VY , VZ u bng 1. Ti thi im T1
(sau khi cc con nga chy, v c 1 con thng), c 3 tnh hung c th xy ra: nu X
thng th VX = 2 v VY = VZ = 0, nu Y thng th VY = 3 v VX = VZ = 0, nu Z thng
th VZ = 4 v VX = VY = 0. Ti thi im T1 , gi tr ca r ti sn R l mt trong 3 s
sau, ty tnh hung xy ra: 2x (x + y + z), 3y (x + y + z), v 4z (x + y + z). Cu
hi l c tn ti mt chin lc lun thng, tc l c tn ti x, y, z sao cho gi tr ca R
ti thi im T1 lun ln hn 0 d tnh hung no xy ra, hay ni cch khc,
min{2x (x + y + z), 3y (x + y + z), 4z (x + y + z)} > 0?
Cu tr li l c, v d x = 6, y = 4, z = 3. Tc l nu ta bn v cc con nga
X, Y, Z theo t l 6 : 4 : 3, th s lun thng, d con nga no thng cuc. C ngha l,
tn ti chin lc arbitrage mnh trong tr c nga ny.
Trong v d c nga pha trn, thng ch c nh ci s dng c chin lc kinh
doanh chnh lch gi, v nhng ngi chi c cc bnh thng khng t cc c
vi s lng m. Trn th trng chng khon th bnh ng hn, v mi khi c c hi
arbitrage th nhiu nh u t c th tham gia ch khng ch c nh ci. Cng chnh
v s bnh ng ny, nn cc c hi arbitrage trn th trng chng khon tuy c xy
ra nhng thng mc nh, v nu c c hi ln, th s c nhiu nh u t cnh
tranh vi nhau tn dng n, khin cho n nh li. Trong m hnh th trng hiu
qu l tng ho, ngi ta coi rng khng c c hi kinh doanh chnh lch gi. chnh
l nguyn l no-arbitrage. Nguyn l ny l c s cho hu ht cc cng thc nh gi
trong ton ti chnh, c bit l cho cc sn phm ti chnh phi sinh. Khi m gi cc
chng khon trn th trng khng tho mn nguyn l no-arbitrage, th c ngha l th
trng b mt thng bng, v c c hi kinh doanh chnh lch gi.
3.2
51
b xc sut khng suy bin trn tp hp cc tnh hung c th xy ra, sao cho i vi
phn b xc sut , th mi chin lc kinh doanh u c k vng li nhun bng 0.
Tt nhin hai kh nng ny loi tr ln nhau, v mt chin lc kinh doanh chnh lch
gi s c k vng li nhun l dng ch khng th bng 0, d l c thay i phn b
xc sut. Trong trng hp th hai, th phn b xc sut ny c gi l phn b xc
sut trung ha ri ro (risk-neutral probability distribution), hay cn gi l o xc
sut martingale (chng ta s gii thch nhng phn sau v sao n c gi nh vy).
pht biu chnh xc nh l kinh doanh chnh lch gi, ta s xt m hnh sau: th
trng c n loi ti sn X1 , . . . , Xn , giao dch ti hai thi im T0 v T1 > T0 . Khng
gian cc tnh hung c th xy ra ti thi im T1 , k hiu l , l mt khng gian hu
hn vi m phn t: = {1 , . . . , m }. Ti thi im T0 , ngi kinh doanh cha bit tnh
hung no s xy ra ti thi im T1 trong s cc tnh hung j . Nu nh mua 1 n v
ti sn Xi ti thi im T0 v bn li n ti thi im T1 , th li nhun (return) thu c
ti thi im T1 s l rij nu nh tnh hung j xy ra (cc con s rij c th l dng
hoc m, tc l c th li hoc l). Mt chin lc kinh doanh (hay t cc) s c xc
nh bi mt vector x = (x1 , . . . , xn ) Rn , gi l vector chin lc (hay gi vn tt
l chin lc x), ng vi vic mua (hoc bn) xi n v ti sn Xi ti thi im T0 v
bn (hoc mua) li n ti thi im T1 vi mi i = 1, . . . , n. y xi c th dng hoc
m hoc bng 0, nu m th c ngha l bn mt lng |xi | ti sn Xi ti thi im T0
v mua li n ti thi im T1 . Nu tnh hung j xy ra vo thi im T1 , th li nhun
ca chin lc x l:
R(x) = Rj (x) =
n
X
xi rij .
(3.1)
i=1
m
X
pj Rj (x) =
j=1
m X
n
X
j=1 i=1
xi rij pj =
n
X
i=1
m
X
xi (
rij pj ).
(3.2)
j=1
52
(3.3)
rij pj = 0 vi mi i = 1, 2, . . . , n.
(3.4)
j=1
Chng minh. D thy rng hai khng nh trong nh l trn loi tr ln nhau, nn khng
th c hai u ng cng mt lc. Ta s chng minh rng c mt trong hai khng nh
l ng.
K hiu P() l tp hp tt c cc phn b xc sut trn (k c cc xc sut suy
bin). Mi phn t ca P() c th coi l mt b m s p = (p1 , . . . , pm ) khng m c
tng bng 1 (xc sut ca phn t i bng pi ).
Gi I l tp hp con cc phn t ca tp cc ch s {1, 2, . . . , m}, sao cho vi mi
i I tn ti t nht mt xc sut trung ha ri ro (c th suy bin) (p1 , . . . , pm ) P()
vi pi > 0. C mt v ch mt trong 3 trng hp sau xy ra:
1) I = l tp rng. y l trng hp khng tn ti xc sut trung ha ri ro no,
k c suy bin.
2) I = {1, 2, . . . , m}.
3) =
6 I 6= {1, 2, . . . , m}.
Trng hp 1 : Ta s chng minh rng trong trng hp ny tn ti mt chin lc
arbitrage mnh (v do khng nh th nht ca nh l ng trong trng hp ny).
Vi mi p P(), xt vector
p.(rij )T =
m
X
j=1
r1j pj , . . . ,
m
X
!
rnj pj
(3.5)
j=1
53
(3.6)
(3.7)
n
X
xi rij > 0,
(3.8)
i=1
54
55
3.3
Xem http://en.wikipedia.org/wiki/Leonid_Kantorovich
56
vi
x=
x1
x2
1
0
0
,c = 3 4 ,A =
1 1 , b = 10 .
0 1
8
57
j=1
58
Bi tp 3.3. Xt bi ton qui hoch tuyn tnh: tm max 10x1 + 7x2 vi iu kin
!
3 3 2 0
3 4 12 5 .
x1 x2
11 0 4 3
Vit bi ton i ngu ca bi ton trn, ri gii hai bi ton.
3.4
Tuy rng, trn thc t, c cc c hi arbitrage trn th trng ti chnh, nhng chng
thng nh v khng ko di qu lu, bi v mi khi c cc c hi nh vy, th s c cc
c nhn hay t chc tm ra v tn dng cc c hi kim li, v hnh ng mua
bn ca nhng ngi ny s khin cho gi c iu chnh li, n mc khng cn c hi
arbitrage na. Trong mt th trng c tnh thanh khon cao, vi rt nhiu ngi tham
gia, chng ta c th hnh dung l cc c hi arbitrage s nh n mc c th b qua.
Ni cch khc, chng ta s coi rng nguyn l no-arbitrage c tha mn, c
ngha l khng c c hi arbitrage, trong cc th trng (c l tng ha) m chng ta
xt n. Tt c cc cc nh l ton ti chnh, m chng ta s bn n trong quyn sch
ny, v vic nh gi cc chng khon, hay l v quan h gi gia cc chng khon khc
nhau, s da trn nguyn l no-arbitrage.
nh kinh doanh chnh lch gi 3.2 c th c pht biu li nh sau:
nh l 3.4. Vi gi thit l th trng tha mn nguyn l no-arbitrage, lun tn ti
mt phn b xc sut trung ha ri ro (risk-neutral probability distribution) khng
suy bin trn khng gian tt c cc tnh hung c th xy ra.
Nhc li rng, theo nh ngha, k vng li nhun ca mi chin lc theo xc sut
trung ha ri ro u bng 0.
V d 3.4. Gi s mt cng ty cng ngh sinh hc nh, ang tp trung nghin cu mt
loi thuc chng ung th, c gi c phiu ngy hm nay l 10$. Sau gi ng ca th
trng ngy hm nay, cng ty s cng b kt qu nghin cu loi thuc chng ung th
. Gi s ta bit rng s c mt trong hai tnh hung xy ra:
a) Tnh hung thuc c tc dng, vi xc sut xy ra l 60%, v nu xy ra th gi c
phiu ngy hm sau s tng ln thnh 16$.
b) Tnh hung thuc khng c tc dng, vi xc sut xy ra l 40%, v nu xy ra th
gi c phiu ngy hm sau s gim cn 5$.
59
60
61
62
3.5
nh gi hp ng k hn v hp ng tng lai
(3.9)
63
2) Cho vay s tin S(0) vi li sut R (tnh li kp tr theo nm), sau thi hn T th
s tin S(0) tr thnh (1 + R)T S(0), v em s tin i ly mt hng ti thi im T
theo hp ng k hn. ( y, n gin, ta gi thit l ai cng c th vay hoc cho
vay vi li sut R).
Hai chn la phi cho kt qu tng ng, tc l ta phi c F (0, T ) = (1+R)T S(0),
bi v nu F (0, T ) > (1 + R)T S(0) th ngi mua s ch chn la phng n th nht, tc
l mua ngay, ch khng chu mua theo hp ng k hn, v tnh ra mua theo hp ng k
hn nh vy tn km hn. Ngc li, nu F (0, T ) < (1 + R)T S(0) th khng ai chu d tr
mt hng ny t thi im hin ti cho n thi im T na (tri ngc vi gi thuyt l
mt hng ny c lng d tr ln), m s tm cch bn n i ti thi im hin ti, ly
tin em cho vay t thi im hin ti n thi im T , ri mua li ti thi im T ,
c li hn. Vic bn i theo gi hin ti v mua li theo hp ng k hn nhm kim
li khin cho gi hin ti gim i v gi k hn tng ln, cho n khi t s cn bng,
tc l khi F (0, T ) = (1 + R)T S(0). Ni cch khc, nu F (0, T ) > (1 + R)T S(0) th c mt
c hi kinh doanh chnh lch gi nh sau: vay 1 khon tin S(0) vi li sut R, mua hng
vi s tin , ri lm hp ng k hn bn hng i vi gi k hn F (0, T ). Nh
vy vo thi im 0 th khng phi b ra ng no (tin vay bng tin mua hng), v vo
thi im T th thu c F (0, T ) (1 + R)T S(0) tin li (sau khi bn hng theo hp
ng k hn, v tr ht n k c tin li sut). Nu F (0, T ) < (1 + R)T S(0) th cng c
c hi arbitrage ngc li: vay hng (vi gi s l s vay ny khng phi tr li, nu nh
sau k hn T tr ng mt hng v s lng nh c) bn i ly tin, cho vay tin, n
k hn T ly li tin, mua hng theo hp ng k hn k t thi im 0, tr li hng,
v c li. Bi vy, vi gi s l nguyn l no-arbitrage c tha mn, th ta phi c
F (0, T ) = (1 + R)T S(0).
i vi mt s mt hng nh st thp, du ha, vng, c phiu khng tr c tc, th
cng thc gi k hn pha trn kh l chnh xc. Nhng cng c nhng mt hng m
cng thc trn khng cn chnh xc, bi v chng khng tha mn cc tnh cht i hi,
chng hn nh:
- Cc mt hng kh bo qun. Hoa ti l mt v d. Gi hoa ti thng t hn
vo dp l so vi ngy thng, nhng khng th mua sn hoa ti trc 3 thng s
dng vo ngy l c. Bi vy nu k hn ri ng vo dp l, th gi k hn c th t
hn nhiu gi hin ti.
- Cc mt hng c xu hng gim gi nhanh chng theo thi gian. V d nh, ta c
th k vng l, 1 gigabyte b nh my tnh sau hai nm s c gi thp hn gi hin ti,
64
(3.10)
(3.11)
hay l
Tht vy, mt ngi c th mua c phiu vi gi S(0) ti thi im hin ti, ng thi
lp hp ng k hn bn n ti thi im T vi gi F (0, T ), v khi n thi im t
nhn c c tc D th em cho vay c tc ny vi li sut R. Khi n thi im T , s
c tng cng s tin l F (0, T ) + (1 + R)T t D sinh ra t S(0) vo thi im 0. Hoc ngi
c th cho vay khon tin S(0) vo thi im 0, th n thi im T s c thnh
khon tin (1 + R)T S(0). Theo nguyn l no-arbitrage, th hai cch phi cho cng hiu
qu ti chnh, tc l ta phi c ng thc F (0, T ) + (1 + R)T t D = (1 + R)T S(0).
Trong trng hp m c phiu tr c tc nhiu ln trong giai on trc k hn, th
ta cng c cng thc tng t nh trn tnh gi k hn:
X
F (0, T ) = (1 + R)T S(0)
(1 + R)T ti Di ,
(3.12)
65
(3.13)
66
nn ta cng c th vit:
V (t) = S(t) F (0, T )(1 + R)(T t) .
(3.14)
Chng 4
Li sut v tri phiu
Trong chng ny, chng ta s nghin cu mt s kha cnh c bn ca cc loi li
sut, cc cch tnh ton vi chng, cu trc ca chng, v nh hng ca chng n gi
tr ca dng tin t nhn c trong tng lai, cng nh n cc sn phm n nh l tri
phiu.
4.1
C nhiu qui c o li sut khc nhau, cng l mt sn phm ti chnh nhng khi
tnh li sut theo cc qui c khc nhau s ra cc mc li sut danh ngha (nominal
interest rate) khc nhau! Bi vy khi ni n li sut cn phi ni c th hn l li sut
c tnh theo qui c no. Trong phn ny chng ta s bn n mt s qui c tnh
li sut thng dng nht, trong c: li n (qui c ca cc khon vay ngn hn trn
th trng tin t), li chit khu (qui c ca mt s sn phm n ngn hn nh thng
phiu v tn phiu kho bc), li kp theo nm (cn gi l li sut hiu dng, hay li sut
theo tri phiu), v li kp lin tc (l cch tnh thun tin nht trong vic phn tch
nhiu sn phm ti chnh phi sinh). Khi tnh ton vi li sut, cn phi bit l sn phm
ti chnh no trn th trng no c tnh li sut theo qui c no, khi b tnh sai.
4.1.1
Li n
68
mt s tin l:
V (t) = (1 + tR)P = P + tRP,
(4.1)
(4.2)
(4.3)
V d 4.1. Gi s rng khon tin 2000$ c gi vo ngn hng trong vng 20 ngy vi
20
li sut n 4% v qui c mt nm c 360 ngy. Nh vy t =
v R = 0.04. Sau 20
360
20
20
ngy khon tin gi s tng ln thnh V (
) = (1 +
0.04) 2000$
= 2004.49$, c
360
360
ngha l tin li nhn c cho khon tin gi ny l 4.49$.
V d 4.2. Tm s tin gc c gi ban u vo 1 ti khon c li sut n l 8% nu
cn thu c tng cng 100000 sau 91 ngy (3 thng), vi qui c mt nm c 365
ngy. Ta c gc P phi tha mn
91
V = 1+
0.08 P = 100000,
365
t suy ra P
= 98044 .
V d trn l mt trng hp ca bi ton: tm s tin gc P = V (0) ban u (ca
mt khon tin cho vay) khi bit gi tr V (t) ca n vo thi im t. Trong trng hp
li n cu tr li d dng tm c bng cch gii (4.1) tm gc. Tht vy, ta c
V (0) = (1 + tR)1 V (t).
(4.4)
69
V (t) V (0)
V (0)
(4.5)
(4.6)
V (t)
1 + tR
(4.7)
70
4.1.2
Mt s sn phm ti chnh ngn hn thng dng, c bit l cc thng phiu (commercial paper) v cc tn phiu kho bc (treasury bill ) c k hn khng qu 1 nm, khng
dng qui c tnh li n, m dng mt qui c khc, gi l qui c li sut chit khu
(discount rate). Nhng sn phm m li sut c tnh theo qui c li sut chit khu
ny s c gi chung l tri phiu chit khu (discount bond). ngha ca t chit
khu y l: gi ca mt tri phiu chit khu nh hn mnh gi ca n, v phn chnh
lch gi l phn chit khu (discount), v y chnh l phn li tr cho tri phiu cho n
khi o hn. Cng xa thi im ht hn, th gi ca tri phiu chit khu cng gim i,
mt cch tuyn tnh theo thi gian cn li, vi h s l li sut chit khu (vi gi s l
li sut ny khng thay i).
Nu nh mt tri phiu chit khu c tng k hn l T , c gi tr ti thi im ht
hn (mnh gi) l F = V (T ), v mc li sut chit khu l R, th gi V (t) ca n ti
thi im t (k t khi pht hnh) c tnh theo cng thc sau:
V (t) = (1 (T t)R)V (T ).
(4.8)
V (T ) V (t)
.
(T t)V (T )
(4.9)
1
(T t)R
1=
.
1 (T t)R
1 (T t)R
(4.10)
4.1.3
71
Li kp
(4.11)
Ni cch khc, mc li nhun K(0, t) = (V (t) V (0))/V (0) trong trng hp ny chnh
bng
tm
R
1
K(0, t) = 1 +
m
(4.12)
(4.13)
0.0575 123.5
)
12
72
R tm
m
1 ca cng thc li kp
4.1.4
(4.14)
Nhc li rng cc tri phiu zero-coupon l cc tri phiu khng c tr li gia chng, m ch tr
73
(4.15)
R = exp
ln B(t, T )
T t
1
(4.16)
1
1 = (1 + R)T t 1
B(t, T )
(4.17)
Cng thc trn l cng thc qui i gia li sut R ca tri phiu v mc li nhun
K(t, T ).
Ghi ch 4.1. Cng thc B(t, T ) = (1 + R)tT cho ta mt s h qu n gin nhng quan
trng sau y v tri phiu zero-coupon: gi B(t, T ) ca tri phiu lun nh hn l mnh
gi ca n (nu li sut R l s dng, v T t > 0), v tin ti mnh gi 1 ca n khi
m thi gian tin i im o hn, tc l thi gian cn li T t tin ti 0. Li sut R
cng cao th gi B(t, T ) cng nh, v ngc li nu li sut cng thp th gi ca tri
phiu cng cao.
Bi tp 4.5. a) Tm s tin cn phi u t ban u vi li sut kp theo nm l 12%,
ta thu c 1000$ sau 3 nm.
b) Nu nh by gi ta phi tr 800$ 3 nm sau thu c 1000$ th ta c hng li
sut kiu tri phiu l bao nhiu?
Bi tp 4.6. Cn bao lu tng vn ln gp i nu li sut l 6%/nm ?
Bi tp 4.7. Nu mt khon tin gi, c tnh li kp theo nm, tng ln gp i sau
10 nm, th mc li sut (li kp theo nm) ca n l bao nhiu?
Bi tp 4.8. Tnh li sut hiu dng ca mt khon tin gi c li kp theo thng l
10%/nm.
Bi tp 4.9. Nu li sut hiu dng l 10%/nm, th li sut danh ngha trong li tc
c tr theo tun (tc l mc li kp tnh theo 52 ln mt nm) l bao nhiu ?
74
4.1.5
Cc sn phm n khc nhau trn cc th trng ti chnh trn th gii khng nhng
ch khc nhau v qui c tnh li sut t li sut, m cn khc nhau v qui c m s
ngy tnh li (day count). C rt nhiu qui c khc nhau v vic m s ngy: s ngy
trong mt nm c th l 360 (c dng rt ph bin cho cc khon tin gi, tin vay),
nhng cng c th l 365 (hay c dng cho tri phiu), hoc c khi li l s ngy thc
s ca nm (v d cho nm nhun c 366 ngy). S ngy vay n c th l s ngy thc t,
hoc cng c khi c iu chnh theo thng (cho nhng thng c s ngy khc 30 ngy).
Bi vy, vic tnh ton cc khon li tuy kh n gin v l thuyt, nhng trong thc t
c th kh rm ri, v ngi thc hnh tnh ton phi bit l mnh dng cng thc g, c
ng so vi cc qui c cho sn phm v th trng m mnh tnh khng. Gia cc sn
phm v th trng khc nhau, th c cc cng thc chuyn i, a chng v cng
mt h qui chiu trc khi so snh chng vi nhau. Bn c c tm hiu chi tit qui c
v vic tnh ngy (day count) trong Chng 2 ca cun sch ca Neftci [19] hoc tra trn
internet.
4.1.6
Li kp lin tc
1+
(4.20)
Cng thc trn c gi l cng thc tnh theo li kp kin tc (continuously compound
interest).
V d 4.4. Gi s ti khon ban u 30 triu VND c tr li kp lin tc mc 9.5%.
Sau hai nm ri tng s tin trong ti khon (c gc ln li) l
V (2.5) = exp(0.095 2.5) 30 38.04
triu VND.
75
r tm
m
(4.21)
R
1+
m
m
= exp(r).
(4.22)
(4.23)
R = er 1.
(4.24)
76
4.2
4.2.1
(4.25)
exp(ti r)Ci
(4.26)
Cng thc trn gi l cng thc dng tin chit khu hay cng thc gi tr hin
ti, tnh gi tr hin ti ca mt dng tin t nhn c trong tng lai, vi gi s l
mc li kp lin tc r l mt hng s c bit.
Nu thay v s dng mc li kp lin tc r, ta s dng mc li kp R0 tnh theo m
ln mt nm (exp(r) = (1 + (R0 /m))m ), th cng thc gi tr hin ti ca dng tin pha
trn c th c vit li nh sau:
V =
X
i
R0
1+
m
mti
Ci .
(4.27)
X
i
(1 + R)ti Ci .
(4.28)
77
Tin
465
233
632
365
334
248
0.0399 24
0.0399 36
0.0399 48
0.0399 12
)
+ 233(1 +
)
+ 632(1 +
)
+ 365(1 +
)
12
12
12
12
+334(1 +
0.0399 60
0.0399 72
)
+ 248(1 +
)
2003.01
12
12
78
4.2.2
1 qn
1q
(4.29)
79
1 1+
V =
R n
m
R/m
C = P(
R
, n)C,
m
(4.31)
trong h s
R n
i
n
1
1
+
X
m
R
R
P ( , n) =
1+
=
m
m
R/m
i=1
(4.32)
12
0.004
53.249
375.59.
V d 4.8. Xt khon cho vay 1000$ phi tr lm 5 ln nh nhau, mi nm 1 ln (vo
thi im cui nm), vi li sut kp theo nm l 15%. Khi s tin phi tr hng nm
l:
1.000
298.32.
P (15%, 5)
V d 4.9. (Tin tit kim). Gi s c hai ngi 20 nm na s v hu. Mt ngi bt
u tit kim tin cho tin hu tr ngay t by gi nhng do b tht c l vn nn phi
dng li sau 4 nm. S tin anh ta u t trong 4 nm u vn c gi nguyn nhng
trong sut 16 nm tip theo anh ta khng tit kim thm c cht no na. Mt
ngi th sau 4 nm u khng tit kim v trong 16 nm lm vic tip theo th anh ta
lin tc gi tit kim. Ta s xem xt s chnh lch trong s tin tit kim cui cng m
hai ngi nhn c. Ta gi s li sut kp theo thng l R = 0.05 v c hai ngi hng
thng cng gi tit kim s tin x. Ngi u tin c s tin trong s tit kim vi gi tr
hin ti l
48
X
(1 +
i=1
0.05 i
) x 43.42 x.
12
(1 +
i=49
0.05 i
) x 108.10 x.
12
80
Nh vy ngi th nht c thi gian (v tng s tin rt vo) gi tit kim ch bng 25%
ngi th hai (4 nm so vi 16 nm), nhng ti khon tit kim ca ngi th nht vo
thi im v hu c gi tr xp x bng 40% ca ngi th hai. chnh l do ngi th
nht gi tit kim sm hn. Bi hc: tit kim v u t t cng sm th cng c li v
sau.
V d 4.10. (Tnh qu hu). Gi s mt ngi mun lp mt qu hu (mt ti khon
trong ngn hng dnh ring cho vic tr lng hu v sau). Ngi ny s lm vic 30 nm
na, v mi thng s rt vo qu hu mt khon tin u n l x trong vng 30 nm
lm vic. Khi v hu (30 nm sau), ngi ny s rt ra t qu hu ca mnh mi thng
l 2000$, trong vng 20 nm (sau 20 nm th va vn ht qu hu). Gi s rng mc
li sut m ngi ny nhn c cho qu hu ca mnh l c nh bng 5% theo li kp
tnh theo thng. Hi gi tr ca qu hu vo thi im ngi ny v hu l bao nhiu, v
ngi ny phi np hng thng bao nhiu tin vo qu hu ?
Gi gi tr ca qu hu vo thi im ngh hu bng W . Khi W c th coi l
gi tr hin ti ca dng nin kim ko di 20 12 = 240 thng, mi thng 2000$. Li
R
sut kp theo thng l R = 5%, bi vy ta c tha s gi tr hin ti bng P ( m
, n) =
R 30m
)
W = (1 + 0.05/12)360 W 0.2238266W = 0.2238266 303050 67831.
m
V
67831
67831
=
364.13
3600
P (0.05/12, 360)
(1 (1 + 0.05/12)
)/(0.05/12)
186.28
81
4.2.3
82
R
1 (1 + (R/m))n
, n) =
m
R/m
(4.33)
R
1
m
, ) =
= .
m
R/m
R
(4.34)
R
mC
, ) =
.
m
R
83
4.2.4
Li sut hon vn
V (0) =
(1 + R)ti Ci .
(4.35)
n=1
84
4.3
1200
7.13
1100
8.48
1000
10.00
900
11.75
800
13.81
(4.36)
85
(4.37)
ln B
chnh l thi hn
r
cn li ca tri phiu.
Mt h qu quan trng l: tri phiu zero-coupon c thi hn cn li cng di th c
gi cng nhy vi li sut, v nhy log ca gi theo li sut chnh bng thi hn cn
li ca tri phiu.
M rng t trng hp tri phiu zero-coupon ln trng hp dng tin hay tri phiu
(hay mt r cc tri phiu) bt k, ta c nh ngha sau:
nh ngha 4.3. Gi s ta c mt dng tin (hay mt r cc tri phiu) m gi tr hin
ti (hay gi hin ti) l mt hm s B ph thuc vo mc li sut kp lin tc r. Khi
i lng
ln B
(4.38)
r
c gi l duration hay k hn trung bnh ca dng tin (hay r tri phiu) ny.
ln B
B 1
1.er + 2.e2r + 33.e3r
=
=
.
r
r B
1.er + 1.e2r + 11.e3r
86
87
i (t)Bi (t),
(4.39)
(4.40)
dBi
Bi Bi dr
Bi dr
=
+
= rBi +
.
dt
t
r dt
r dt
(4.41)
(2)
(3)
tc l li sut c th thay i theo thi gian nhng khng ph thuc vo bn thn tri phiu
iu chnh tc l mua bn tri phiu trong r, nhng khng rt tin khi r hoc cho tin thm vo,
88
Vic iu chnh r tri phiu nhng khng thm bt tin vo th hin qua ng thc
sau:
X di
i
dt
Bi = 0.
(4.42)
ng thc trn c ngha l tng tin ca cc s mua bn tri phiu trong r ti thi im
t (lm thay i i ) bng 0. Ni cch khc, ta c:
X dBi
dV
=
i
,
dt
dt
i
(4.43)
(4.44)
c ngha l
(t T )V =
X
i
Bi
.
r
(4.45)
(4.46)
tc l
dr
d(rt)
dr
d(ln V )
= r + (t T ) =
T
(4.47)
dt
dt
dt
dt
(vi hu ht mi t, tr mt s hu hn cc im). Ly tch phn hai pha ca ng thc
trn theo t t 0 n T ta c
Z T
d(rt)
dr
ln V (T )ln V (0) =
(
T )dt = r(T )T T (r(T )r(0)) = T r(0) = T r0 , (4.48)
dt
dt
t=0
chnh l iu cn phi chng minh.
Bi tp 4.16. i) Gi s c hai loi tri phiu sau: loi A l tri phiu zero-coupon c mnh
gi 100$ v cn hn 1 nm. Loi B l tri phiu cn hn 4 nm vi mnh gi 100$ v mi
nm tr mt coupon 10$. Gi s li sut (ca c hai loi tri phiu) l 8%. Hy tnh gi
hin ti ca mi loi tri phiu, v lp mt r tri phiu t hai loi ny sao cho gi tr
ca r bng 10000$ v duration ca r bng 2 nm.
ii) Nu 1/4 nm sau li sut tng ln thnh 10%, th cn iu chnh r tri phiu ny th
no, c duration bng 7/4 nm vo thi im ?
4.4. NG LI SUT
4.4
89
ng li sut
Trong cc phn trn ca chng ny, khi ni n li sut hay li sut ca cc dng
tin t, chng ta coi rng li sut khng ph thuc vo k hn, tc l chng ta p dng
cng mt mc li sut cho cc khon tin (trong cng 1 dng tin t) nhn c cc
thi im khc nhau. Tuy nhin, trong thc t, li sut c ph thuc vo k hn: li sut
ca cc tri phiu vi cc k hn di ngn khc nhau c th khc nhau mt cch ng
k. Bi vy, mc li sut trong cng thc tnh gi tr chit khu cn c hiu l mc
li sut trung bnh, cho cc khon tin khc nhau ti cc thi hn khc nhau trong dng
tin t. i vi cc tri phiu coupon th mc li sut trung bnh c s dng ny cn
c gi l li sut hon vn (yield to maturity).
Trong mc ny v mc sau, chng ta s xem xt vic li sut ph thuc vo k hn
ra sao, v iu nh hng nh th no n li sut k hn (forward rates), tc l
li sut cho cc khon tin gi hoc vay hoc tri phiu trong tng lai nhng c tho
thun v gi c t thi im hin ti.
ng li sut (yield curve) l th biu hin s ph thuc ca li sut vo k
hn. Li sut trn ng li sut thng c hiu l li sut ca cc tri phiu chnh
ph ca mt nc no , vi hai 2 tnh cht sau: thanh khon cao (c th mua bn cc
tri phiu ny d dng trn th trng, vi chi ph thp, chnh lch gia gi mua v gi
bn khng ng k), v c ri ro v i tc coi nh bng 0 (tc l chnh ph lun lun
tr tin cho cc tri phiu chnh ph theo nh cam kt iu ny c th khng ng i
vi mt s nc vo mt s thi im, tuy nhin n c coi l ng cho phn ln cc
nc c th trng ti chnh pht trin).
Hnh 4.1 l mt v d minh ha: trn hnh ny c 3 ng li sut ca tri phiu
chnh ph c (Australia), mt ng ng vi thi im 22/12/2008, mt ng ng vi
thi im 22/06/2009, v mt ng ng vi thi im 22/12/2009. Cc ng ny cho
thy li sut ca tri phiu chnh ph c c ph thuc vo k hn, v c thay i theo
thi gian. V d, trong vng 1 nm t 22/12/2008 n 22/12/2009, li sut c i ln
khong 1.5% (v d nh li sut cho tri phiu chnh ph cn k hn 4 nm i ln t
3.5% thnh 5%), tr li sut rt ngn hn li hi i xung.
Trong iu kin kinh t pht trin n nh th ng li sut thng c dng iu
i ln, tc l k hn cng di th li sut cng cao. C th gii thch bng mt s l do
sau: 1) Cho vay ngn hn c nhiu la chn hn l cho vay di hn: khi ht hn cho vay
ngn hn c th quyt nh u t mi, hoc l tip tc cho vay hoc l u t ch khc
90
hay hn, nhng ngi cho vay di hn th b kt tin di hn, khng c nhiu la chn
bng. 2) Gi ca tri phiu di hn giao ng mnh mi khi c giao ng v li sut (v
n c duration cao) trong khi gi ca tri phiu ngn hn khng giao ng ng k theo
li sut, c ngha l tri phiu di hn c ri ro v li sut cao hn nhiu so vi tri phiu
ngn hn. V d khi lm pht tng, dn n li sut tng, th ngi u t tri phiu di
hn c th b thit hi nng, trong khi ngi u t tri phiu ngn hn khng b thit
hi ng k. Bi vy, ngi u t tri phiu di hn thng i hi phi c li sut cao
hn, b li cho mc ri ro cao hn, v mc la chn km hn.
C nhng khi m ng li sut li i ngc, tc l c li sut ngn hn cao hn li
sut di hn. Nhng c li sut nh vy gi l nhng ng li sut b ln ngc
(inverted yield curve). Chng hn nh ng li sut c vo thng 12/2008 l mt
ng b ln ngc cho khong k hn t 0 n 1,5 nm. Mt v d khc l hnh 4.2 v
ng li sut ca ng Bng Anh (GBP) vo 02/2005. ng ny b ln ngc cho ton
b khong k hn t 1 nm n 30 nm.
C nhiu l d khin cho ng li sut c th b ln ngc. V d nh khng hong
v thanh khon ngn hn, khin cho li sut ngn hn tng vt ln, trong khi li sut di
hn th n nh hn, t thay i. Cng c th l do trin vng kinh t v di hn khng
c tt, c t c hi tt cho u t di hn. Khi d bo l tng trng kinh t s gim
i, ko theo li sut s gim i trong tng lai, tc l cc mc li sut k vng cho tng
lai gim i, th n ko cc mc li sut di hn hin ti gim i theo. (Tht vy, mc li
4.4. NG LI SUT
91
Hnh 4.2: ng li sut ca tri phiu chnh ph Anh vo 02/2005 (ngun: wikipedia)
(4.49)
92
(1 + R(ti ))ti Ci ,
(4.50)
(4.51)
4.5
Nh chng ta thy cc phn trn, khi ta bit ng cong li sut (t, R(t)) (vi
mi t > 0), th tc l ta bit gi tr tng lai V (t) ca mt khon tin V (0) hin ti cho
93
V (0)
,
B(0, t)
(4.52)
(4.53)
vi mi 0 s t.
Chng minh. Nu nh B(0, t) < B(0, s)B(s, t) th c chin lc kinh doanh chnh lch gi
sau: ti thi im 0, mua mt tri phiu cn k hn t vi gi B(0, t), bn B(0, t)/B(0, s)
tri phiu cn k hn s vi gi B(0, s) B(0, t)/B(0, s) = B(0, t), v lp mt hp ng k
hn bn ti thi im s mt tri phiu o hn ti thi im t, vi gi B(s, t). Tng s
tin b ra ti thi im 0 l 0. Khi n thi im s, th bn li 1 tri phiu k hn t theo
hp ng k hn c s tin l B(s, t), ng thi phi tr mt s tin l B(0, t)/B(0, s)
cho B(0, t)/B(0, s) tri phiu k hn s bn, v nh vy ti thi im s th khng cn
(4)
94
(4.54)
tr(0, t) sr(0, s)
ts
(4.55)
vi mi 0 s < t.
Chng minh. Mnh 4.5 cng vi cc cng thc tnh li sut cho ta ng thc sau:
exp(tr(0, t)) = exp(sr(0, s)) exp((t s)r(s, t)).
(4.56)
95
4.6
Cu trc ri ro ca li sut
96
xu, v do khng cn chnh lch cao gia li sut ca khon n v li sut khng
c ri ro. y chnh l s ph thuc ca li sut vo mc ri ro v n. S chnh lch
gia li sut ca khon n c ri ro v n v khon n khng c ri ro (cho cng mt
thi hn) c gi l ph ri ro (risk premium).
Xc sut v n ca bn i vay (bn i vay c th l chnh ph, t chc, doanh
nghip, hay c nhn) thng c nh gi theo mt h thng thang im no , gi l
mc tn nhim (credit rating). C nhng cng ty nh Moodys, Standard and Poors
(vit tt l S&P) v Fitch chuyn v nh gi cho im mc tn nhim cho cc chnh ph
v doanh nghip ln. Cc thang im ca Moodys v S&P nh sau(5) :
Moodys
S&P
ngha
V d nm 2010
Premium
Aaa
AAA
an ton nht
General Electric
80
Aa
AA
Walmart, PepsiCo
90
McDonalds, Boeing
120
Baa
BBB
trung bnh
Motorola, FedEx
180
Ba
BB
di trung bnh
350
ri ro cao
Levi Strauss
600
Caa
CCC, CC
ang kht n
1300
ang v n
Northwest Airlines
97
(6)
(7)
Xem: http://en.wikipedia.org/wiki/Credit_score
Xem: http://en.wikipedia.org/wiki/Credit_score_(United_State)
98
Chng 5
Phn tch gi c phiu
Mt trong nhng ng dng quan trng nht ca ton ti chnh l u t chng khon,
da trn cc l thuyt v qun l danh mc u t, v cc l thuyt v phn tch gi tr
v s bin ng gi c ca cc chng khon, trong c hai loi hnh chng khon ph
bin nht l tri phiu v c phiu. u t vo tri phiu thng c gi l loi hnh
u t c thu nhp c nh (fixed-income investments), tng i t ri ro, v ngi gi
tri phiu thng bit trc s c nhn li nhun l bao nhiu, v gi ca tri phiu
trn th trng (c bit l cc tri phiu ngn hn) t khi c bin ng mnh. i vi
cc cc c phiu th ngc li, mc thu nhp rt kh xc nh trc v c khi l m, v
gi c thng thay i mnh hn nhiu so vi tri phiu. Bi vy, ni chung u t vo
c phiu mo him hn so vi u t vo tri phiu, nhng b li n cng cho k vng
li nhun cao hn.
trong chng ny v chng 7, chng ta s tm hiu nhng yu t nh hng n
gi tr v s bin ng gi c ca cc c phiu, v vic xy dng cc m hnh ton hc
nhm m t v nghin cu s bin ng gi. Trong Chng 6 chng ta s bn n vic
qun l danh mc u t chng khon.
5.1
Gi th trng v gi tr tht
Khi phn tch c phiu, chng ta cn phn bit gia hai khi nim gi th trng
(market price, gi tt l gi ) v gi tr tht (fair value), hay cn gi l gi tr ni ti
(intrinsic value). Gi th trng ca c phiu l khi nim n gin d hiu: l gi
giao dch ca c phiu trn th trng, tc l c ngi mua v ngi bn trn th trng
vi gi nh vy. V d, gi ng ca (tc l gi giao dch cui cng ca phin giao dch)
99
100
ca c phiu ca cng ty Vietcombank (Ngn hng Ngoi thng Vit Nam, m chng
khon: VCB) trn th trng c phiu Vit Nam ngy 22/03/2010 l 44.8 (nghn VND /
c phiu). l gi th trng, v thng tin v gi c th ly c d dng t nhiu
ngun tin khc nhau, v d nh cc trang web v ti chnh hay cc cng ty chng khon.
Gi tr tht l mt khi nim tru tng v t nh hn nhiu khi nim gi th trng.
Chng ta c th nh ngha n nh sau:
nh ngha 5.1. Gi tr tht (fair value) ca mt cng ty c phn no (ti thi
im t0 ) l gi tr hin ti k vng (ti thi im t0 ) ca dng tin t (v ti sn qui i
ra tin) m cng ty s em li cho cc c ng. Gi tr tht ca mt c phiu ca mt
cng ty c phn bng gi tr tht ca cng ty chia cho tng s c phiu ca cng ty.
Mt cng ty c phn c th tn ti mi mi (v mt l thuyt) hoc l s thay i
cu trc vo mt thi im no , khng cn l cng ty c phn c na (y l iu ni
chung s xy ra vi mi cng ty phn ln cc cng ty c phn ln ca th gii vo thi
im cch y 1 th k by gi mt i, nhng ch cho cc cng ty mi mc ln). V
d, n c th t gii th, hoc ph sn, hoc tch ra thnh nhiu cng ty ring bit, hoc
st nhp li vi cng ty khc, v.v. Trong sut qu trnh tn ti ca mt cng ty c phn
(tnh t mt thi im no , cho n khi n khng cn na), n c th chia cho cc c
ng ca mnh cc li tc v cc ti sn khc (v d nh c phn trong cc cng ty mi),
v l ton b nhng g m cc c ng s nhn c. Tng gi tr ca cc li tc v
cc ti sn ny chnh l gi tr tht ca cng ty (i vi cc c ng). Nh chng ta
thy trong Chng 4, nhng khon tin m trong tng lai mi nhn c th cn phi
c chit khu i theo mt mc li sut no , tnh ra gi tr hin ti. i vi cc
ti sn khc cng vy. Bi vy, nh ngha gi tr tht pha trn s dng gi tr hin ti,
tc l chit khu, ca dng tin t v ti sn qui i ra tin.
Ch rng, cc khon li nhun ca mt cng ty c phn ph thuc rt nhiu vo
cc yu t c th coi l ngu nhin, s xy ra trong tng lai, khng bit trc c, v
nm ngoi tm kim sot ca cng ty. Bi vy, ta cng khng th bit trc c l dng
tin t (v ti sn qui ra tin) m cng ty s em li trong tng lai cho c ng s thc
s l bao nhiu, m chng ta ch c th xt dng tin t nh l mt bin ngu nhin,
v ni n gi tr k vng ca bin ngu nhin (trn khng gian cc tnh hung c
th xy ra, vi xc sut thc t v kh nng xy ra ca mi tnh hung). chnh l
nguyn nhn ti sao c t k vng trong nh ngha gi tr tht.
Tng t nh gi c phiu, gi tr tht ca c phiu cng thay i theo thi gian, khi
101
m c nhng thng tin mi v tnh hnh kinh t v tnh hnh lm n ca cng ty c phn,
lm thay i k vng v li nhun v v gi tr ca cc ti sn ca cng ty.
Khc vi gi th trng, khng c mt ngun tin no c th cho ta bit l gi tr tht
ca mt c phiu vo mt thi im no l bao nhiu. Chng ta ch c th c lng
gi tr tht , da trn cc thng tin c c, vi tin cy v khong tin cy no
(ni theo ngn ng ca thng k ton hc), ch khng th bit c chnh xc gi tr
tht. Vic c lng ny s c bn n trong phn sau ca chng. Ta s coi l, vi mi
c phiu, ti mi thi im, ch c 1 gi tr tht (m khng ai bit l bng bao nhiu),
nhng c th c nhiu c lng khc nhau v gi tr tht , v gi tr tht c lng
(estimated intrinsic value) c th c hnh dung nh l mt bin ngu nhin. Bin ngu
nhin c th c di gi tr rt rng: khng him trng hp m trong cng mt thi
im, cho cng mt c phiu, nh u t ny c lng gi tr tht ca n cao gp 2-3
ln so vi nh u t khc.
Khi m nn kinh t c du hiu pht trin, th ni chung trin vng li nhun ca
cc cng ty c phn tng ln, ko theo gi tr tht ca chng tng ln, v thng l gi
c phiu cng tng ln trong nhng giai on kinh t tng trng. Ngc li, khi kinh
t bt u c du hiu suy thoi, th k vng li nhun gim i, v gi c phiu trn th
trng cng gim i. V nguyn tc, gi ca c phiu trn th trng phi phn nh gi
tr tht ca cng ty, tc l ni chung khi gi tr tht tng ln th gi c phiu tng ln,
khi gi tr tht gim i th gi c phiu gim i, v c phiu no c gi tr tht ln hn
th cng s c gi cao hn. Trong iu kin l tng th gi phi trng vi gi tr tht.
Tuy nhin, trn thc t, rt t khi m gi c phiu trng vi gi tr tht. Khng cn phi
xc nh c gi tr tht, chng ta cng c th nhn thy iu . Tht vy, gi tr tht
ca cc cng ty c phn c thay i theo thi gian, nhng thng l thay i mt cch
t t v mi thay i ln thng i hi mt thi gian di. Trong khi , gi c phiu
c th thay i rt nhanh trong mt thi gian ngn. Trong qu trnh thay i gi nhanh
nh vy, nu c mt thi im no m gi bng gi tr tht, th ti nhng thi im
sau gi s khng cn bng gi tr tht na, m c th l cao hn rt nhiu hoc thp hn
rt nhiu so vi gi tr tht.
Mt trong nhng l do khin cho gi c th lch nhiu so vi gi tr tht chnh l
tnh bt xc nh ca gi tr tht. Gi c phiu phn nh gi tr tht, khng phi l mt
cch trc tip, m l thng qua cc gi tr tht c lng, bi v cc nh u t c th
c lng gi tr tht ch khng bit chnh xc n bng bao nhiu. Khi m c nhiu c
lng khc nhau, chnh nhau nhiu, to ra mi di gi tr c lng ln, th gi c phiu
102
103
104
5.2
5.2.1
105
X
n=1
Dn
,
(1 + R)n
(5.1)
X
D0 (1 + g)n
n=1
(1 +
R)n
(1 + g).D0
,
Rg
hay c th vit l
V =
D1
.
Rg
(5.2)
(Tt nhin, tc tng trng trung bnh phi nh hn li sut, tc l ta phi c Rg > 0,
nu khng th gi tr ca cng ty s l v cng, l mt iu khng th xy ra).
Cng thc (5.2) cho thy, gi tr ca cng ty ph thuc vo mc li sut R mt cch
rt nhy: n gn nh l t l nghch vi R. Trong trng hp c bit, khi g = 0, th
ta c cng thc n gin V = D0 /R (tng t nh cng thc gi tr hin ti ca tri
phiu v thi hn), v khi th V ng l t l nghch vi mc li sut R.
Quay li cu hi: R bng bao nhiu?
106
(5.3)
D1
.
V
(5.4)
(5.5)
107
g(5-year) + inflation
,
2
(5.6)
108
(5.7)
5.2.2
Khi nim c phiu tng trng (growth stock) l khi nim i ngc li vi c
phiu gi tr. N dng ch c phiu ca cc cng ty ang cn trong giai on tng
(2)
http://finance.yahoo.com/q/cp?s=^DJI
109
1+g
1+R
N
1+
E0 .
R
(5.8)
(5.9)
(5.10)
110
vi
M = V /E1 =
1+g
1+R
N
1+
(1 + g)(R )
(5.11)
5.3. CC LC TC NG N GI C PHIU
111
5.3
Cc lc tc ng n gi c phiu
112
5.3. CC LC TC NG N GI C PHIU
113
5.3.1
114
n trn 80$/c phiu. Mt trong nhng l do l trong hai thp k 1980 v 1990 n pht
trin kh nhanh, bnh trng ra th gii, cng vi s ton cu ha nn kinh t, v n
c t ph Buffet, thn tng ca th trng chng khon, u t (t khi gi n cn
rt r). Nhng n u nm 1998 th Coca-Cola ht giai on tng trng nhanh (v
n qu to, cc th trng c bo ha, cc th trng mi v quan trng nh Trung
Quc thm nhp ri, khng cn ch pht trin nhanh na), tc chm li ch
cn trung bnh di 5%/nm. Nhng v v tr con cng ca n trn th trng chng
khon, v mt phn l do th trng lc ang nng, nn n vn c gi rt cao, vi
ch s P/E (gi chia cho li nhun mt nm) trn 40. Theo cc c lng v gi tr thc
t ca KO vo thi im lc , th mc V/E (gi tr chia cho li nhun) ca KO khng
th qu 20, tc l gi ca KO t hn gp i gi tr thc vo thi im u nm 1998.
S chnh lch ln ny gia gi th trng v gi tr tht ca KO to lc y gi KO i
xung. Thc t xy ra l, trong vng 5 nm sau , gi ca KO gim mt na cn 40$
vo u nm 2003, v trong vng 7 nm tip theo (cho n u nm 2010) giao ng
trong qung 40-60$.
5.3. CC LC TC NG N GI C PHIU
5.3.2
115
Tm l th trng
Xem: http://en.wikipedia.org/wiki/Tulip_mania
116
Xem: http://en.wikipedia.org/wiki/Dot-com_bubble
5.3. CC LC TC NG N GI C PHIU
117
sau .
5.3.3
Cc ngoi lc
118
5.3.4
Phm vi nh hng ca cc lc
5.3. CC LC TC NG N GI C PHIU
119
5.3.5
Cc lc ngu nhin
(5.12)
120
trong r l li sut kp lin tc khng ri ro (li sut log ca tri phiu zero-coupon
cn k hn t), bi v nu khng th s c mt chin lc kinh doanh chnh lch gi, bng
cch mua S v bn tri phiu zero-coupon thi hn t ti thi im 0 ri bn S v thanh
ton tri phiu ti thi im t, hoc ngc li. Ni cch khc, nu mt chng khon c
mc li nhun c xc nh v c th trng bit trc cho mt giai on no
, th mc li nhun phi bng ng mc li nhun khng ri ro (ca tri phiu
zero-coupon khng ri ro), v nu khng th s c c hi kinh doanh chnh lch gi. Trong
thc t, rt him khi m c phiu li em li mc li nhun ging tri phiu, v l
du hiu cho thy tnh ngu nhin ca bin ng ca gi c phiu.
T nm 1900, trong lun n tin s ca mnh, nh ton hc Luis Bachelier(5) (1870
1946) nghin cu bin ng gi c phiu, v cc cng thc nh gi quyn chn ca c
phiu, da trn chuyn ng ngu nhin. Trong na sau th k 20, c nhng nh kinh t
cn i xa hn na trong vic nhn nh s ngu nhin ny ca gi c phiu. H coi rng
s thay i gi c phiu trong tng lai l mt chuyn ng hon ton ngu nhin,
khng h c mt xu hng no ht, ngoi tc tng trng trung bnh hng nm ca
ton b th trng c phiu. Cun sch A random walk down Wall Street (xut bn ln
u nm 1973, ti bn nhiu ln) ca Burton Malkiel(6) gp phn truyn b t tng
chuyn ng hon ton ngu nhin ny, v c nh hng ln n gii ti chnh.
L thuyt chuyn ng hon ton ngu nhin ca gi c phiu xut pht t ci gi
l gi thuyt th trng hiu qu (efficient market hypothesis(7) ), c mt s nh
kinh t nh Eugene Fama(8) xng t nhng nm 1960. Theo gi thuyt th trng
hiu qu, th mi thng tin g c th c nh hng n gi c phiu m th trng c
bit th u c tnh vo gi ca c phiu ngay lp tc, v do mi chuyn ng gi
c phiu trong tng lai l do nhng tin tc hon ton mi mang li ch khng phi do
tin tc c mang li (v nh hng ca cc tin c c th hin ht trong gi c phiu
ri). V cc tin mi xy ra mt cch hon ton ngu nhin, khng ai d on c trc
n s tt xu ra sao, nn khi th trng hiu qu, th chuyn ng ca gi c phiu l
hon ton ngu nhin.
Nu nh bin i gi c ca c phiu l hon ton ngu nhin, khng h c xu hng
no ht, th tt c mi phn tch v c phiu, k c phn tch c bn v phn tch k
(5)
Bachelier c coi l ngi u tin nghin cu cc tnh cht ton hc ca qu trnh ngu nhin m
5.3. CC LC TC NG N GI C PHIU
121
Xem: http://en.wikipedia.org/wiki/James_Harris_Simons
122
5.4
Cc phng php thng k ton hc, c bit l phng php hi qui (xem Chng 5
ca [7]), hay c dng d on phn b xc sut v s ph thuc vo nhau ca cc
bin ngu nhin hay cc qu trnh ngu nhin hay cc chui thi gian. p dng vo gi
c phiu, cc phng php thng k ny s cho chng ta thng tin v h s volatility, v
s ph thuc ca gi c phiu vo s thay i ca cc yu khc, v d nh: ch s ca
ton b th trng c phiu, mc tng trng kinh t, t l lm pht, tin tng trung
bnh ca nh u t vo nn kinh t, v.v.
5.4.1
H s volatility
123
(5.13)
(5.15)
124
5.4.2
H s beta
125
Hnh 5.10 l mt v d minh ha, cho thy c phiu ca cng ty cng ngh bn dn
Xilinx (m chng khon: XLNX) c dng iu i ln i xung gn ging ht nh l dng
iu i ln i xung ca ch s S&P500 i din cho ton b th trng chng khon M
(trong vng mt nm t 04/2009 n 04/2010), tuy rng volatility ca XLNX cao hn so
vi S&P500. Da vo th ny, ta c th ni rng, phn ln s giao ng gi ca XLNX
l do s giao ng ca ton b th trng to ra (trong qung thi gian ).
Tuy phn ln c phiu i ln/i xung cng vi th trng, nhng c nhng c phiu
i ln i xung nhanh hn th trng v ngc li c nhng c phiu i chm hn th
trng. i lng o tc thay i ca mt c phiu tng i so vi th trng c
gi l h s beta ca c phiu .
Ni mt cch c th hn, gi S l gi mt c phiu, M l gi ca mt ch s i din
cho ton b th trng (v d nh ch s VnIndex Vit Nam, hay Nikkei 225 Nht
Bn). S bin ng gi ca S c tch lm 2 phn, mt phn ph thuc vo th trng,
v mt phn ca ring S (stock-specific), c lp vi bin ng chung ca th trng:
ln(Sn /Sn1 ) = ln(Mn /Mn1 ) + ( + n ),
(5.16)
126
(5.17)
cov(rS , rM )
E(rS rM ) E(rS )E(rM )
=
var(rM )
E((rM )2 ) (E(rM ))2
(5.18)
v
= E(rS ) E(rM ),
(5.19)
N2
X
1
trong E(r r ) =
rnS rnM l gi tr k vng thc nghim (tc l gi tr
N2 N1 + 1 n=N
S M
S M
trung bnh) ca r r
v tng t nh vy cho cc k vng khc trong hai cng thc trn. Vi v c tnh
theo cc cng thc trn, th phn sai s n = rnS rnM s t ng tha mn cc tnh
PN2
PN2
1
1
M
2
cht sau: E() := N2 N
=
0,
cov(,
r
)
=
0,
v
n
n=N1
n=N1 (n ) t cc
N2 N1 +1
1 +1
tiu, tc l tng bnh phng ca cc sai s l nh nht c th.
V d 5.11. Vo thi im 22/04/2010, h s beta ca Xilinx (Hnh 5.10) l 0.99, ca
Wal-mart l 0.26, ca Intel l 1.17, ca Cisco l 1.23, ca Baidu l 1.79, ca Vivus l
127
0.84. S liu ly t trang thng tin ti chnh Google Finance. H s beta cng cao th
tc l tc tng/gim cng chiu vi th trng cng ln. a phn cc c phiu c h
s beta l s dng (tc l chng ni chung i ln i xung cng chiu vi th trng),
nhng cng c nhng c phiu no trong nhng giai on no c h s beta l s
m (i ngc li th trng).
Ghi ch 5.8. Vic tnh ton h s beta ph thuc vo cc tham s nh: bc thi gian
(v d c ni dng ngy c ni dng thng), v di thi gian dng tnh hi qui (c
th dng 1 nm, nhng cng c th dng cc di thi gian khc). Bi vy, cc ngun
thng tin ti chnh khc nhau c th cho ra cc con s v h s beta khc nhau cho cng
mt c phiu! V d, vo ngy 22/04/2010, theo Google Finance th XLNX c h s beta
l 0.99 nhng theo Yahoo Finance th n c h s beta l 0.88. (Ni theo ngn ng thng
k ton hc, th cc con s khc nhau l cc c lng ca mt h s beta tru tng
ca c phiu). Hn na, h s beta thay i theo thi gian, ch khng phi l hng s.
Theo l thuyt CAPM (capital asset pricing model m hnh nh gi ti sn vn), m
chng ta s cp n trong Chng 6, th k vng li nhun ca mt c phiu ch ph
thuc vo h s beta ca n ch khng ph thuc vo phn bin ng gi + c lp
vi th trng! (Tng t nh l gi thuyt th trng hiu qu, l thuyt CAPM l mt
l thuyt th v, nhng da trn nhng gi thit rt mnh, t ph hp vi thc t).
Ghi ch 5.9. Khng nhng ch c cc c phiu ring l ph thuc vo s giao ng chung
ca mt th trng chng khon, m cc th trng chng khon khc nhau cng ph
thuc ln nhau, v cng c th phn tch s ph thuc bng hi qui tuyn tnh. Hnh
5.11 l v d minh ha, cho thy s ph thuc ln nhau gia th trng chng khon
Hong Kong (ch s Hang Seng) v th trng M (ch s S&P500) trong giai on 5 nm
(t 04/2005 n 04/2010). Theo th ny, th trng Hong Kong giao ng mnh hn
th trng M, nhng hai th trng i ln v i xung cng nhau.
128
5.4.3
(5.20)
129
130
(11)
(11)
arbitrary pricing theory (l thuyt nh gi ty tin), v s ty tin trong vic la chn cc yu t may
ri
Chng 6
Qun l danh mc u t
Nn kinh t th gii pht trin c l nh c u t, khng c u t th khng c
pht trin. u t c ngha l tin ca cng sc vo nhng ci g , vi k vng l
n s em li nhng ca ci vt cht v tinh thn trong tng lai. Tt nhin, khng phi
mi u t u em li hiu qu nh nhau, hoc l u d o hiu qu. V d nh gio
dc l loi hnh u t v cng quan trng, nhng o hiu qu ca n rt kh. Ngoi
hiu qu kinh t m gio dc em li qua vic lm tng trnh chuyn mn ca mi
ngi, cn c hiu qu v vn ha, lm cho x hi vn minh ln, cht lng cuc sng
tinh thn cao ln, v iu ny khng o c bng tin.
Mt thc o hiu qu u t, t quan im kinh t v m, l ch s ICOR (incremental
capital output ratio), tc l t l tng doanh thu trn vn u t thm. V d, nu u t
thm 1$ m nh mi nm tng thm doanh thu 0.25$, th ch s ICOR bng 1/0.25 = 4.
Nc no hay cng ty no c ch s ICOR cng thp th tc l u t cng hiu qu v
mt kinh t. Chng hn, khi ch s ICOR di 3, nh l trng hp ca i Loan hay
Hn Quc trong giai on pht trin nhanh, th l hiu qu u t cao. Khi Vit Nam c
ch s ICOR vo qung 4 trong thp k 1990, th l hiu qu u t mc trung bnh,
nhng khi ch s ICOR ln trn 5 nhng nm sau , ri thm ch ln n 8 vo nm
2009, th l hiu qu u t thp, ko theo vay n nc ngoi nhiu v bp bnh v ti
chnh.
y, chng ta s khng bn v hiu qu u t t kha cnh kinh t x hi, m l
t quan im cc nh u t ti chnh, tc l nhng ngi b vn ra u t vo nhng
loi hnh u t no , nhm thu li c mt khon vn ln hn trong tng lai, tuy
tt nhin hiu qu u t ca cc nh u t v hiu qu u t ca cc ni nhn c
u t l hai khi nim gn nhiu vi nhau, v cc nh u t mun t hiu qu u
131
132
133
6.1
6.1.1
Mt s nguyn tc chung v u t
Quan h gia ri ro v li nhun
6.1.2
a dng ha
134
6.1.3
n by ti chnh
Xem: http://en.wikipedia.org/wiki/Harry_Markowitz.
Xem: http://en.wikipedia.org/wiki/Talmud
(3)
hedge fund nu dch theo tng ch th c ngha l qu phng v, tc l cc qu c s dng cc
(2)
135
6.1.4
m an ton
136
6.1.5
di thi gian
6.1.6
u t c t chc
137
6.2
Cc loi hnh u t
6.2.1
Vng bc chu bu
138
6.2.2
Bt ng sn
139
6.2.3
Cc sn phm n
Xem http://en.wikipedia.org/wiki/Japanese_asset_price_bubble
Cc con s thng k v th trng M giai on 19252005 y l ly t Ibbotson Associates 2006
Yearbook
140
sut gi tit kim cao hn. V d, Vit Nam nhng nm 1990 li sut thc cho tin gi
tit kim ln n 4-5%/nm (sau khi tr lm pht).
- Tri phiu di hn: li sut ph thuc vo k hn, v ri ro v n ca tri phiu.
Cc tri phiu cht lng thp (v d nh c mc tn nhim l BB) th c ri ro v
n cao hn l tri phiu cht lng cao (c mc tn nhim A+), nhng tnh trung bnh
( tr i phn v n) th cho li nhun cao hn l tri phiu cht lng cao. Cho n
gn y, ngi ta coi rng tri phiu chnh ph M l loi c cht lng cao nht. 1$ u
t lin tc vo cc tri phiu di hn loi ny vo nm 1925 s cho 70,85$ vo nm 2005,
tc l cho mc li nhun trung bnh hng nm gn 2,5% sau khi tr i lm pht (hay
gn 5,5% khi cha tr i lm pht), tt hn ng k so vi cc loi cho vay ngn hn.
B li, tri phiu di hn c ri ro v bin ng gi, i vi nhng ngi mua tri phiu
di hn nhng khng gi n lc o hn m ch gi mt thi gian ngn ri bn i: nh
chng ta thy t Chng 4, khi li sut tng th gi ca tri phiu gim, v tri phiu
cng di hn th gim cng ln khi li sut tng. C nhng giai on m gi tri phiu
chnh ph di hn c th gim trn 25%.
6.2.4
C phiu
141
6.2.5
142
6.3
6.3.1
V (T ) V (0)
.
V (0)
(6.1)
Ghi ch 6.2. Cng thc trn l cng thc thng c dng, nhng n khng tnh n
lm pht. Nu tnh n lm pht ( c t l li nhun thc t, sau khi tr i lm
pht), th phi thay V (0) bng (1 + )V (0) trong cng thc trn, trong l t l lm
pht xy ra trong thi gian u t, c ngha l lng tin (1 + )V (0) sau thi gian T
ch c sc mua bng lng tin V (0) vo thi im ban u.
Gi s l qu trnh u t gm nhiu giai on, v d n nm, v sau nm th i gi
tr ca ti khon u t l V (i), v n gin ta gi s thm rng khng c s rt bt
tin ra hay b thm tin vo ti khon u t trong qu trnh . Khi t l li nhun
ca nm th i l
R(i) =
V (i) V (i 1)
,
V (i 1)
(6.2)
(6.3)
i=1
(6.4)
143
Con s
1/n
R = (1 + R(n))
n
Y
1 = ( (1 + Ri ))1/n 1
(6.5)
i=1
m
X
Vj (0).
(6.6)
j=1
Khi
wj =
Vj (0)
V (0)
(6.7)
R=
m
X
j=1
wj Rj
(6.8)
144
6.3.2
Li nhun k vng
145
k
X
pi Ri .
(6.9)
i=1
(6.10)
146
con bc thng c k vng li nhun ch quan l s dng, trong khi k vng li nhun
khch quan l s m.
6.4
6.4.1
Hm tha dng
Khi nim hm tha dng
(6.11)
147
(6.12)
6.4.2
Xem http://en.wikipedia.org/wiki/Von_Neumann-Morgenstern_utility_theorem
148
Petersbourg (7) .
nh ngha 6.2. Hm tha dng Bernoulli l hm tha dng cng tnh cho bi hm
s
uBernoulli (x) = ln(1 + x),
(6.14)
c ngha l
Z
ln(1 + RA )dP.
UBernoulli (RA ) =
(6.15)
ln(VA )dP.
(6.16)
6.4.3
149
(6.17)
A th s c tha
c ngha l, mt chin lc u t cho t l li nhun c nh bng R
dng bng chin lc A.
Cc nh u t ni chung thng khng a mo him. C ngha l, mt u t c li
nhun bp bnh th phi c mc k vng li nhun cao hn so vi l mt u t c mc
li nhun c nh, th mi em li cho h tha dng bng tha dng ca u t c
mc li nhun c nh:
A.
E(RA ) R
(6.18)
(6.19)
(6.20)
1 + x, 1 exp(1 x) (cho x 1) l cc hm s n
iu tng v lm, v cc hm tha dng cng tnh sinh bi chng tha mn tnh lm.
150
6.5
Cc thc o ri ro
6.5.1
(6.21)
6.5. CC THC O RI RO
151
t l li nhun:
(RA ) =
p
p
var(RA ) = E((RA E(RA ))2 ).
(6.22)
(6.23)
152
phng sai svar tng t nh nh ngha ca phng sai var, nhng ch tnh n nhng
phn thp hn trung bnh m khng tnh n nhng phn cao hn trung bnh:
svar(VA ) = E min(VA E(VA ), 0)2 .
(6.24)
6.5.2
(6.25)
p
E(max(0, RM RA )2 ).
(6.26)
6.5. CC THC O RI RO
153
6.5.3
Khi nim value at risk (VaR) rt ph bin trong gii ti chnh, c bit k t khi n
c a vo tr ct u tin (mt trong ba tr ct) ca Cng c Quc t Basel II(8)
v qun tr ri ro trong cc ngn hng. Chng ti cha c bit thut ng ting Vit
tng ng, v tm dch thnh gi tr chu ri ro.
tng chung l, mt c nhn hay t chc c th chp nhn mt tin, nhng khng
th chp nhn mt qu mt mc no y, v mt qu mc th s c nh hng
rt xu, rt kh hi phc li, hoc thm ch s ph sn. C nhn hay t chc mun
rng, vi tin tng cao, v d 99%, s tin b mt s khng vt qu ngng no .
Ngng l ngng m VaR khng c vt qu.
nh ngha hnh thc ca VaR nh sau: gi s c mt ti khon tr gi ban u l
V (0), v gi s l mt s dng cho trc rt nh no , v d = 1%, v gi s T
l mt thi im cho trc no trong tng lai. Gi V (T ) l gi tr ca ti khon ti
im T , c xt nh l mt bin ngu nhin ti thi im ban u. Gi W l s thc
sao cho xc sut V (T ) < W bng , c ngha l ta c th tin rng gi tr ca V (T ) s
khng nh hn W , vi tin tng (confidence) bng 1 . Khi hiu V (0) W (vi
gi s rng hiu ny l s dng) c gi l value at risk VaR ca ti khon, vi
tin tng bng 1 .
C nhiu phng php c lng VaR, v d nh: dng cc m hnh m phng ngu
nhin v th trng, phng php Monte-Carlo, s dng s liu lch s vi RiskMetrics(9) ,
v.v. Tuy nhin, Vic s dng VaR trong thc t gp phi nhng kh khn ln sau:
1) Tuy nh ngha VaR tng i d dng, nhng c lng c n mt cch ang
tin li l vic rt kh (bt k dng phng php no), c bit l vi cc chng khon
phi sinh.
(8)
(9)
154
(6.27)
155
6.6
L thuyt Markowitz
156
Rw =
n
X
wk Rk
(6.28)
k=1
6.6.1
(6.29)
(6.30)
(6.31)
Chng minh ca cng thc trn suy ra trc tip t nh ngha ca phng sai, v tnh
tuyn tnh ca k vng, v ng cho mi cp bin ngu nhin.
Ghi ch 6.5. Mt trng hp ring nhng rt quan trng ca ti khon vi 2 chng
khon, l khi ch c 1 chng khon c ri ro, cn chng khon kia khng c ri ro:
157
w =
p
var(Rw ),
p
var(R1 ),
p
2 = V ar(R2 ),
1 =
cov(R1 , R2 )
l h s tng quan (khi m 1 2 6= 0). H s tng quan lun
1 2
tha mn tnh cht 1 12 1 (xem [7]). Ta c th vit li cc cng thc trn nh sau:
v t 12 =
w = w 1 1 + w 2 2
(6.32)
2
w
= w12 12 + w22 22 + 2w1 w2 12 1 2
(6.33)
Tnh hung
Xc sut
0.4
10%
10%
0.2
0%
10%
0.4
20%
0%
22
= 0, 0024,
t suy ra
2
w
= 0, 000736.
12
= 0, 96309,
158
m (ni cch khc, l ti khon c php bn khng), th khi bng cch thay i w1
ta c th t mc k vng li nhun w cao ty ! (Trn thc t th iu ny khng xy
ra, v k c khi th trng cho php bn khng, th cng khng c php bn khng qu
mt mc no so vi tng gi tr ca ti khon).
Tp hp cc gi tr c th c ca cp s (w , w ), khi w1 thay i trong tp cc s
thc, to thnh mt ng i qua hai im (1 , 1 ) (ng vi w1 = 1) v (2 , 2 ) (ng vi
w1 = 0) trn mt phng ta . Hnh 6.4 l mt v d minh ha.
(6.34)
159
Chng minh. Gi s 12 22 . V w1 , w2 0 nn ta c
w1 1 + w2 2 (w1 + w2 )2 = 2 .
V 1 12 1 nn
2
= w12 12 + w22 22 + 2w1 w2 12 1 2
w
22 12 1 2
.
12 + 22 212 1 2
(6.35)
Nu khng cho php bn khng, th ri ro thp nht xy ra khi w1 = smin cho bi cng
thc
smin
0, s0 < 0,
= s0 , 0 s0 1,
1, 1 < s .
0
(6.36)
1. Nu 12 = 1 v 1 6= 2 th w = 0 khi v ch khi
1
2
,
w2 =
w1 =
1 2
1 2
2. Nu 12 = 1 th w = 0 khi v ch khi
2
w1 =
,
1 + 2
w2 =
1
1 + 2
Xc sut
R1
R2
0.3
5%
5%
0.3
20% 10%
0.4
10% 25%
160
6.6.2
(6.37)
(6.38)
l ma trn hip phng sai ca cc bin li nhun. Ma trn hip phng sai lun c cc
tnh cht sau: i xng, v na xc nh dng. Chng ta s gi s rng ma trn C ny
l kh nghch.
Tng t nh trong trng hp vi 2 chng khon, chng ta c cc cng thc sau cho
php nh gi k vng li nhun v ri ro ca mt danh mc u t:
Mnh 6.7.
w = m.wT
(6.39)
2
w
= w.C.wT .
(6.40)
Chng minh.
n
X
w = E(Rw ) = E(
wi Ri )
i=1
n
X
wi i = mwT
i=1
2
w
n
X
= var(Rw ) = var(
wi Ri )
= cov(
=(
n
X
i=1
n
X
i,j=1
wi Ri ,
i=1
n
X
wj R j )
j=1
wi wj Cij ) = wCwT
161
K hiu
u = (1, . . . , 1)
(6.41)
uC 1
.
uC 1 uT
(6.42)
(6.43)
(6.44)
162
2 = 6%
3 = 10%
1 = 1.5
2 = 0.5
3 = 1.7
12 = 0.3
23 = 0.2
31 = 0.2
2 = 0.3 3 = 0.4
12 = 0.5
23 = 0.2 31 = 0.3
6.6.3
Bin hiu qu
163
(6.45)
164
6.7
M hnh nh gi ti sn vn (CAPM)
u t c cng thng tin v phn tch ging nhau v th trng, v ai cng c danh mc u t hiu qu
theo cng mt kiu
(12)
Xem: http://en.wikipedia.org/wiki/Capital_asset_pricing_model
6.7.1
165
ng th trng vn
166
167
6.7.2
(6.46)
cov(RV , RM )
,
2
M
(6.47)
V = V V M .
(6.48)
2
= var(RM ).
trong V = E(RV ), M = E(RM ), M
V |V |M .
(6.49)
Xc sut
Li nhun RV
Li nhun RM
0.1
7%
8%
0.3
0%
10%
0.4
5%
9%
0.2
20%
13%
Bi tp 6.6. Chng minh tnh cht sau ca nhn t beta: nhn t beta ca mt danh
mc u t V gm n chng khon vi cc t trng w1 , . . . , wn l
V = w1 1 + . . . + wn n ,
168
cov(RV , RM )
(u + m)wVT
V + /
wM CwVT
=
=
=
.
2
T
T
M
M + /
wM CwM
(u + m)wM
(6.50)
Chng 7
Gii tch ngu nhin
Theo ngn ng ton hc, s bin ng theo thi gian ca gi c (nh gi vng, gi
du ha, gi c phiu ca cng ty Intel, v.v.), cng nh ca cc s liu khc (v d nh
mc tng trng kinh t, t l tht nghip, v.v.) c gi l cc qu trnh ngu nhin
(random process), bi v ni chung khng ai c th bit trc c mt cch chnh xc gi
tr ca chng trong tng lai s ra sao. nghin cu cc qu trnh ngu nhin ny, chng
ta s cn dng n mt b phn ca ton hc gi l gii tch ngu nhin (stochastic
calculus). Gii tch ngu nhin tc l gii tch ton hc (cc php tnh gii hn, vi tch
phn, v.v.) p dng vo cc qu trnh ngu nhin, da trn c s ca l thuyt xc sut
thng k.
Trong chng ny chng ta s tm hiu mt s kin thc c bn nht v gii tch ngu
nhin, cn thit cho ton ti chnh. Bn c mun nghin cu su thm v gii tch ngu
nhin c th tm c cc sch chuyn kho, v d nh ksendal [21], Karatzas v Shreve
[15], hoc quyn sch ca tc gi Nguyn Duy Tin [29].
7.1
phn ny, chng ta s coi gi S ca mt c phiu (hay ni mt cch tng qut hn,
ca mt chng khon c gi dng) nh l mt qu trnh ngu nhin nhn gi tr trong
tp hp cc s thc dng, v chng ta s xt mt s m hnh h ng lc ngu nhin
mt chiu n gin m t din bin ca S theo thi gian. Ch rng, do ch c 1 chiu,
nn cc m hnh ny tng i th: s tng tc gia cc thnh phn ca th trng
khng a c vo m hnh, v m hnh ch da trn cc phng trnh bc 1, thay v
phng trnh bc 2 nh trong vt l. Tuy l cc m hnh tng i th, nhng chng vn
169
170
7.1.1
(7.1)
(7.2)
171
(7.3)
(7.4)
Ft
(7.5)
172
(7.6)
(7.7)
173
(7.8)
Pt (A)
Ps (s )
(7.9)
7.1.2
(7.10)
(7.11)
Trong k hiu ca mt m hnh xc sut thng c k hiu ca sigma-i s, nhng cho tin ta
174
Mk (Y ) =
Y dP =
y k dPY (y).
(7.12)
Z
ydPY (y),
E(Y ) =
(7.13)
v phng sai 2 (Y ) ca Y l:
Z
2
(Y ) = (y E(Y ))2 dPY (y) = E((Y E(Y ))2 ) = E(Y 2 ) (E(Y ))2 .
(7.14)
E(ST ) S0
,
S0
(7.15)
(ST )
,
S0
(7.16)
S = S + SE,
trong :
S = S0 l gi c phiu ti thi im 0,
(7.17)
175
bng 60% (16 11.6)2 + 40% (5 11.6)2 = 29.04, v lch chun bng 29.04 5.4.
Ta c m hnh chuyn ng gi c phiu 1 bc
S = S + SE,
(7.18)
(7.19)
176
7.1.3
Sn Sn1
= n + n En ,
Sn1
(7.20)
trong
Sn l gi c phiu ti thi im th n trong tp cc mc thi gian (S0 > 0 l gi
ti thi im ban u).
n l mc li nhun k vng ti thi im th n 1 cho mt bc chuyn ng ca
gi, cn gi l h s trt ca m hnh,
n l h s volatility ( giao ng) ca m hnh,
En l phn ngu nhin chun ha ca m hnh: k vng ca En bng 0 v
phng sai ca En bng 1 (hoc l t bng , trong l bc thi gian).
Mc li nhun n c xc nh ti thi im n1 khi bit tnh hung n1 n1
no xy ra, trong n1 l k hiu khng gian tt c cc tnh hung c th xy ra cho
n thi im th n 1. Bn thn n cng c th coi l mt qu trnh ngu nhin (v
khng bit trc c n ti thi im 0), nhng c gi l mt qu trnh d on
c (predictable) v bit c n ti thi im th n 1, tc l bit trc mt bc
thi gian. Phn b xc sut ca phn sai s ngu nhin n En cng c bit ti thi
im n 1, v do n cng l mt qu trnh d on c.
Ty bi ton, ta c th a thm cc gi thit v iu kin vo m hnh. V d,
cho n gin, ngi ta c th gi s l cc bin sai s n En l mt h cc bin ngu nhin
c lp c cng phn b xc sut. Hoc c th gi s l cc bin ngu nhin En l c
lp vi nhau v c cng phn b xc sut, cn i lng volatility n thay i theo thi
gian. Mt gi thit khc hay c dng, l v l cc hm s theo 2 bin n v S:
n = (n, Sn1 ), n = (n, Sn1 ). Ni cch khc, n v n khng ph thuc vo ton b
tnh hung n1 , m ch ph thuc vo gi Sn1 ti thi im n 1 (nhiu tnh hung
khc nhau c th dn n cng 1 gi ti thi im n 1).
pha di, chng ta s xt m hnh cy nh phn, l mt trng hp n gin ca
m hnh thi gian ri rc. Chnh v n gin, d tnh ton, nn m hnh cy nh phn ny
177
rt quan trng trong thc t. Nhiu chng trnh tnh gi quyn chn trn cc th trng
chng khon th gii l da trn m hnh cy nh phn.
7.1.4
M hnh cy nh phn
Sn1 (1 + un ) nu tin tt
Sn =
S (1 + d ) nu tin xu
n1
(7.21)
(7.22)
(7.23)
(7.24)
178
Pn (n1 , g)
.
Pn1 (n1 )
(7.25)
trong i = (a1 , . . . , ai ),
P (i )
P (i1 )
= pi (i1 ) nu ai = g v
(7.26)
P (i )
P (i1 )
= 1 pi (i1 ) nu
179
180
Sn Sn1
= n + n En : tnh n , n v tm phn b xc sut ca En t
Sn1
cc bin un , dn v pn .
dng chun
7.1.5
(7.27)
(7.28)
hay cn vit l
181
182
tng cc bin ngu nhin c lp, v khi chia mt bc chuyn ng ngu nhin
Bt0 Bt thnh nhiu bc nh theo thi gian th cc bc c lp vi nhau, nn
phng sai ca Bt0 Bt c tnh cht cng tnh theo thi gian, v n c t bng
ng t0 t, sau khi ta chun ha n bng cch a h s volatility vo m hnh.
Ghi ch 7.1. Trong m hnh vi thi gian lin tc (phng trnh (7.27)) pha trn, gi
chng khon cng l hm lin tc theo thi gian. Tuy nhin, trong thc t, c nhng lc
gi chng khon nhy t bin rt mnh. V d, c phiu ca cng ty cng ngh sinh
hc Orexygen Therapeutics (m chng khon: OREX) c gi ng ca hm 31/01/2011
l 9.09$ m gi m ca hm sau ch cn 2.50$, gim 72%, sau khi c tin loi thuc chng
bo m hng nghin cu b chnh ph M t chi cha cho bn ra th trng. Khi c
nhng tnh hung nh vy c th xy ra vi gi chng khon, th vic m hnh ha bng
phng trnh vi phn ngu nhin nh phng trnh (7.27) khng cn c chnh xc, m
phi a vo thm cc gin on (cc bc nhy t bin). Cc qu trnh m gin on
nh vy thng c gi l cc qu trnh c nhy (jump processes), v chng c
a vo cc m hnh bin ng gi chng khon trong cc ti liu gn y, xem chng
hn [4] v Chng 7 ca [16]. Tuy nhin, trong khun kh quyn sch nhp mn ny,
chng ta s tm thi b qua cc gin on, coi gi chng khon l lin tc theo thi gian
v c th m t da trn chuyn ng Brown.
7.2
7.2.1
Martingale
nh ngha tnh cht martingale
7.2. MARTINGALE
183
l A G) ta c
Z
Z
XdP =
Y dP.
(7.29)
(7.30)
(7.31)
7.2.2
(7.32)
No-arbitrage v martingale
184
(7.33)
(7.34)
7.2. MARTINGALE
185
m
X
(7.35)
i=1
186
Pn+1 (n+1 )
,
Pn (n )
(7.36)
Y
Pk (k )
Pn (n ) =
=
P (k 1, k ),
Pk1 (k1 ) k=1
k=1
(7.37)
7.2. MARTINGALE
187
n
Y
P (k 1, k ).
(7.38)
k=1
kt thc chng minh nh l 7.3, chng ta cn cn phi kim tra rng cc phn
b xc sut Pn va xy dng tha mn tnh cht martingale:
E (SN |n ) = Sn (n )
(7.39)
ca chng khon S.
188
(7.40)
vi mi n, th n l mt qu trnh martingale.
Bi tp 7.4. Chng minh rng cc cng thc sau tng ng vi nhau v vi iu kin
t hch ton ca mt chin lc u t:
1) Tng gi tr giao dch ti mi thi im bng 0:
m
X
(xi (n + 1) xi (n))Si (n) + (y(n + 1) y(n))A(n) = 0 vi mi n = 1, 2, . . .
(7.41)
i=1
m
X
i=1
(7.43)
7.2. MARTINGALE
189
l c tnh hung sao cho V (1) < 0), th cng tn ti mt chin lc arbitrage mnh, tc
l mt chin chp nhn c (tha mn thm iu kin V (1) 0 trong mi tnh hung),
vi V (0) = 0 v V (2) > 0 trong mi tnh hung . (C th thay 1 v 2 bng hai s t nhin
k < n bt k trong bi tp ny).
Bi tp 7.6. Xt mt th trng vi mt chng khon khng ri ro A tha mn A(0) = 100,
A(1) = 110, A(2) = 121, v mt c phiu S. Gi s c tt c 3 tnh hung c th xy ra,
v gi ca S trong ba tnh hung s nh sau:
Tnh hung
S(0)
S(1)
S(2)
100
120
144
100
120
96
100
90
96
(7.44)
R d(n)
.
u(n) d(n)
(7.45)
K vng E (S(n)|k ) ca gi c phiu theo phn b xc sut martingale p , khi bit tnh
hung k xy ra cho n thi im k, bng:
E (S(n)|k ) = S(k, k )(1 + R)nk .
(7.46)
190
7.3
Chuyn ng Brown
7.3.1
Xem: http://en.wikipedia.org/wiki/Robert_Brown_(botanist)
Xem: http://en.wikipedia.org/wiki/Norbert_Wiener . Cc nhiu m c m hnh bi chuyn ng
191
(7.47)
192
P { max Bt a} = 2
dx.
(7.48)
0tT
2T
a
Hng dn: vit s kin max0tT Bt a di dng hp khng giao nhau ca hai s kin
BT a v WT > a, trong Wt l gng phn ca Bt qua a nh trong bi tp trc.
7.3.2
(7.49)
(7.50)
193
trng bng phn b xc sut PS trn RT , nhn c t phn b xc sut trn qua
push-forward ca nh x S, v gi l phn b xc sut ca qu trnh ngu nhin St
trn RT : Sigma-i s trn RT l sigma-i s Borel B, sinh bi cc tp con c dng
CtA1 ,...,tn = {f : T R; (f (t1 ), . . . , f (tn )) A},
(7.51)
(7.52)
n
Y
P (Bti Bti1 Di ) =
i=1
n Z
Y
i=1
Di
1
2
ex /2 dx,
2
(7.53)
1
=
( 2)n
Z
A
2 /2
ex1 /2 e(x2 x1 )
2 /2
. . . e(xn xn1 )
dx1 . . . dxn
(7.54)
194
7.3.3
195
Xs
N
X
YM +i
(7.55)
i=1
trong YM +i = X(M
+i) X(M +i1) l tng bc i mt. Theo gi thit, cc bc
196
1
2
ex /2 dx.
2
(7.56)
Ni cch khc, phn b xc sut ca ZN tin ti phn b normal chun tc N (0, 1) khi
N tin ti v cng.
= Yn / N/(t s) = Yn , hay
(7.57)
v bc dch chuyn bng . Gi s t > s > 0 l hai mc thi gian bt k. Khi phn
tn+1 t
X
tn+1 tn tn
ttn
X
tn+1 tn tn+1
v bc dch chuyn bng ) tin ti (theo ngha phn b xc sut) chuyn ng Brown
197
7.3.4
(7.58)
E(Bt Bs |Fs ) = 0,
(7.59)
hay cn c th vit l:
(7.60)
198
(7.61)
vi c l mt s nh hn 1, ln hn 0, v khng ph thuc vo n Z. Bi vy
n
N
Y
n=1
(7.62)
n
199
7.3.5
= sup{
n
X
(7.63)
i=1
(7.64)
= lim
n
X
(7.65)
i=1
200
hn khng tn ti, th ta c th thay lim bng lim sup, nhng i vi chuyn ng Brown,
vn ny khng t ra, v nh ta s thy, gii hn ny tn ti cho hu khp mi qu
o ca chuyn ng Brown).
D thy rng, nu hm s tha mn iu kin Lipschitz, th n c bin phn vnh
phng bng 0. Tng qut hn, nu mt hm s l lin tc v c bin phn hu hn, th
bin phn bnh phng ca n bng 0. (Khng nh ny dnh cho bn c nh l mt
bi tp).
i vi chuyn ng Brown, th bin phn bnh phng l khc 0 nhng hu hn trn
cc on thng thi gian. Hn na, n bng ng di ca on thng:
nh l 7.12. Gi s Bt l mt chuyn ng Brown. Khi hu ht mi qu o B
ca n c bin phn bnh phng trn on thng [a, b] bt k bng ng b a :
QVab (B ) = b a.
(7.66)
N
X
(7.67)
i=1
1
(B (i/N ) B ((i 1)/N ))2 . Khi cc bin ngu nhin YN,i u c phn
N
b xc sut bng phn b xc sut ca (B1 )2 , tc l phn b khi bnh phng 21 (vi
t YN,i =
1 bc t do xem chng 4 ca [7] v phn b khi bnh phng). Nhc li rng, phn b
21 c k vng bng 1. Ta cn chng minh rng
N
1 X
lim
YN,i = 1
N N
i=1
Paul Lvy (18861971) l nh ton hc Php ni ting v cc cng trnh v xc sut, xem:
http://en.wikipedia.org/wiki/Paul_Pierre_Lvy
201
nh l 7.13 (Lvy). Mi qu trnh martingale(5) vi thi gian lin tc, tha mn tnh
cht lin tc (tc l hu ht mi qu o u lin tc), v c bin phn bnh phng hu
hn, u l chuyn ng Brown sau mt php bin i thi gian.
C th xem chng minh ca nh l Lvy ny trong Chng 2 ca quyn sch [15]
ca Karatzas v Shreve.
Bi tp 7.12. Th chng minh trc tip nh l 7.11 m khng cn dng nh l 7.12
7.3.6
(7.68)
E(St |Fs ) = Ss . iu kin E(|St |) < l hin nhin i vi cc qu trnh thc t, c cho thm vo
trong nh ngha cho cht ch v mt ton hc.
202
tng theo thi gian, ch khng bt bin, v do n khng th l martingale. Tuy nhin,
ng thc trn cng cho thy E(exp(Bt t/2)) = 1 l bt bin theo thi gian. Hn na,
ta c:
nh l 7.15. (nh l v nh ngha). Nu Bt l chuyn ng Brown th qu trnh ngu
nhin exp(Bt t/2) l martingale. Qu trnh ngu nhin exp(Bt t/2) ny c gi l
chuyn ng Brown hnh hc chun tc.
Chng minh. Pha trn ta kim tra rng E(Gt |F0 ) = G0 = 1, trong Gt = exp(Bt
t/2) l chuyn ng Brown hnh hc chun tc. Vic kim tra ng thc E(Gt+s |Fs ) = Gs
vi mi s 0, t > 0 hon ton tng t, da trn tnh cht ca chuyn ng Brown Bt .
Tht vy, khi s c nh, th Gt+s /Gs = exp(Bt+s Bs t/2) cng l mt chuyn ng
Brown hnh hc chun tc, v Bt+s Bs cng l mt chuyn ng Brown, do ta c
ng thc trn.
2
7.4
7.4.1
(7.69)
203
(7.71)
df = f 0 dt.
(7.72)
hay
(7.73)
(7.74)
th c ngha l
204
(7.75)
trong /t tin ti 0 khi t tin ti 0 (trong hu khp mi tnh hung), t ta suy
ra cng thc vi phn sau:
dt
d exp(Bt )
= dBt + ,
exp(Bt )
2
(7.76)
hay cn c th vit l:
d exp(Bt ) =
1
exp(Bt )dt + exp(Bt )dBt .
2
(7.77)
(7.78)
7.4.2
205
B It
Mt trong nhng cng thc quan trng m chng ta dng trong phn tch pha trn
v vi phn ca chuyn ng Brown hnh hc l:
(dBt )2 = dt,
(7.79)
(Bt )2 t
= 0,
t0+
t
(7.80)
v n ng vi cng thc bin phn bnh phng ca chuyn ng Brown. Ngoi cng thc
(dBt )2 = dt, cn c vit l dBt .dBt = dt, chng ta cn c cc cng thc sau, tng i
hin nhin, cho vic tnh vi phn cc qu trnh ngu nhin:
dt.dBt = dt.dt = 0.
(7.81)
f (t, Bt )
f (t, Bt )
1 2 f (t, Bt )
dt +
dBt +
dt.
t
x
2
x2
(7.82)
Chng minh ca cng thc trn hon ton tng t nh chng minh ca cng thc
vi phn ca exp(Bt ). So vi trng hp kh vi, th thnh phn cn thm vo trong cng
1 2 f (t, Bt )
thc l
dt, v l do chnh l bi v (dBt )2 = dt. Tht vy, theo khai trin
2
x2
Taylor-Lagrange, ta c
f (t, Bt ) = f (t + t, B(t + t)) f (t, Bt )
= [f (t + t, B(t + t)) f (t, B(t + t))] + [f (t, B(t + t)) f (t, Bt )]
=
f (t, Bt + t)
f (t, Bt )
1 2 f (t, Bt )
t + 1 +
Bt +
(Bt )2 + 2 ,
t
x
2
x2
206
V d 7.4. Ta c d(tBt3 ) = (Bt3 + 3tBt )dt + 3tBt2 dBt , bi v (tx3 )/t = x3 , (tx3 )/x =
3x2 , v 2 (tx3 )/x2 = 6tx.
Mt cch tng qut hn, ta c cng thc sau, gi l cng thc It, hay b It:
nh l 7.17 (B It). Gi s f (t, x) l mt hm s kh vi lin tc theo bin t v
kh vi lin tc 2 ln theo bin x, v Xt l mt qu trnh It tha mn dXt = t dt + t dBt
trong Bt l chuyn ng Brown. Khi ta c:
f
f
t2 2 f
f
df (t, Xt ) =
+ t
+
dt + t dBt
2
t
x
2 x
x
(7.83)
(7.84)
(7.85)
7.5
Tch phn It
f 0 (s)ds.
(7.86)
207
(7.87)
(7.88)
Vn l nh ngha cc tch phn trn sao cho thch hp. Tch phn
Rt
0
s ds c th
c nh ngha theo cch c in (theo nh ngha tch phn Riemann). Tuy nhin, nh
Rt
chng ta s thy, vic nh ngha tch phn 0 s dBs phc tp hn, do Bt c bin phn
Rt
v hn. Trong phn ny, chng ta s bn cch nh ngha tch phn 0 t dBt theo Kioshi
It (19152008), mt trong nhng cha ca gii tch ngu nhin, v tch phn ny c
gi l tch phn It.
7.5.1
n
X
sup
(7.90)
(7.91)
v
L (f, g) =
n
X
i=1
inf
xi [ai1 ,ai ]
f dg =
0
lim
mesh()0
L (f, g) =
lim
mesh()0
U (f, g).
(7.92)
208
Z
f dg =
f g 0 ds,
(7.93)
trong g 0 l o hm ca g.
Nu f v g khng phi l hm s, m l cc qu trnh ngu nhin, sao cho f lin tc v
g c bin phn phu hn, th ta vn c th nh ngha c tch phn RiemannStieltjes
Rt
f dg nh trn. (Bn thn tch phn cng s l mt qu trnh ngu nhin, v ta nh
0
ngha n cho tng tnh hung v tng mc thi gian).
V d 7.5. Nu Bt l mt chuyn ng Brown, th tch phn
Z
Bs ds
Pt =
(7.94)
Rt
0
n
X
sup
(7.95)
(7.96)
L (B, B) =
n
X
i=1
inf
ti [ai1 ,ai ]
209
inf
ti [ai1 ,ai ]
bi vy
U (B, B) L (B, B)
n
X
(7.98)
i=1
V phi ca bt ng thc trn, khi mesh() tin ti 0, chnh l bin phn bnh phng
ca chuyn ng Brown trn on thng thi gian [0, t]. Th nhng, ta bit rng, bin
phn bnh phng ca chuyn ng Brown trn on thng [0, t] bng t, ln hn 0. Do
, U (B, B) L (B, B) khng tin ti 0 khi mesh() tin ti 0, v bi vy khng th
Rt
nh ngha c tch phn 0 Bs dBs theo kiu RiemannStieltjes, v U (B, B) v L (B, B)
khng th c cng gii hn khi mesh() tin ti 0.
V d trn cho thy, v bin phn bnh phng ca Bt khc 0, nn chng ta khng
Rt
th nh ngha c tch phn 0 Bs dBs theo kiu RiemannStieltjes. Do chng ta cn
mt nh ngha tch phn khc, gi l tch phn It.
7.5.2
(7.99)
210
(s)dB(s) =
0
n Z
X
i=1
ti
(s)dB(s) =
ti1
n Z
X
i=1
ti
(ti1 )dB(s) =
ti1
n
X
i=1
hay vit gn li l
Z
(s)dB(s) =
0
n
X
(7.101)
i=1
(7.102)
kkL2 [0,T ] :=
|(t)|2 dt .
(7.103)
211
Z
n
n (s)dB(s).
(s)dB(s) := lim
(7.104)
Rt
Gii hn y cng c hiu theo chun L2 [0, T ] : nu t Fn,t = 0 n (s)dB(s) v Ft =
Rt
RT
(s)dB(s), th ni rng Fn,t tin ti Ft c ngha l limn E 0 |Fn (t) F (t)|2 dt = 0.
0
chng t rng nh ngha trn c ngha, ta phi chng minh l gii hn v phi ca
Rt
cng thc trn tn ti (tc l dy cc tch phn It Fn,t = 0 n (s)dB(s) l mt dy
Cauchy theo chun L2 [0, T ]), v khng ph thuc vo s la chn dy n . Cc khng nh
ny c suy ra t mt ng thc gi l ng c It (xem nh l 7.19). Chng ta s
b qua chng minh y.
Trong trng hp m qu trnh l lin tc bn tri v b chn a phng (locally
bounded tc l tp hp cc tnh hung sao cho qu o chy ra v cng trong khong
thi gian hu hn c xc sut bng 0 cc qu trnh ngu nhin m chng ta quan tm
n trong sch ny u b chn a phng), ta c th xy dng dy qu trnh s cp n
trn [0, T ] hi t n theo chun L2 [0, T ] nh sau: t
n (t) = ([nt/T ]T /n)
(7.105)
n1
X
t dBt = lim
0
k=0
kT
(k + 1)T
kT
)(B(
) B( )).
n
n
n
(7.106)
Bs dBs =
0
Bt2
t
,
2
2
(7.107)
212
Rt
0
Bs dBs
Bs dBs = lim
0
n1
X
k=0
B(
kT
(k + 1)T
kT
)(B(
) B( ))
n
n
n
"
#
n1
X
1
(k
+
1)T
kT
= lim
(B(t))2
(B(
) B( ))2 .
n 2
n
n
k=0
n1
X
k=0
(B(
(k + 1)T
kT
) B( ))2 = t,
n
n
Rt
0
Fs dFs =
Ft2 /2 (nh ngha tch phn mt cch tng t, hoc theo nh ngha RiemannStieltjes),
trong khi trong cng thc (7.107) c thm thnh phn t/2 v phi. V d n gin
ny cho thy nh hng ca bin phn bnh phng vo gi tr ca tch phn It.
7.5.3
213
Tuyn tnh: Tng t nh tch phn thng thng, tch phn It c tnh cht tuyn
tnh: nu a v b l hai hng s th
Z t
Z t
Z t
(as + bs )dBs = a
s dBs + b
s dBs .
0
(7.108)
tch phn It tha mn tnh cht c bn sau, lin h gia php tnh vi phn v php tnh
Rt
tch phn: nu Ft = 0 s dBs , trong s l mt qu trnh ngu nhin c tch phn bnh
Rt
phng hu hn, th dFt = t dBt , v ngc li, nu dFt = t dBt , th Ft = F0 + 0 s dBs .
Tng qut hn, nghim ca phng trnh vi phn ngu nhin
dXt = t dt + t dBt
l
s dBs .
s ds +
Xt = X0 +
(7.109)
(7.110)
Rt
0
Tnh ngc li, theo b It, d dng thy rng d(Bt2 /2 t/2) = Bt dBt .
ng c It: ng c It l mt cng thc gii tch cho php nh gi chun ca cc
qu trnh ngu nhin (c dng chng hn trong vic chng minh s hi t ca mt dy
qu trnh ngu nhin nh ngha theo tch phn It).
nh l 7.19 (ng c It). Nu l mt qu trnh ngu nhin c bnh phng kh tch
th ta c
"Z
2 #
s dBs
Z
=E
|s | ds
2
(7.111)
vi mi t 0.
Vic chng minh ng c trn l mt bi tp dnh cho bn c trong trng hp m
l mt qu trnh s cp. Trng hp tng qut suy ra t trng hp cc qu trnh s
cp bng php ly gii hn.
Mt h qu trc tip ca ng c It l: nu s l mt qu trnh c bnh phng kh
Rt
tch th tch phn It Ft = 0 s dBs cng l mt qu trnh c bnh phng kh tch.
Bin phn bnh phng: Ta c ng thc sau cho bin phn bnh phng ca tch
phn It:
QV0t (F )
Z
=
0
|s |2 ds
(7.112)
214
c ngha l
E (Ft |Fs ) = Fs
(7.113)
vi mi t > s.
Chng minh. Trong trng hp m l mt qu trnh s cp, th nh l trn kh hin
nhin, v E(Bt0 Bt00 Ft ) = Bt Bt = 0 vi mi t0 , t00 > t. Trng hp tng qut suy ra
t trng hp ring ny bng cch ly gii hn trong nh ngha tch phn It.
Khng nh ngc li cng ng, v n c bit di tn gi nh l biu din
martingale: Nu Mt l mt qu trnh martingale, lin tc, tng thch vi lc sigma-i
s sinh bi chuyn ng Brown Bt , v c bnh phng kh tch, th n vit c di
dng tch phn It.
Cng thc tch phn tng phn. Trong tch phn
integrator (bi ly tch phn). nh ngha tch phn It p dng c khng nhng
ch cho integrator l chuyn ng Brown, m cn cho cc integrator tng qut hn, c
dng semi-martingale. Theo nh ngha, mt qu trnh ngu nhin Xt c gi l semimartingale nu n vit c di dng tng ca hai thnh phn, Xt = At + Mt , trong
At c bin phn hu hn, cn Mt l martingale a phng (tc l tha mn tnh cht
martingale (7.113)). Tng t nh trng hp tch phn RiemannStieltjes c in, ta c
cng thc tch phn tng phn sau: nu Xt v Yt l hai semimartingale th
Z t
Z t
Xt Yt = X0 Y0 +
Xs dYs +
Ys dXs + [X, Y ]t ,
0
(7.114)
lim
mesh()0
n
X
(Xai Xai1 )(Yai Yai1 ),
(7.115)
i=1
215
cho tch phn Riemann-Stieltjes v cng thc tch phn tng phn cho tch phn It nm
chnh thnh phn hip bin phn bnh phng ny.
V d 7.8. Trong trng hp c bit, khi Yt = Xt l cng mt qu trnh ngu nhin, th
[X, Y ]t = [X, X]t chnh l qu trnh bin phn bnh phng ca Xt , v ta c cng thc
sau:
Z
0
1
Xs dXs = (Xt2 X02 [X, X]t ).
2
(7.116)
7.6
7.6.1
o hm RadonNikodym
216
ZdP,
(7.117)
(7.120)
Z
XdQ =
(7.121)
XZdP,
(7.122)
o hm Radon-Nikodym Zt =
dQ
|
dP Ft
217
dQ
|
dP Ft
l mt martingale trn
dQ
| .
dP Ft
7.6.2
nh l CameronMartin
(7.123)
218
Tht vy, ta c:
P (Xt a) = P (Bt + t a) = P (Bt a t)
Z at
Z
2 t
1
2 t
x2
dP =
exp x
)dx,
=
exp Bt
exp(
2
2
2t
t2
Bt at
bi v phn b xc sut ca Bt theo P l phn b N (0, t) vi hm mt
1
x2
).
exp(
2t
t2
P (Xt a) =
)dy = PN (0,t) (] , a]),
exp(
2t
t2
c ngha l phn b xc sut ca Xt theo P cng chnh l phn b normal N (0, t). Cc
iu kin khc cng c kim tra mt cch tng t.
Ghi ch 7.5. V Bt = (Bt + t) t, v theo nh l trn th (Bt + t) l chuyn ng
Brown chun tc theo phn b xc sut P , nn Bt tr thnh chuyn ng Brown c h
s trt bng theo phn b xc sut P .
Bi tp 7.17. p dng nh l trn, hy tm o hm RadonNikodym ca bin i xc
sut bin chuyn ng Brown Bt + t vi h s trt thnh mt chuyn ng Brown
vi mt h s trt khc cho trc.
7.6.3
(7.124)
219
(7.125)
(7.126)
(7.127)
0tT
0tT
r 2 /2
ln(A/S0 )
t + Bt )
}.
t
=
r 2 /2
ln(A/S0 )
v =
,
(7.128)
ta cn tnh
P { max (Bt + t) }.
(7.129)
0tT
0tT
220
exp((2
x)
T
/2)
= exp(x 2 T /2) exp(x
dx
+
dx
2T
2T
R
2
/2T )
vi
=
7.6.4
r 2 /2
ln(A/S0 )
v =
.
(7.130)
(7.131)
nh l Girsanov
(7.132)
(7.133)
(7.134)
(7.136)
221
222
Chng 8
Quyn chn
Trn th gii c nhiu loi quyn chn khc nhau, nhng ch c hai loi thng dng
nht, l quyn chn kiu u (European-style option) v quyn chn kiu M
(American-style option), v ph bin nht l kiu M. Phn ln quyn chn ca cc
c phiu chu u cng l quyn chn kiu M. Trong chng ny, chng ta s tm hiu
cc tnh cht c bn ca cc quyn chn kiu u v kiu M, v cc m hnh nh gi
chng, c bit l m hnh BlackScholes, c Fisher Black v Myron Scholes xy dng
v Robert Morton pht trin t nm 1973 cho quyn chn kiu u(1) , v m hnh nh phn
CoxRossRubinstein c xy dng nm 1979. M hnh nh phn CoxRossRubinstein
c th p dng c cho nhiu trng hp hn l m hnh Black-Scholes, v c dng
lm phng php tnh gi quyn chn kiu M trn cc th trng chng khon trn
th gii, v d nh th trng chng khon chu u Eurex(2) .
Nhc li rng, cc quyn chn mua (call option, gi tt l Call) l cc quyn cho
php mua, nhng khng bt buc phi mua, cc mt hng no , ti cc thi im no
, vi gi no theo tha thun t trc, trong cc iu kin no . Tng t nh
vy, cc quyn chn bn (put option, gi tt l Put) l cc quyn cho php bn vi cc
iu kin no , nhng khng bt buc phi bn.
Mt quyn chn mua kiu u (European Call) l mt hp ng cho php nh u
t mua mt n v ca mt hng ha hay ti sn S no (gi l underlying asset)
vi mt gi X c c nh, gi l gi thc hin (exercise price hay strike price)
ti mt thi im T trong tng lai cng c c nh, gi l thi im o hn
(1)
Scholes v Morton c trao gii thng Nobel v kinh t nm 1997 nh m hnh ny. Lc Black
223
224
(exercise time hay expiry time). Nu thay ch mua bng ch bn trong nh ngha
ny, th ta c mt quyn chn bn kiu u (European Put).
Mt quyn chn mua kiu M (American Call) l mt hp ng cho php nh u
t mua mt n v ca mt ti sn (underlying asset) S vi mt gi thc hin (strike
price) X c c nh ti mi thi im cho n mt thi im o hn (expiry time)
T trong tng lai cng c c nh. Mt quyn chn bn kiu M (American
Put) cng c nh ngha tng t nh l mt call option kiu M, nhng thay ch mua
bng ch bn.
S khc nhau gia quyn chn kiu u v quyn chn kiu M l quyn chn kiu
M cho quyn mua (nu l Call) hoc bn (nu l Put) vo thi im T hoc mi thi
im trc , trong khi quyn chn kiu u ch cho quyn mua/bn ti ng thi im
T thi. V s khc nhau ny, vic nh gi gi tr ca quyn chn kiu M ni chung s
phc tp hn so vi quyn chn kiu u, tuy rng trong nhiu trng hp th gi ca
quyn chn kiu M v kiu u s gn nh nhau, thm ch ng bng nhau.
cho n gin, trong chng ny, ta s ch xt cc quyn chn ca c phiu, tc l
ta s coi rng ti sn S l c phiu, c gi lun khng m, tuy rng nhiu cng thc trong
chng ny c th dng c cho trng hp tng qut hn. Ta s lun gi s rng ga
thc hin l s dng: X > 0.
8.1
225
8.1.1
(8.1)
(8.2)
Chng minh. i) n thi im T , nu S(T ) > X th ngi gi 1 Call kiu M hay kiu
u u c th mua 1 c phiu vi gi X theo quyn ca ci Call , ri bn li ngay vi
gi S(T ), v thu c chnh lch l S(T ) X > 0. Trong trng hp ny th con s
chnh l gi tr ca Call, v bi vy cng l gi ca Call. Nu S(T ) X, th quyn
mua c phiu vi gi X ti thi im T khng c gi tr g, tc l gi ca n bng 0, v
c th mua trn th trng vi gi S(X) nh hn hoc bng X. Tng t nh vy cho
cc Put.
ii) V cc Call v Put ch l quyn ch khng c ngha v g c, nn gi ca n
khng th m. Gii thch theo nguyn l no-arbitrage: v gi tr ca cc Call v Put ti
thi im T lun lun ln hn hoc bng 0, nn gi ca chng ti mi thi im t T
cng khng m.
8.1.2
226
(8.3)
(8.4)
8.1.3
nh l 8.3. Option kiu u lun c gi nh hn hoc bng quyn chn kiu M (vi
cng ga thc hin v thi im o hn):
C E C A ; P E P A.
(8.5)
Chng minh. Cc quyn chn kiu M cho quyn ln hn cc quyn chn kiu u: quyn
chn kiu u ch cho quyn mua/bn ti ng thi im T , trong khi quyn chn kiu
M cho quyn mua bn c cc thi im trc T . Ci g cho nhiu quyn hn th phi
c gi tr ln hn hoc bng ci g cho t quyn hn, theo nguyn l no-arbitrage.
nh l 8.4. Nu c phiu khng tr c tc, th Call kiu u v Call kiu M c gi bng
nhau (ti mi thi im):
C E = C A.
(8.6)
227
8.1.4
(8.7)
(8.8)
228
(8.9)
ii) Nu c phiu c tr c tc th ta c
S(t) Xer(T t) C A (t) P A (t) S(t) divtT X.
(8.10)
229
230
8.1.5
(8.11)
X P A (t) (X S(t))+ ,
(8.12)
(8.13)
(8.14)
ii)
iii)
iv)
8.2
8.2.1
(8.15)
232
ii)
0 P E (X 00 , t) P E (X 0 , t) er(T t) (X 00 X 0 ),
(8.16)
0 C A (X 0 , t) C A (X 00 , t) X 00 X 0 ,
(8.17)
0 P A (X 00 , t) P A (X 0 , t) X 00 X 0 .
(8.18)
iii)
iv)
(8.19)
8.2.2
S ph thuc vo gi ca c phiu
(8.20)
(8.21)
234
8.3
phn ny, chng ta s tho lun m hnh BlackScholes tnh gi cc quyn chn
kiu u cho mt c phiu S. Cc gi thit ca m hnh ny l, trong khong thi gian
c xt:
- C phiu S khng tr c tc, v gi ca S lun lun dng.
- C mt mc li sut kp c nh, l hng s r > 0. Hay ni cch khc, tn ti mt
chng khon khng ri ro A sao cho
A(t) = A(0)ert > 0
(8.22)
(8.23)
(8.24)
235
V
V
1 2V 2
dt +
dS +
dS .
t
S
2 S 2
(8.25)
2V
V
1
V
V
+ S
+ 2 S 2 2 )dt + S
dBt .
t
S
2
S
S
(8.26)
V
V
1 2 2 2V
V
+ S
+ S
+ xS dt+S
+ x dBt . (8.27)
t
S
2
S 2
S
V
|t=t0 ti thi im t = t0 (x l hng s, khng thay i theo t). Khi
S
ti thi im t = t0 ta c:
V
1 2 2 2V
dt |t=t0 =
+ S
dt,
(8.28)
t
2
S 2
Ta chn x =
(8.29)
V
1
2V
V
+ 2S 2 2 + r
S rV = 0
t
2
S
S
theo hai bin t v S, vi hm n l hm V = V (t, S).
(8.30)
236
(8.31)
(8.32)
237
(8.33)
(8.34)
(8.35)
v B l chuyn ng Brown.
suy ra phng trnh BlackScholes t nh l 8.10, ta dng phn b xc sut
martingale, i tn x thnh S, t (t, S) = rS, = G l hm payoff, cn f (t, S) =
er(T t) V (t, S) l gi tr tng lai ti thi im T ca gi quyn chn ti thi im t. Khi
, theo cng thc FeynmanKac, tc l theo nh l 8.10, th f tha mn phng trnh
o hm ring
f
1
2f
f
+ 2 S 2 2 + rS
= 0.
(8.36)
t
2
S
S
T d dng suy ra rng V (t, S) = er(T t) f (t, S) tha mn phng trnh BlackScholes.
Bi tp 8.4. Chng minh ca nh l 8.10 tng i n gin, v lm bi tp cho bn c
t tm hiu. Hy th t chng minh n, bng cch p dng b It vo qu trnh ngu
nhin f (t, St ). ri ly tch phn theo bin thi gian ca hai v. Nu khng c th xem
cch chng minh chng hn y: http://en.wikipedia.org/wiki/Feynman-Kac_formula
(3)
Xem: http://en.wikipedia.org/wiki/Richard_Feynman
Xem: http://en.wikipedia.org/wiki/Mark_Kac
(5)
Cng thc ny c thit lp bi Kac trong bi bo: M. Kac, On Distributions of Certain Wiener
(4)
238
8.4
mc ny, ta s tm cng thc tnh gi quyn chn kiu u theo m hnh Black
Scholes, bng cch s dng phn b xc sut martingale p , trong trng hp m volatility
l hng s. (Trong thc t th volatility c th thay i theo thi gian, nhng n
gin ha s tnh ton ngi ta s ly mt volatility trung bnh cho khong thi gian
c xt, coi n nh l hng s).
Nhc li rng, theo phn b xc sut martingale p , gi ca c phiu S tha mn
phng trnh vi phn ngu nhin:
dSt = rSt dt + St dBt .
(8.37)
2
)t + Bt ).
2
(8.38)
(8.39)
dSt 1 1
dSt 2
2
(dS
)
=
+
dt,
t
St
2 St2
St
2
(8.40)
2
)dt + dBt ,
2
(8.41)
2
)t
2
(8.42)
Tng t nh vy, ti mt thi im t cho trc, khi S(t) coi nh bit, ta cng c
th vit, vi T > t:
2
T t ) = St exp(Y ),
ST = St exp((r )(T t) + B
2
(8.43)
239
2
T t , v B
s l mt chuyn ng Brown bt u ti thi
trong Y = (r 2 )(T t) + B
s = Bt+s Bt ).
im t (thay v bt u ti thi im 0, hay c th vit rng B
(k vng bng 0 v lch chun bng s). Ti thi im t, bin ngu nhin Y =
2
T t c phn b chun N ((r 2 )(T t), 2 (T t)), vi k vng bng
(r )(T t) + B
(r
2
2
)(T
2
(8.44)
(8.45)
r(T t)
E (G(ST )|t ) = e
r(T t)
(8.46)
vi (t, y) = p
exp
2 2 (T t)
(y (r 2 )(T t))2
2 2 (T t)
!
.
Cng thc thc trn chnh l cng thc nh gi cho mt quyn chn kiu u vi hm
payoff l G, vi iu kin volatility l hng s. Ta s kim tra rng hm V (t, St ) cho
bi cng thc (8.47) tha mn phng trnh o hm ring BlackScholes v iu kin
bin V (T, S) = G(S).
Cng thc (8.47) khng nh ngha trc tip cho t = T , nhng c th ly gii hn
V (T, S) = limtT V (t, S): Khi t tin ti T t th phn b xc sut N ((r
2
)(T
2
240
trung ti duy nht mt im 0, v do v phi ca cng thc (8.47) tin ti G(ST exp(0))
khi t tin ti T , tc l ta c iu kin bin V (T, S) = G(S).
kim tra rng V (t, S) cho bi cng thc (8.47) tha mn phng trnh (8.30), ta
c th lm nh sau:
Ly o hm ca hai v ca cng thc (8.47) theo bin t ta c:
Z
V (t, S)
d(t, y)
r(T t)
= rV (t, S) + e
G(Sey )
dy.
t
dt
(8.48)
trong G0 l k hiu o hm ca G. V
Z
d(G(Sey )(t, y))
dy = 0
dy
dG(Sey )
d(t, y)
d(G(Sey )(t, y))
=
(t, y) + G(Sey )
,
dy
dy
dy
(8.49)
Tng t nh vy, ta c:
V (t, S)
S (S
) = er(T t)
S
S
Mt khc, S
G(Sey )
d2 (t, y)
dy.
dy 2
V (t, S)
2 V (t, S)
V (t, S)
(S
) = S2
+S
, bi vy ta c:
2
S
S
S
S
Z
2
2
d(t, y)
2 V (t, S)
r(T t)
y d (t, y)
S
=
e
G(Se
)(
+
)dy.
2
2
S
dy
dy
(8.50)
241
chng minh rng hm V (t, S) cho bi cng thc (8.47) tha mn phng trnh
BlackScholes (8.30), ta ch cn phi kim tra rng hm mt
2
(y (r 2 )(T t))2
2 2 (T t)
exp
(t, y) = p
2 2 (T t)
(8.52)
C (t, S) = e
r(T t)
(8.53)
trong (t, y) =
1
2 2 (T t)
exp
r(T t)
, hay cn c th vit l:
(8.54)
(8.55)
C (t, S) = e
ln Xln S
Cc cng thc trn c th c n gin ha, bng cch khai trin v i bin, tr
thnh cc cng thc sau, gi l cng thc BlackScholes:
C E (t, S) = SN (d1 ) Xer(T t) N (d2 ),
(8.56)
(8.57)
trong :
Z
N (x) =
1
2
ey /2 dy
2
(8.58)
ln(S/X) + (r + 2 /2)(T t)
ln(S/X) + (r 2 /2)(T t)
, d2 =
.
T t
T t
(8.59)
242
8.5
Cc ch ci Hy Lp
ngi ta ba ra n nh l tn gi Hy Lp ha ca ch v, ch ci u ca t volatility).
V
iv) rhoV =
. (Ch ci Hy Lp rho vit l , ng vi ch ci La M r, ch ci u
ca t rate, ch mc li sut)
2V
. (Ch ci Hy lp Gamma vit l ).
v) GammaV =
S 2
Cc cng thc sau tnh cc ch ci Hy lp ti thi im t = 0 cho Call kiu u l
h qu trc tip ca cng thc BlackScholes:
i) deltaC E = N (d1 ).
S
2
ii) thetaC E =
ed1 /2 rXerT N (d2 ).
2 2T
243
S T d21 /2
e
.
iii) vegaC E =
2
iv) rhoC E = T XerT N (d2 ).
1
2
v) GammaC E =
ed1 /2
S 2T
T cc cng thc trn, ta rt ra mt s kt lun sau v gi ca Call kiu u (cng
bng gi ca Call kiu M, nu c phiu khng tr c tc): C E l hm n iu tng theo
bin gi c phiu S (v delta dng), v l hm li (v Gamma dng). Hn na, n l
hm n iu gim theo bin thi gian t (v theta m: theta chnh l mc suy gim theo
thi gian ca gi quyn chn), n iu tng theo bin li sut, v n iu tng theo
bin volatility.
ngha ca cc ch ci Hy Lp (cc o hm ring ca hm gi quyn chn), l n
cho php tnh ton qun l ri ro cho cc danh mc u t hay bun bn chng khon
c cha quyn chn. V d, mt nh u t ang gi c phiu XYZ no , nhng e ngi
v chuyn gi ca XYZ c th giao ng mnh theo chiu hng bt li. Khi , nh u
t c th lm gim nh hng ca ti khon vo giao ng ca gi c phiu XYZ
i (tc l lm gim delta ca ti khon theo gi c phiu XYZ i), bng cch bn mt
lng Call hoc/v mua mt lng Put ca XYZ. Lng Call bn i v Put mua vo ty
thuc vo delta m nh u t mun c. Vic mua bn quyn chn nhm mc ch gim
delta nh vy c th khng lm thay i ng k k vng li nhun ca danh mc u
t, nhng lm gim c volatility, tc l lm gim ri ro cho danh mc u t, khin
cho danh mc u t tr nn hiu qu hn.
Bi tp 8.6. Chng minh rng hm gi P E ca Put kiu u theo m hnh BlackScholes
l hm n iu gim theo bin gi c phiu, l hm li theo bin gi c phiu, n iu
gim theo bin thi gian, n iu gim theo bin li sut, v n iu tng theo bin
volatility.
8.6
M hnh CoxRossRubinstein
Bi bo cng b l: Cox, John C., Stephen A. Ross, and Mark Rubinstein, Option Pricing: A Sim-
244
(8.60)
S(k + 1) = d.S(k).
(8.61)
u = exp(. t),
d = exp(. t).
(8.62)
(8.63)
245
exp(rt) d
.
ud
(8.64)
(8.65)
(8.66)
i=0
"
P = exp(rT )
n
X
#
Cni pni (1 p)i max(X uki di S, 0) ,
(8.67)
i=0
(8.68)
(8.70)
chnh l gi ca Put kiu M. Tng t nh vy cho Call kiu M. Thut ton trn c
vit d dng thnh chng trnh my tnh p dng tnh gi quyn chn kiu M
nhiu ni.
246
Ghi ch 8.4. M hnh CRR rt l tng qut v cho thut ton tng i n gin
tnh nhiu loi quyn chn khc nhau. Tuy nhin, vic tnh ton dng n php lp (k
chy t n n 0) c th tn kh nhiu cng sut my tnh. C mt s thut ton khc
c th cho php tnh gi quyn chn mt cch hiu qu hn trong mt s trng hp.
V d nh m hnh Whaley (phng php xp x bnh phng) tnh quyn chn kiu
M. M hnh ny xut hin t nm 1987 trong bi bo: G. Barone-Adesi, R. E. Whaley,
Efficient analytic approximation of American option values, Journal of Finance, Vol. 42,
No. 2, 1987, 301 320. (Xem chng hn [18]).
Ch mc
n by (leverage), 136
c nh t gi (pegging), 18
nh l CameronMartin, 219
model), 181
nh l Girsanov, 222
nh l Kolmogorov, 195
nh l i ngu, 57
nh l arbitrage, 54
ng c It, 215
im Markowitz, 167
ch s ICOR, 133
248
CH MC
duration, 87
lm pht (inflation), 8
lng cung tin (money supply), 6
li n (simple interest), 69
li kp (compound interest), 73
li kp kin tc (continuously compounded
interest), 76
li sut (interest rate), 11, 69
li sut chit khu (discount rate), 72
li sut coupon, 84
li sut hiu dng (effective interest rate),
74
li sut hon vn (yield to maturity), 85
log-normal, 203
h s khuych i, 16
hp ng hon i (swap), 39
li sut (yield), 74
CH MC
249
250
CH MC
252
[12] Joel Greenblatt, The little book that beats the market, John Wiley & Sons, 2006.
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2011, 841pp.
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Chapman & Hall/CRC, 2000.
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253