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FinancialMathBook1 PDF
FinancialMathBook1 PDF
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.
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
vii
viii MC LC
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
2 CHNG 1. MT S KHI NIM V TIN T
(1)
Xem: http://en.wikipedia.org/wiki/Hyperinflation
1.2. NGUYN TC TNG TIN BNG 0 3
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.
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
6 CHNG 1. MT S KHI NIM V TIN T
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.
S khan him hng ha, to nn bi nhiu l do khc nhau nh thin tai, thiu ht
ngun nhn lc, qun l kinh t km, khai thc qu mc, v.v. V d, hn hn xy
ra chu u nm 2010 lm cho gi lng thc ton th gii tng ln cao. C hi
ngy cng khan him v b nh bt qu mc, nn gi ca chng ngy cng tng
ln. S khan him cng c th l gi to, do gii u c to ra y gi ln.
Xut nhp khu. Xut nhp khu lm thay i lng cung hng ha th trng
trong nc. V d nu xut khu go qu mc, th to khan him go trong nc.
8 CHNG 1. MT S KHI NIM V TIN T
Gi c trn th gii. Gi thnh trn th gii thay i cng ko theo gi thnh trong
nc thay i. V d nh gi du ha trn th gii nh hng trc tip n gi xng
du ti Vit Nam.
Mt s yu t nh hng n cu l:
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.
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.
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 CHNG 1. MT S KHI NIM V TIN T
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).
R R , (1.2)
ch yu l do cc chnh ph (M, Anh, Php, Canada, Nht Bn, Italia, c, v.v.) pht
hnh(5) .
(5)
Xem: http://en.wikipedia.org/wiki/Inflation-indexed_bond
14 CHNG 1. MT S KHI NIM V TIN T
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 :
Tng/gim t l d tr bt buc.
C tnh thanh khon cao: c chp nhn lm cng c thanh ton nhiu nc
trn th gii, d dng chuyn i sang cc ng tin ca cc nc khc, v c
nhiu ngi nc ngoi gi lm d tr ti sn.
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
1.7. NGOI T V T GI NGOI T 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 1. MT S KHI NIM V TIN T
Th trng ti chnh
19
20 CHNG 2. TH TRNG TI CHNH
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)
Xem: http://en.wikipedia.org/wiki/Foreign_exchange_market
(2)
Xem: http://en.wikipedia.org/wiki/Bond_market
2.1. CHC NNG V CU TRC CA TH TRNG TI CHNH 23
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
Cc tri phiu c k hn cng di th ri ro v li sut, tc l gi ca chng thay
i khi li sut thay i, cng cao. (iu ny s c gii thch r hn trong Chng
4). Cc tri phiu rt ngn hn th hu nh khng c ri ro v li sut, tc l k c khi
li sut i ln, th gi ca chng ni chung cng khng b gim i. Chnh v vy m cc
chng khon n trn th trng tin t u l cc chng khon n ngn hn. Mt s loi
chng khon n ngn hn ch yu trn th trng tin t l:
Tn phiu kho bc (treasury bills) l loi tri phiu ngn hn ca chnh ph (khi
pht hnh thng c k hn l 3 thng, 6 thng, hay 1 nm), c chnh ph bn ra vi
gi di mnh gi, v bi vy chng cn c xp vo loi tri phiu chit khu (discount
bond). Ngi gi tn phiu ny n lc o hn th c chnh ph tr cho tin ng
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 CHNG 2. TH TRNG TI CHNH
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
2.3 C phiu
Mt cng ty c phn l mt cng ty trch nhim hu hn (tc l cc ch s hu
khng c trch nhim phi tr n cho cng ty trong trng hp b v n), m quyn s
hu n c chia lm nhiu phn, gi l cc c phn. Giy t ghi nhn quyn s hu cc
c phn thng c gi l c phiu (stock, share): thng thng th mi c phiu
ng vi mt c phn. Nhng ngi s hu cc c phn ny, tc l nhng ngi nm gi
cc c phiu, chnh l cc ch s hu ca cng ty, v c gi l cc c ng (stockholder
hay shareholder). V d: cng ty c phn Sa Vit Nam (Vinamilk, m c phiu trn th
trng Vit Nam: VNM) c tng cng khong 351 triu c phiu lu hnh vo u nm
2010. iu c ngha l quyn s hu cng ty c chia thnh 351 triu phn, v nu
ngi no c 1000 c phiu ca Vinamilk th tc l s hu 1000 phn 351 triu (bng
khong 0,000285%) cng ty .
Khi mt cng ty c phn mun c thm vn pht trin, th c th gi vn bng
cch pht hnh thm c phiu, tc l in ra c phiu mi bn cho cc nh u t. Khi
lm nh vy, th t l s hu cng ty ca mi c phiu gim i (v d nh khi s c phiu
ca cng ty tng t 9 triu ln 10 triu, th mi c phn ang t s hu 1 phn 9 triu
cng ty gim xung cn 1 phn 10 triu), nhng b li tng gi tr ca cng ty tng ln
(v c thm tin bn c phiu vo ti sn ca cng ty). Ngc li, khi cng ty c tha
tin d tr, c th mua li bt c phiu ca chnh cng ty trn th trng chng khon.
Khi lm nh vy th s c phiu ca cng ty gim i, ko theo t l s hu cng ty ca
mi c phn tng ln, nhng b li tng gi tr ca cng ty cng gim i v chi tin
cho vic mua c phn.
Cc cng ty c phn thng c ch pht hnh mt s c phiu ca cng ty cho
cc nhn vin ca cng ty, theo mt ch u i v gi v thi hn mua. Vic bn c
phiu u i ny l mt hnh thc tr th lao cho cc nhn vin ca cng ty, lm cho
cc nhn vin cng tr thnh c ng ca cng ty, vi mc ch khin cho h gn b hn
(5)
Xem: http://en.wikipedia.org/wiki/Collateralized_debt_obligation
2.3. C PHIU 29
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. CC CHNG KHON PHI SINH 33
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 CHNG 2. TH TRNG TI CHNH
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.
(7)
Xem http://online.wsj.com/mdc/public/page/mdc_commodities.html
(8)
Xem http://money.cnn.com/data/commodities/
(9)
Xem http://en.wikipedia.org/wiki/Option_(finance)
36 CHNG 2. TH TRNG TI CHNH
2.4.3 Hp ng hon i
(11)
Xem: http://en.wikipedia.org/wiki/Long-Term_Capital_Management
2.6. QUN L H THNG TI CHNH 43
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)
2.6. QUN L H THNG TI CHNH 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 2. TH TRNG TI CHNH
Chng 3
47
48 CHNG 3. KINH DOANH CHNH LCH GI
0:
R = x.VX + y.Vy + z.VZ (x + y + z).
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.
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:
n
X
R(x) = Rj (x) = xi rij . (3.1)
i=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
m m
!
X X
p.(rij )T = r1j pj , . . . , rnj pj . (3.5)
j=1 j=1
(1)
Xem http://en.wikipedia.org/wiki/Leonid_Kantorovich
56 CHNG 3. KINH DOANH CHNH LCH GI
vi
! 1 0 0
x1
x= ,c = 3 4 ,A =
1 1 , b = 10 .
x2
0 1 8
C nhiu cch khc nhau biu din bi ton tn ti chin lc kinh doanh chnh
lch gi x di dng mt bi ton qui hoch tuyn tnh, v suy ra nh l 3.2 t nh l
3.3. Chng hn, ta c th lm nh sau:
Coi cc thnh phn x1 , . . . , xn ca vector chin lc (x1 , . . . , xn ) nh l cc bin s
ca mt bi ton qui hoch tuyn tnh. Cc iu kin rng buc l ni=1 xi rij 0 vi
P
Bi tp 3.3. Xt bi ton qui hoch tuyn tnh: tm max 10x1 + 7x2 vi iu kin
!
3 3 2 0
x1 x2 3 4 12 5 .
11 0 4 3
V d 3.6. Gi s th trng chng khon c li sut bng 0, v giao dch duy nht mt
loi c phiu X, thi im hin ti T0 v mt thi im tng lai T1 . Ti thi im hin
ti T0 th gi ca X l 100$. Vo thi im T1 th c th c 3 tnh hung xy ra vi gi
ca X: 140$, 90$, v 80$. Hi phn b xc sut trung ha ri ro trn tp cc tnh hung
ra sao ?
Gi xc sut ca tnh hung gi 140$ l p1 , ca tnh hung gi 90$ l p2 , v ca tnh
hung gi 80$ l p3 . Khi (p1 , p2 , p3 ) l mt b 3 s khng m, tho mn hai phng
trnh
p1 + p 2 + p3 = 1
v
p1 .140 + p2 .90 + p3 .80 = 100.
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 CHNG 3. KINH DOANH CHNH LCH GI
hay l
F (0, T ) + (1 + R)T t D = (1 + R)T S(0). (3.11)
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)
i
bi v mt ngi c th dng VND mua USD t thi im 31/01/2011 ri cho vay bng
tin USD trong 1 nm, hoc l cho vay s tin VND trong 1 nm ri dng s tin
VND cng vi li c c sau 1 nm chuyn thnh USD theo hp ng k hn, v hai
cch phi cho kt qu tng ng.
3.5. NH GI HP NG K HN V HP NG TNG LAI 65
nn ta cng c th vit:
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
67
68 CHNG 4. LI SUT V TRI PHIU
mt s tin l:
V (t) = (1 + tR)P = P + tRP, (4.1)
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$, c
360 360
ngha l tin li nhn c cho khon tin gi ny l 4.49$.
t suy ra P
= 98044 .
V (t)
V (0) = (4.7)
1 + tR
4.1.3 Li kp
Ni cch khc, mc li nhun K(0, t) = (V (t) V (0))/V (0) trong trng hp ny chnh
bng tm
R
K(0, t) = 1 + 1 (4.12)
m
Cc cng thc trn c gi l cc cng thc tnh li kp (compound interest), bi v n
c tnh n chuyn li m li con. K c khi m tm khng phi l s nguyn, th cng
thc tnh li kp ny vn c s dng theo cc qui c tnh li sut theo li kp.
Vi cng mt mc li sut danh ngha nh nhau, v cng mt k hn tin gi nh
nhau, th li kp s cho mc li nhun cao hn l li n:
tm
R
1+ 1 > tR, (4.13)
m
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
triu VND.
4.1. CC CNH TNH LI SUT 75
r tm
Ghi ch 4.2. V hm 1 + l hm n iu tng theo m, v gii hn ca n khi
m
tm
m tin ti v cng l exp(rt), nn ta c 1 + mr < exp(rt). C ngha l, vi cng mt
mc li sut danh ngha, th li sut tnh theo li kp lin tc ln hn l li sut tnh
theo mi li kp khc.
V (t) = (1 + R/m)tm V (0) = exp(tm ln(1 + R/m))V (0) = exp(tr)V (0) (4.21)
r = ln(1 + R) (4.23)
v
R = er 1. (4.24)
V = etr W (4.25)
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:
mti
X R0
V = 1+ Ci . (4.27)
i
m
Nm 1 2 3 4 5 6
Tin 465 233 632 365 334 248
0.0399 60 0.0399 72
+334(1 + ) + 248(1 + ) 2003.01
12 12
Ch rng gi tr hin ti ca khon u (tng cng bng 2277) t s khc so vi tng
cc khon tin nhn c trong vng 6 nm.
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) =
P (0.05/12, 240) = (1 (1 + 0.05/12)240 )/(0.05/12) 151.525, do
Tt nhin, trn thc t, him ai bit c trc l mnh s cn nhn c bao nhiu
thng lng hu k t khi v hu, v tui th mi ngi mt khc. Bi vy, lng hu
4.2. GI TR V LI SUT CA DNG TIN T 81
X
V (0) = (1 + R)ti Ci . (4.35)
i
R = x12 1 0.1544,
ln B 1 B
= (4.36)
r B r
T suy ra duration ca n l:
ln B B 1 1.er + 2.e2r + 33.e3r
D= = = .
r r B 1.er + 1.e2r + 11.e3r
T cng thc trn, ta c th thy ngay rng duration ca tri phiu ny nh hn 3, tc
ngn hn k hn ca tri phiu, nhng ln hn 1. l bi v tri phiu ny c th coi l
1 dng tin gm 3 phn: 1 phn c duration bng 1 (coupon u tin), 1 phn c duration
bng 2 (coupon th hai), v mt phn c duration bng 3 (coupon th ba cng vi mnh
gi). Duration ca tri phiu l trung bnh cng c trng lng ca ba ci duration khc
nhau , bi vy n nm gia 1 v 3.
86 CHNG 4. LI SUT V TRI PHIU
Cng thc tnh duration ca tri phiu cho thy, tri phiu no c k hn cng di,
th gi ca n s cng nhy so vi s thay i li sut. V d, i vi mt tri phiu c
duration l 20 nm, th ch cn li sut thay i 0.2% lm cho gi ca n thay i
khong 20 0.2% = 4%. iu ny gii thch v sao gi ca cc tri phiu di hn trn th
trng c giao ng ln (trong khi gi ca cc tri phiu ngn hn t giao ng). V
d, trong vng 5 thng 04-08/2010, gi ca cc tri phiu chnh ph di hn M (loi
20 nm tr ln) tng trung bnh hn 20%, ng vi vic li sut tri phiu chnh ph gim
khong 1.5%.
Khi nim duration l mt khi nim v cng quan trng trong ti chnh, v n lin
quan trc tip n vn u t v qun l ri ro cc sn phm n. V d, nu mt nh
u t tri phiu ngh rng li sut ang cao, s gim i, th thng s chn gi cc tri
phiu c duration ln, v duration cng ln th gi s cng tng mnh khi m li sut
gim xung. Ngc li, nu nh u t ngh rng li sut ang thp, c th tng ln,
th s ngn ngi khi u t vo cc tri phiu c duration ln, m s chn cc tri phiu
vi duration ngn, b gim gi khi li sut tng. Cc nh bng nu vay vo ngn hn
m cho vay ra di hn, th s c kh nng ri ro l: khi li sut cao ln th cc khon
cho vay di hn b gim gi tr i nhiu so vi cc khon vay vo ngn hn, dn n nh
bng b l. (iu ny tng xy ra trn thc t). chnh l ri ro v li sut, hay cn c
th gi l ri ro v thi hn, khi m duration ca tng cc khon vay vo v cho vay ra
l khc 0.
Gi s mt ngi mun u t tri phiu trong mt khong thi gian T no (vo
thi im T th ngi ny cn rt tin ra). Nu c tri phiu zero-coupon cn thi hn
ng bng T , th cch n gin nht cho ngi ny l mua tri phiu , s bit chc l
n thi im T mnh s c bao nhiu tin. Nhng nu trn th trng khng c tri phiu
nh vy, th vic u t c th tr nn bp bnh hn, v khng bit l n thi im T s
c bao nhiu tin, v c th c ri ro v li sut (li sut c th dao ng ngc hng
lm nh hng xu n khon tin s c ti thi im T ). gim thiu ri ro ny, v
yn tm hn v s tin s c ti thi im T (khng b thp hn so vi l nu mua c
tri phiu zero-coupon vi thi hn nh mun), ngi ny c th tm cch u t vo
mt r tri phiu c duration ban u bng T , ri iu chnh n ti cc thi im sau sao
cho duration lun bng thi gian u t cn li. nh l sau cho thy v mt l thuyt
4.3. DURATION CA TRI PHIU 87
Bi
= rBi (4.40)
t
v
dBi Bi Bi dr Bi dr
= + = rBi + . (4.41)
dt t r dt r dt
(2)
tc l li sut c th thay i theo thi gian nhng khng ph thuc vo bn thn tri phiu
(3)
iu chnh tc l mua bn tri phiu trong r, nhng khng rt tin khi r hoc cho tin thm vo,
v cc coupon nhn c th cng li trong r u t tip cho n khi ht k hn T
88 CHNG 4. LI SUT V TRI PHIU
Vic iu chnh r tri phiu nhng khng thm bt tin vo th hin qua ng thc
sau:
X di
Bi = 0. (4.42)
i
dt
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:
dV X dBi
= i , (4.43)
dt i
dt
c ngha l
X Bi
(t T )V = i . (4.45)
i
r
Kt hp cc ng thc trn li vi nhau, ta c
dV X dBi X X Bi dr dr
= i = i rBi + ( i ) = rV + (t T )V , (4.46)
dt i
dt i i
r dt dt
tc l
d(ln V ) dr d(rt) dr
= 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)
t=0 dt dt
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 89
4.4 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 CHNG 4. LI SUT V TRI PHIU
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)
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
4.5. CU TRC K HN TNG QUT 93
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)
nhc li rng, t k hn trong cm t hp ng k hn l ch thi im m hp ng c
thc hin trong tng lai, ch khng phi l ch k hn ca tri phiu
94 CHNG 4. LI SUT V TRI PHIU
Mnh 4.6. Cc li sut log k hn r(s, t) c th c tnh theo cng thc sau:
tr(0, t) sr(0, s)
r(s, t) = (4.55)
ts
vi mi 0 s < t.
Chng minh. Mnh 4.5 cng vi cc cng thc tnh li sut cho ta ng thc sau:
Ghi ch 4.9. Cu trc k hn tng qut rt quan trng trong vic xc nh li sut ca
cc hp ng vay n k hn. V d, hnh dung mt doanh nghip ln k hoch xy nh
my mi pht trin sn xut, v cn vay tin cho vic . Nhng khng phi l cn
vay ngay, m l 1 nm sau mi cn vay. Nu nh doanh nghip ny i mt nm ng
n lc cn tin mi i vay, th c th s phi chu ri ro v li sut: nu lc m li
sut tng ln ngoi d kin, th khon vay s tr nn t hn d kin, nh hng xu n
ti chnh ca doanh nghip, v c th bin mt d n ang t li tr thnh l. trnh
ri ro , doanh nghip s lm mt hp ng k hn t by gi cho khon vay vo 1 nm
sau, vi mt li sut k hn xc nh t by gi. Cu hi l li sut k hn bng bao
nhiu l hp l ? Cu tr li ph thuc vo tn nhim v ti chnh (credit rating) ca
danh nghip, v cu trc k hn tng qut. (Khi tn nhim mc cao nht, c th
vay vi li sut k hn cho bi cu trc k hn tng qut).
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) :
(6)
Xem: http://en.wikipedia.org/wiki/Credit_score
(7)
Xem: http://en.wikipedia.org/wiki/Credit_score_(United_State)
98 CHNG 4. LI SUT V TRI PHIU
Chng 5
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.
99
100 CHNG 5. PHN TCH GI C PHIU
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:
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 CHNG 5. PHN TCH GI C PHIU
(1)
lc ch s P/E ca CHKP di 5, cng ty khng b mc n v ang pht trin mnh
104 CHNG 5. PHN TCH GI C PHIU
hay c th vit l
D1
V = . (5.2)
Rg
(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 CHNG 5. PHN TCH GI C PHIU
g(5-year) + inflation
g= , (5.6)
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)
C th tm thng tin v cc c phiu trong ch s Dow Jones chng hn y:
http://finance.yahoo.com/q/cp?s=^DJI
5.2. C LNG GI TR THT CA C PHIU 109
vi N
1+g 1+
M = V /E1 = (5.11)
1+R (1 + g)(R )
c gi l h s nhn gi tr (value multiple), nu bit li nhun E1 (cho nm ti)
v bit h s nhn gi tr M th tnh c gi tr ca cng ty.
Ghi ch 5.3. Mc tng trng chng ta bn n pha trn l mc tng trng trn u
mt c phiu. Nu cng ty tng trng li nhun bng cch i mua cc cng ty khc
bng c phiu ca mnh, phnh ra bng cch tng s c phiu ln, th c th l li nhun
tnh trn u c mt phiu khng tng. Vic nh gi mc tng trng trong tng lai
l mt vic kh, i hi c nhng phn tch v m (v d v t trng ca ton b mng
th trng m cng ty tham gia trong nn kinh t, v mc tng trng ca mng ),
v phn tch v v th cnh tranh ca cng ty. Cc nh gi ca cc phn tch vin c
nhng khi qu lc quan, nu nhn t quan im v m. V d nh M, c lc cng ty
thc phm no cng c nh gi c tc tng trng cao n gp 2 ln tc tng
5.3. CC LC TC NG N GI C PHIU 111
5.3 Cc lc tc ng n gi c phiu
C phiu cng l mt mt hng, v nh vy gi ca n cng tun theo qui lut cung
cu ca th trng. Mi khi c ngi t mua c phiu, th iu to mt lc y gi
c phiu i ln. Ngc li, mi khi c ngi t bn c phiu, th iu to mt lc
y gi c phiu i xung. Nu nh lc y ln trung ha vi lc y xung, tc l s
c phiu mun mua cn bng vi s c phiu mun bn, th gi ca c phiu s khng
thay i. Nhng t khi c s cn bng hon ho. Vo mt thi im bt k, thng c s
chnh lch v bn ny hoc bn kia gia s c phiu mun mua v s c phiu mun bn
112 CHNG 5. PHN TCH GI C PHIU
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$.
5.3.2 Tm l th trng
(3)
Xem: http://en.wikipedia.org/wiki/Tulip_mania
116 CHNG 5. PHN TCH GI C PHIU
sau .
5.3.3 Cc ngoi lc
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
ngy nay ngi ta gi l chuyn ng Brown
(6)
Xem: http://en.wikipedia.org/wiki/Burton_Malkiel
(7)
Xem: http://en.wikipedia.org/wiki/Efficient-market_hypothesis
(8)
Xem: http://en.wikipedia.org/wiki/Eugene_Fama
5.3. CC LC TC NG N GI C PHIU 121
(9)
Xem: http://en.wikipedia.org/wiki/James_Harris_Simons
122 CHNG 5. PHN TCH GI C PHIU
5.4.1 H s volatility
Ghi ch 5.7. Cng thc (5.14) l cng thc tnh giao ng xy ra, v bi vy n
c gi l volatility lch s. giao ng xy ra ny c th hon ton khc vi
giao ng s xy ra trong tng lai. Khng c cch no tnh trc tip volatility tng
lai, tuy rng cc volatility lch s cho ta mt hnh dung v giao ng v c lng cho
tng lai, vi gi thit rng lch s lp li, c ngha l nhng g s xy ra trong tng
lai cng tun theo cng cc qui lut nh l nhng g xy ra trong qu kh, v bi vy
cc giao ng trong tng lai cng tng t nh trong qu kh. C mt cch tnh gin
tip giao ng trong tng lai ca gi c phiu, thng qua gi ca cc quyn chn, m
chng ta s cp n trong Chng 8. giao ng tnh gin tip theo cch ny c
gi l implied volatility.
V d 5.10. Volatility lch s ca Walgreen cho khong thi gian 3 thng tnh n ngy
22/04/2010 l 22.65%, trong khi ca Wal-Mart cho cng qung thi gian ch l 12.46%.
(iu ny th hin mt cch trc gic trn Hnh 5.9). Ch rng h s volatility thng
c vit di dng %. Khng c qui c th no l volatility thp hay cao, nhng ni
chung c th hnh dung rng volatility di 20% th l mc thp, trn 40% th l mc
cao. V d, volatility lch s ca cng ty Baidu (mt cng ty internet ln ca Trung Quc
cnh tranh vi Google) cho khong thi gian 1 nm tnh n 22/04/2010 l 41% (thuc
loi cao), ca PetroBrasil (hng Du ha Brazil) cho cng thi gian l 36% (tng
i cao), ca hng xe Honda l 27% (qung trung bnh), ca cng ty Vivus (mt cng ty
cng ngh sinh hc, lm thuc chng bo ph v mt s thuc khc) l 76% (rt cao), ca
Wal-Mart l 15% (thuc loi thp). S liu ly t trang web http://morningstar.com.
Bi tp 5.5. Bi tp thc hnh: tnh volatility lch s ca cc c phiu Vit Nam, cho
cc khong thi gian khc nhau (1 thng, 3 thng, 1 nm, v.v.)
5.4.2 H s beta
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:
v
= E(rS ) E(rM ), (5.19)
N2
S M 1 X
trong E(r r ) = rnS rnM l gi tr k vng thc nghim (tc l gi tr
N2 N1 + 1 n=N
1
S M
trung bnh) ca r r theo cc s liu lch s bit t thi im N1 n thi im N2 ,
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
1
PN2 M 1
PN2 2
cht sau: E() := N2 N 1 +1 n=N1 n = 0, cov(, r ) = 0, v N2 N1 +1 n=N1 (n ) t cc
tiu, tc l tng bnh phng ca cc sai s l nh nht c th.
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.
Investor confidence (nim tin ca nh u t), o bng chnh lch gia li sut
tri phiu chnh ph v li sut ca tri phiu doanh nghip c ri ro v c cng k
hn 20 nm. tng l, cc nh u t cng tin tng vo trin vng lm n v
kh nng tr n ca cc doanh nghip, th s cng t i hi v chnh lch li sut
gia tri phiu c ri ro v tri phiu khng ri ro.
(11)
Xem: http://en.wikipedia.org/wiki/Arbitrage_pricing_theory. L thuyt ny cn c gi a l
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
131
132 CHNG 6. QUN L DANH MC U T
6.1.2 a dng ha
Li khuyn trn trong sch Talmud tuy rt n gin nhng cng rt sng sut v hiu
nghim. Nh t, doanh nghip, v d tr (nh l vng, hay tin gi ngn hng) l ba
loi hnh u t khc nhau, phc v cc nhu cu khc nhau, vi cc k vng v li nhun
v an ton khc nhau, khi kt hp vi nhau th cho c mt r ti sn v m bo
c mc an ton cao, va c trin vng li nhun tt.
Ni mt cch tng qut, a dng ha ti sn l bin php hiu qu nhm gim ri ro.
Khi a dng ha ti sn th ri ro gim i, bi v mi lc ri ro c th xy n vi mt
loi ti sn no , ch thng khng xy n vi tt c cc ti sn cng mt lc. Nu
ch gi mt ti sn, m ri ro xy n vi ti sn , th s b thit hi nng n. Nhng
khi gi nhiu loi ti sn, th mc thit hi chung trn tng ti sn s nh hn nhiu
khi ri ro xy ra vi mt trong cc ti sn.
6.1.3 n by ti chnh
6.1.4 m an ton
6.1.6 u t c t chc
6.2.2 Bt ng sn
cho ta thy l gi ca o ny (tnh theo USD, cha tr i lm pht) tng trung bnh
khong 6.75% trong 385 nm. Nu tr i lm pht th c l cn di 5%/nm. M y
l mt thnh cng tuyt vi v bt ng sn, him ni no c nh vy. Bi vy, c th
ni rng, u t vo bt ng sn c em li li nhun v lu di, nhng t l li nhun
trung bnh khng vt qu 5%/nm sau khi tr i lm pht. (Tt nhin, cng c nhng
giai on gi nh t ln cn st, tng gi rt nhanh, nhng v lu di vn khng vt
5%). u t vo vng em li li nhun bng 0, cn u t bt ng sn em li li
nhun dng, l bi v bt ng sn c nhng hiu ng lm tng gi tr m vng khng
c: khi mt mnh t cng c xy dng ln trn , cng c nhiu ngi mun n ,
tr thnh trung tm, th gi tr ca n cng tng ln.
Tt nhin, u t bt ng sn cng c ri ro, c bit i vi nhng ai mua vo lc
ang c bong bng bt ng sn. V d, bong bng bt ng sn Tokyo thp k 1980
y gi nh t ln n tn my xanh, c nhng khu c gi n 1 triu USD mt mt
vung, nhng ri gi gim trong sut nhiu nm sau . Vo nm 2004, gi nh Tokyo
6.2. CC LOI HNH U T 139
6.2.3 Cc sn phm n
(4)
Xem http://en.wikipedia.org/wiki/Japanese_asset_price_bubble
(5)
Cc con s thng k v th trng M giai on 19252005 y l ly t Ibbotson Associates 2006
Yearbook
140 CHNG 6. QUN L DANH MC U T
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
Ghi ch 6.1. u t vo doanh nghip, khng nht thit phi mua c phiu, m cn
c cch khc, l xy dng doanh nghip. Cch ny kh hn l cch th nht, v t ngi
lm c. Nhng ngi giu nht th gii thng khng phi l nhng ngi mua c
phiu gii, m l nhng ngi xy dng doanh nghip gii, to ra c phiu bn cho ngi
khc ly vn xy doanh nghip. Th trng chng khon c cng dng to iu kin
cho nhng ngi khng bit xy dng doanh nghip cng c th c hng li t cc
doanh nghip tt bng vic u t vo nhng ngi bit xy dng doanh nghip. trong
sch ny chng ta s khng bn n vic xy dng doanh nghip, m ch bn n vic
u t chng khon vo cc cng ty c sn.
Con s
n
Y
1/n
R = (1 + R(n)) 1 = ( (1 + Ri ))1/n 1 (6.5)
i=1
Khi
Vj (0)
wj = (6.7)
V (0)
m
X
R= wj Rj (6.8)
j=1
V d 6.1. Thng k th trng chng khon M trong vng 80 nm 19252005 cho thy,
t l li nhun trung bnh ca vic u t vo c phiu l 10.3%/nm (cha tr i lm
pht), tuy rng c nhng giai on th trng i xung. Da vo con s , ngi ta cng
c th k vng rng, li nhun trung bnh ca vic u t vo c phiu M trong nhng
nm ti cng s t qung 10%/nm (hay 7%/nm sau khi tr i lm pht). Tng t
nh vy, da vo cc con s thng k trn th trng Vit Nam trong giai on 20002011,
ngi ta cng c th k vng rng li nhun trung bnh cho u t c phiu Vit Nam
s t qung 14%/nm (cha tr lm pht) trong nhng nm sau .
vng t l li nhun s l:
k
X
E(R) = pi Ri . (6.9)
i=1
Ghi ch 6.3. Mt vn quan trng khi tnh ton vi k vng l phi lm sao m bo
tnh khch quan v nht qun ca n. V d, nu cng ty nc gii kht no cng k
vng tng trng 10%/nm, trong khi ton b th trng nc gii kht th gii ch c
k vng tng trng 5%/nm, th nh vy l khng nht qun, v iu c ngha l c
th nhiu cng ty c k vng tng trng ch quan, thiu thc t. Tng t nh vy, cc
146 CHNG 6. QUN L DANH MC U T
con bc thng c k vng li nhun ch quan l s dng, trong khi k vng li nhun
khch quan l s m.
nh ngha 6.1. Mt hm s
U : F (, F, P ) R {} (6.11)
Petersbourg (7) .
nh ngha 6.2. Hm tha dng Bernoulli l hm tha dng cng tnh cho bi hm
s
c ngha l
Z
UBernoulli (RA ) = ln(1 + RA )dP. (6.15)
(7)
Xem http://en.wikipedia.org/wiki/St._Petersburg_paradox. Theo nghch l ny, th c mt tr
chi St. Petersbourg m phi mua v mi c vo chi, v v l thuyt th k vng li nhun ca tr
chi ny l bng v cng, nhng ngi ta vn khng sn sng tr tin v cao qu mt s tin no .
6.4. HM THA DNG 149
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)
6.5 Cc thc o ri ro
Ri ro l khi nim v kh nng xy ra nhng tnh hung xu hn d kin. i vi
u t, c th l kh nng b mt tin (ri ro tuyt i), hay l c tin nhng
thp hn mong i hay khng c bng mt mc tham chiu no (ri ro tng i).
Chng ta c th xt ri ro tng i tng t nh l ri ro tuyt i, bng cch ch tnh
li nhun thng d (bng li nhun tr i mc li nhun tham chiu) thay v tnh tng
li nhun. Ngc li, khi ta c mt thc o ri ro tng i v bit c mc li nhun
tham chiu, th n cng cho ta mt c lng v mc ri ro tuyt i.
trong mc ny chng ta s im qua mt s thc o ri ro c in hay c
dng. Bn c mun tm hiu su thm v cc thc o ri ro c th tham kho cc ti
liu nh [17, 25]
t l li nhun:
p p
(RA ) = var(RA ) = E((RA E(RA ))2 ). (6.22)
Tuy v d trn cho thy, lch chun l mt thc o rt thiu chnh xc ca ri ro,
nhng n vn l mt thc o ri ro c a chung trong cc l thuyt ti chnh, v mt
s l do: Th nht l n d c lng (da trn s liu lch s), c bit trong thi k
m cng sut my tnh cn yu v ngi ta phi da trn nhng th i hi t thi gian
s dng my tnh. Th hai l n ng vi khi nim dd giao ng (volatility) ca gi
c, trong cc m hnh bin ng gi c ca chng khon. Vi gi s l gi c cc chng
khon tun theo phn b normal hay log-normal, th phn b c xc nh bi hai
yu t: k vng v lch chun. Chnh v vy m lch chun ng vai tr quan trng
trong cc cng thc tnh ton c lng trong ti chnh. (Trn thc t th phn b xc
sut ca gi c thng nng ui hn l phn b log-normal, do c nhng tnh hung
c th xy ra khin cho gi nhy t bin ln rt cao hoc xung rt thp, nhng c th
tm coi l phn b log-normal l xp x gn ng ca phn b thc t, vi sai s tm
chp nhn c).
Mt ci tin ca lch chun v phng sai (phng sai chng qua l bnh phng
ca lch chun), l khi nim na phng sai (semi-variance). nh ngha ca na
152 CHNG 6. QUN L DANH MC U T
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:
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)
Xem chng hn: http://en.wikipedia.org/wiki/Basel_II
(9)
Xem: http://en.wikipedia.org/wiki/RiskMetrics
154 CHNG 6. QUN L DANH MC U T
(10)
Modern portfolio theory ca Markowitz cn c gi a l mediocre portfolio theory, v theo l
thuyt ny th khng ai u t c tt hn mc trung bnh ca ton th trng
156 CHNG 6. QUN L DANH MC U T
n
X
Rw = wk Rk (6.28)
k=1
Mnh 6.3. Ta c cc cng thc sau tnh k vng v phng sai ca bin li nhun
Rw = w1 R1 + w2 R2 ca danh mc vi vector chin lc w = (w1 , w2 ):
v
var(Rw ) = w12 .var(R1 ) + w22 .var(K2 ) + 2w1 w2 .cov(R1 , R2 ), (6.30)
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:
6.6. L THUYT MARKOWITZ 157
w = w 1 1 + w 2 2 (6.32)
v
2
w = w12 12 + w22 22 + 2w1 w2 12 1 2 (6.33)
12
= 0, 0184, 22
= 0, 0024, 12
= 0, 96309,
t suy ra
2
w = 0, 000736.
158 CHNG 6. QUN L DANH MC U T
V2 max{12 , 22 }. (6.34)
6.6. L THUYT MARKOWITZ 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
w = w12 12 + w22 22 + 2w1 w2 12 1 2
w12 12 + w22 22 + 2w1 w2 1 2
= (w1 1 + w2 2 )2 22 .
Trng hp 12 22 c chng minh tng t.
Mnh 6.5. Gi s 1 < 12 < 1. Nu cho php bn khng, th danh mc u t c
ri ro t nht, theo ngha lch chun li nhun thp nht, l danh mc c w1 = s0 cho
bi cng thc
22 12 1 2
s0 = . (6.35)
12 + 22 212 1 2
Nu khng cho php bn khng, th ri ro thp nht xy ra khi w1 = smin cho bi cng
thc
0, s0 < 0,
smin = s0 , 0 s0 1, (6.36)
1, 1 < s .
0
m = (1 , 2 , . . . , n ) (6.37)
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)
v
2
w = w.C.wT . (6.40)
Chng minh.
Xn
w = E(Rw ) = E( wi Ri )
i=1
n
X
= wi i = mwT
i=1
Xn
2
w = var(Rw ) = var( wi Ri )
i=1
n
X n
X
= cov( wi Ri , wj R j )
i=1 j=1
n
X
=( wi wj Cij ) = wCwT
i,j=1
6.6. L THUYT MARKOWITZ 161
K hiu
u = (1, . . . , 1) (6.41)
uC 1
w= . (6.42)
uC 1 uT
Chng minh. S dng phng php nhn t Lagrange vi
1
F (w, ) = wCwT uwT ,
2
ta tnh ra
w = uC 1 .
Do
uC 1 uT = 1.
Mnh 6.9. (Ri ro thp nht cho mc k vng li nhun nh trc). Trong cc danh
mc c k vng li nhun bng mt s V cho trc, danh mc c w thp nht l danh
mc cho bi vector chin lc sau:
1 uC 1 mT uC 1 uT 1
1
uC + mC 1
V mC 1 mT mC 1 uT V
w= . (6.43)
uC 1 uT uC 1 mT
1 1
T T
mC u mC m
w = uC 1 + mC 1 ,
162 CHNG 6. QUN L DANH MC U T
uC 1 uT + uC 1 mT = 1
mC 1 uT + mC 1 mT = V
Ghi ch 6.6. Cng thc trong mnh pha trn c th cho mt danh mc u t c
bn khng, tc l c mt s chng khon c t trng m. Nut yu cu khng c bn
khng, th phi iu chnh cng thc, v k vng li nhun khng th vt qua mt mc
no (v tp cc chin lc c php l mt tp compact, nn tp cc k vng li
nhun c th t c cng l tp compact).
Bi tp 6.3. Tnh w v w ca mt danh mc u t bit:
wC = u + m. (6.45)
6.7.1 ng th trng vn
V |V |M . (6.49)
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 CHNG 6. QUN L DANH MC U T
V = R0 + V (M R0 ). (6.50)
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].
169
170 CHNG 7. GII TCH NGU NHIN
s,t : (t , St , Pt ) (s , Ss , Ps ) (7.1)
1
Pt (s,t (A)) = Ps (A). (7.2)
7.1. MT S M HNH BIN NG GI CHNG KHON 171
= lim t , (7.3)
t
t : t , (7.4)
St : t R, (7.6)
St t : R. (7.7)
(t |s := {t t | s,t (t ) = s }, Pt |s ) (7.8)
Pt (A)
Pt |s (A) = Pt (A|s ) = (7.9)
Ps (s )
ST : (T , PT ) R+ (7.10)
v phng sai 2 (Y ) ca Y l:
Z
(Y ) = (y E(Y ))2 dPY (y) = E((Y E(Y ))2 ) = E(Y 2 ) (E(Y ))2 .
2
(7.14)
R
S = S + SE, (7.17)
trong :
S = S0 l gi c phiu ti thi im 0,
7.1. MT S M HNH BIN NG GI CHNG KHON 175
S = S + SE, (7.18)
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.
un , dn : n1 R. (7.22)
P (i ) P (i )
trong i = (a1 , . . . , ai ), P (i1 )
= pi (i1 ) nu ai = g v P (i1 )
= 1 pi (i1 ) nu
ai = b. Chng ta s gi s cc phn b xc sut y l khng suy bin, c ngha l cc
xc sut r nhnh tha mn bt ng thc 0 < pn < 1.
Cc i lng un , dn v pn c th c coi nh l cc qu trnh ngu nhin, v chng
khng nhng ph thuc vo n, m cn c th ph thuc vo tnh hung xy ra. Cc qu
trnh ngu nhin ny l d on c, c ngha l t thi im th n 1 bit c
cc gi tr ca un , dn v pn .
V d 7.3. Mt m hnh nh phn hai bc, tc l vi n = 2:
S0 = 100 (gi thi im 0 l 100)
S1 (g) = 125 (gi thi im 1 l 125 nu tin tt)
7.1. MT S M HNH BIN NG GI CHNG KHON 179
Sn Sn1
dng chun = n + n En : tnh n , n v tm phn b xc sut ca En t
Sn1
cc bin un , dn v pn .
hay cn vit l
dSt = (t, St )St dt + (t, St )St dBt , (7.28)
Phn b xc sut ca bin ngu nhin Bt0 Bt (ti thi im t) l phn b normal
N (0, t0 t) vi k vng bng 0 v phng sai bng t0 t.
Cc tnh cht trn ca thnh phn chuyn ng Brown Bt trong phng trnh vi phn
ngu nhin (7.27) c th c gii thch mt cch trc gic nh sau:
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 Martingale
l A G) ta c Z Z
XdP = Y dP. (7.29)
A A
nh ngha 7.2. Mt qu trnh ngu nhin S tng thch vi mt khng gian xc sut c
lc (, (Ft ), P ) c gi l mt martingale, hay gi l tha mn tnh cht martingale,
nu nh vi mi cp mc thi gian s < t, k vng ca St theo sigma-i s Ft chnh bng
Ss :
E(St |Ft ) = Ss vi mi t > s. (7.32)
= S(t) A(0) ,
S(t) (7.33)
A(t)
Chng minh. Tht vy, gi s l tn ti chin lc arbitrage (x1 (n), . . . , xm (n), y(n)) ti
nt n ca th trng (tc l vi gi s rng n xy ra). Khi , ta c th xy dng mt
chin lc nh sau t thi im 0:
- Ti cc thi im < n, cc s lng chng khon u bng 0.
- Ti thi im n: nu n xy ra, th chn cc s lng chng khon (x1 (n), . . . , xm (n), y(n))
bng ng theo chin lc arbitrage ca nt n ; nu tnh hung khc xy ra, th vn gi
nguyn mi s lng chng khon bng 0.
- Kt thc ti thi im n + 1 (tc l rt ht s lng cc chng khon ri ro v 0 ti
thi im ny).
D dng thy rng chin lc trn l d chp nhn c, v n l mt chin lc arbitrage
cho th trng.
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)
t suy ra
E (Sn+1 |n ) = E (A(0)Sn+1 /A(n + 1)|n ) = Sn (n ),
E (Sn+1 |n ) = Sn (n ), (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
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:
PX (A) = P (X A) (7.50)
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
Ghi ch 7.4. iu kin iii) trong nh ngha ca chuyn ng Brown hay c thay bng
iu kin sau:
iii) Vi mi 0 t0 < t1 < . . . < tn , b n bin ngu nhin (Bt1 Bt0 , Bt2 Bt1 , . . . , Btn
Btn1 ) l mt b bin ngu nhin c lp. Ni cch khc, cc bc i ca chuyn ng
Brown l c lp vi nhau.
Mt qu trnh ngu nhin tha mn iu kin iii) pha trn th c gi l mt qu
trnh c gia s c lp (independent increments).
D thy rng iu kin iii) l h qu ca iu kin iii). Trong trng hp m lc Ft
trong m hnh xc sut chnh l lc sinh bi qu trnh ngu nhin, th iu kin iii) tng
ng vi iu kin iii).
trong YM +i = X(M
+i) X(M +i1) l tng bc i mt. Theo gi thit, cc bc
i YN +i l c lp vi nhau v c cng phn b xc sut l phn b Bernoulli, tc l
Xt Xs l tng ca N bin ngu nhin cng phn b xc sut. Khi N ln (tc l nh,
v ta gi s s v t c nh, v t s = N ), ta c th s dng nh l gii hn trung tm
nghin cu phn b xc sut ca Xt Xs . Trc ht, nhc li nh l gii hn trung
196 CHNG 7. GII TCH NGU NHIN
Trong nh l trn, t v s khng nht thit phi chia ht cho (bng nhn vi
mt s nguyn), v mi qu trnh ngu nhin Xt vi thi gian ri rc u c th c
coi l qu trnh ngu nhin vi thi gian lin tc, qua mt cng thc ni suy. V d, nu
tn < t < tn+1 , trong tn v tn+1 l hai mc thi gian lin tip ca qu trnh ri rc,
th ta c th t Xt = Xtn (coi n l bt bin trn tng khc thi gian), hoc l t
tn+1 t ttn
Xt = X
tn+1 tn tn
+ X
tn+1 tn tn+1
( bin n thnh qu trnh ngu nhin lin tc tuyn
tnh tng khc). nh l trn ng vi c hai cch t .
nh l trn cho thy cc qu trnh du ng ngu nhin Xt (vi bc thi gian bng
v bc dch chuyn bng ) tin ti (theo ngha phn b xc sut) chuyn ng Brown
7.3. CHUYN NG BROWN 197
hay cn c th vit l:
E(Bt Bs |Fs ) = 0, (7.59)
nh l trn chng qua l h qu trc tip ca cc iu kin ii) v iii) trong nh ngha
chuyn ng Brown.
Chng minh. i) Ta s gi s a > 0 (cc trng hp khc chng minh tng t). D thy
rng, nu Bt l chuyn ng Brown v > 0 l hng s, th 1 B2 t cng l chuyn ng
Brown. (Xem bi tp 7.8). Tnh cht ny gi l tnh cht scaling (phng to thu nh)
ca chuyn ng Brown. Do tnh cht scaling nn ta c
vi c l mt s nh hn 1, ln hn 0, v khng ph thuc vo n Z. Bi vy
N
Y
n
P (B4n < 2 0 n N ) = P (B1 < a) P (B4n < 2n a|B4n1 < 2n1 a) = cN P (B1 < a)
n=1
(7.62)
n
tin ti 0 khi N tin ti v cng, v do vy P (B4n < 2 a n Z+ ) = 0. C ngha
l, vi hu ht mi tnh hung , tn ti t nht mt s nguyn khng m n sao cho
B (4n ) 2n a a. V (vi hu ht mi ) B l hm lin tc theo t, c gi tr bng 0 ti
0 v gi tr ln hn hoc bng a ti mt thi im no , nn n cng phi nhn a lm
gi tr ti thi im no (theo nh l gi tr trung gian cho hm lin tc). Nh vy
ta chng minh c rng, trong hu ht mi tnh hung , th tn ti t nht 1 thi
im sao cho gi tr ca B ti thi im bng a. Tng t nh vy, ta c th chng
minh rng, vi mi M R+ , hu nh chc chn rng qu o ca chuyn ng Brown
c nhn gi tr bng a ti mt thi im ln hn M . V M l ty , nn t suy ra
hu nh chc chn rng qu o ca chuyn ng Brown c nhn gi tr bng a ti v
hn cc thi im. Tht vy, gi Ak,M l tp cc tnh hung tha mn iu kin: trn
on thng [0, M [ c t nht k thi im m gi tr ca B bng a. V hu nh chc chn
rng trn na ng thng [M, [ c t nht 1 thi im m gi tr ca B bng a, nn
P (Ak+1, ) P (Ak,M ) vi mi M . Do P (Ak+1, ) limM P (Ak,M ) = P (Ak, ), v
theo qui np, ta c P (Ak, ) P (A0, ) = 1, tc l P (Ak, ) = 1. V tp cc tnh hung
tha mn iu kin c v s thi im m gi tr ca qu o l a l tp
T
k=1 Ak, ,
nn tp ny cng c xc sut bng 1.
ii) Tng t nh pha trn, do tnh cht scaling nn P (B4n < 2n n Z+ ) = 0,
do hu nh chc chn rng tn ti n Z+ sao cho B4n 2n > 0. Tng t nh
vy, hu nh chc chn rng tn ti m Z+ sao cho B4m 2m < 0. V (vi hu ht
mi ) qu o B l lin tc v nhn c gi tr m ln gi tr dng trn on thng
na m ]0, ], nn n phi c t nht mt khng im trn on thng ]0, ] ny. V l
ty , nn t suy ra l hu ht mi qu o B phi c v hn khng im trong on
[0, ], cng bng l lun tng t nh l trong chng minh tnh cht i).
iii) Chng minh ht nh l chng minh tnh cht ii). (Ch cn chng minh cho cc
on thng c im u v im cui l s hu t l , v tp hp cc on thng nh
vy l tp m c).
7.3. CHUYN NG BROWN 199
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:
QVab (B ) = b a. (7.66)
1
t YN,i = (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
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
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.
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
Bi tp 7.13. Gi s l mt hng s ty . Chng minh rng qu trnh exp(Bt 2 t ),
trong Bt l chuyn ng Brown chun tc, l mt qu trnh martingale.
df f (t + t) f (t)
= f 0 (t) = lim , (7.71)
dt t0 t
hay
df = f 0 dt. (7.72)
th c ngha l
Nhc li rng, bin phn bnh phng ca Bt trn mt on thi gian t bng chnh
t. Do , (Bt )2 xp x bng t khi m t nh (tri ngc vi trng hp kh vi: nu
f kh vi th (f )2 rt nh so vi t, c th b qua). Cc i lng (Bt )n vi n t 3
tr ln rt nh so vi t, c th b qua. Bi vy ta c
exp(Bt ) t
= Bt + + , (7.75)
exp(Bt ) 2
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:
d exp(Bt ) dt
= dBt + , (7.76)
exp(Bt ) 2
hay cn c th vit l:
1
d exp(Bt ) = exp(Bt )dt + exp(Bt )dBt . (7.77)
2
t t
d exp(Bt ) = exp(Bt )dBt , (7.78)
2 2
7.4.2 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:
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:
v n
X
L (f, g) = inf f (xi )(g(ai ) g(ai1 )), (7.91)
xi [ai1 ,ai ]
i=1
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
0
f dg nh trn. (Bn thn tch phn cng s l mt qu trnh ngu nhin, v ta nh
ngha n cho tng tnh hung v tng mc thi gian).
n
X
L (B, B) = inf B(ti )(B(ai ) B(ai1 )), (7.96)
ti [ai1 ,ai ]
i=1
7.5. TCH PHN IT 209
sup B(ti )(B(ai ) B(ai1 )) inf B(ti )(B(ai ) B(ai1 )) (B(ai ) B(ai1 ))2 ,
ti [ai1 ,ai ] ti [ai1 ,ai ]
(7.97)
bi vy
n
X
U (B, B) L (B, B) (B(ai ) B(ai1 ))2 . (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.
hay vit gn li l
Z t n
X
(s)dB(s) = (ti1 )(B(ti ) B(ti1 )). (7.101)
0 i=1
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
0
(s)dB(s), th ni rng Fn,t tin ti Ft c ngha l limn E 0 |Fn (t) F (t)|2 dt = 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
Z T n1
X kT (k + 1)T kT
t dBt = lim ( )(B( ) B( )). (7.106)
0 n
k=0
n n n
t
Bt2
Z
t
Bs dBs = , (7.107)
0 2 2
212 CHNG 7. GII TCH NGU NHIN
Rt
Hnh 7.4: Mt qu o ca chuyn ng Brown Bt v tch phn It 0
Bs dBs
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 . (7.108)
0 0 0
l Z t Z t
Xt = X0 + s ds + s dBs . (7.110)
0 0
Rt
V d, nghim ca phng trnh dXt = Bt dBt l Xt = X0 + 0
Bs dBs = X0 +Bt2 /2t/2.
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).
vi mi t 0.
vi mi t > s.
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 t
1
Xs dXs = (Xt2 X02 [X, X]t ). (7.116)
0 2
Bi tp 7.16. Tnh cc tch phn It sau:
Rt
a) 0 Bs2 dBs
Rt
b) 0 Bs3 dBs
Rt
c) 0 exp(Bs )d(Bs + s)
7.6.1 o hm RadonNikodym
c ngha l Z Z
XdQ = XZdP, (7.122)
dQ
o hm Radon-Nikodym Zt = |
dP Ft
theo sigma-i s con Ft , v khi Zt tr thnh
mt qu trnh ngu nhin tng thch vi m hnh xc sut (, (Ft ), P ). Ta s gi qu
trnh ny l qu trnh o hm RadonNikodym.
dQ
nh l 7.21. Qu trnh o hm RadonNikodym Zt = |
dP Ft
l mt martingale trn
khng gian xc sut c lc (, (Ft ), P ). Ngc li, nu Zt l mt martingale khng m trn
(, Ft , P ) c k vng bng 1, th tn ti duy nht mt phn b xc sut Q trn (, (Ft ))
dQ
nhn Zt lm qu trnh o hm RadonNikodym Zt = | .
dP Ft
7.6.2 nh l CameronMartin
2 t
dP
|F = Gt = exp Bt . (7.123)
dP t 2
Tht vy, ta c:
1 x2
bi v phn b xc sut ca Bt theo P l phn b N (0, t) vi hm mt exp( ).
t2 2t
i bin y = x + t vo tch phn trn, ta c:
Z a
1 y 2
P (Xt a) = exp( )dy = PN (0,t) (] , a]),
t2 2t
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.
t
r 2 /2 ln(A/S0 )
= v = , (7.128)
ta cn tnh
P { max (Bt + t) }. (7.129)
0tT
E (exp(WT 2 T /2)1{max0tT Wt })
= E (exp(WT 2 T /2)1{WT }) + E (exp(WT 2 T /2)1{UT })
= E (exp(WT 2 T /2)1{WT }) + E (exp((2 UT ) 2 T /2)1{UT })
R 2 /2T ) R exp(x2 /2T )
= exp(x 2 T /2) exp(x
2T
dx +
exp((2 x) 2
T /2)
2T
dx
R 2
= [exp(x 2 T /2) + exp((2 x) 2 T /2)] exp(x
2T
/2T )
dx.
7.6.4 nh l Girsanov
nh l 7.23 (Girsanov). Gi s
t t = t ut (7.133)
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
qua i, v gii Nobel ch trao cho ngi cn sng.
(2)
Xem: http://www.eurexchange.com/index.html
223
224 CHNG 8. QUYN CHN
(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.
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.
v
P E (t) = e(T t)r E ((X S(T ))+ |Ft ), (8.4)
Chng minh. Theo tnh cht martingale, trong trng hp m li sut kp lin tc r l
c nh, ta c E (C E (T )|Ft ) = e(T t)r C E (t). Th nhng C E (T ) = (S(T ) X)+ , nn ta
c cng thc trn cho C E (t). Tng t nh vy cho P E (T ).
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.
C E = C A. (8.6)
8.1. MT S TNH CHT C BN CA GI QUYN CHN 227
X S(s) + C E (s) + Y er(st) = X S(s) + e(T s)r E ((S(T ) X)+ |Ft ) + Y er(st)
X S(s) + e(T s)r E ((S(T ) X)+ |Ft ) + Y er(st)
= X e(T s)r X +e(T s)r E (S(T )|Ft )S(s)+Y er(st) = X e(T s)r X +Y er(st) > 0
Ghi ch 8.1. Ni chung khng c ng thc chnh xc tng t gia Put kiu M v Put
kiu u, tuy trn thc t gi ca chng cng hay gn bng nhau. Xem Ghi ch 8.2 pha
di.
ii) Nu c phiu c tr c tc th ta c
Bi tp 8.2. (Mt v d tht trn th trng chng khon M). Vo mt thi im ngy
25/08/2009, c phiu ca cng ty cng ngh sinh hc Osiris (m chng khon: OSIR) c
gi l 14.40 la, September Call vi gi thc hin X = 12.5 c gi l 4.50, September
Put vi cng gi thc hin c gi l 3.05. y cc Call v Put u l kiu M, v
September c ngha l thi im o hn ca quyn chn l vo ngy th by ca tun
th 3 ca thng 9 (nm 2009). Hi rng th trng ca c phiu v quyn chn ca Osiris
vo thi im c tha mn nguyn l no-arbitrage khng ?
230 CHNG 8. QUYN CHN
ii)
X P A (t) (X S(t))+ , (8.12)
iii)
S(t) C E (t) (S(t) divtT Xer(T t) )+ , (8.13)
iv)
Xer(T t) P E (t) (Xer(T t) S(t) + divtT )+ , (8.14)
ii)
0 P E (X 00 , t) P E (X 0 , t) er(T t) (X 00 X 0 ), (8.16)
iii)
0 C A (X 0 , t) C A (X 00 , t) X 00 X 0 , (8.17)
iv)
0 P A (X 00 , t) P A (X 0 , t) X 00 X 0 . (8.18)
C A (X 0 + (1 )X 00 , t) C A (X 0 , t) + (1 )C A (X 00 , t), (8.19)
A A A
)CX 00 1CX 0 +(1)X 00 , trong CX l k hiu Call kiu M c gi thc hin l X. Nu
8.2. S PH THUC CA GI QUYN CHN VO GI C PHIU V GI THC HIN233
A
nh cho ti ht thi im T , khng lc no CX 0 +(1)X 00 b thc hin, th gi tr ca ci
A
dng). Nu nh c mt thi im s T no , sao cho CX 0 +(1)X 00 b thc hin ti
A A
thi im s, th ta cng thc hin lun CX 0 + (1 )CX 00 ti thi im s; lm nh vy
dA = rAdt (8.23)
v B l chuyn ng Brown.
dSt 1 1 2 dSt 2
d(ln St ) = + (dSt ) = dt, (8.40)
St 2 St2 St 2
2
d(ln St ) = (r )dt + dBt , (8.41)
2
hay cn c th vit thnh
2
d(ln St (r )t Bt ) = 0, (8.42)
2
2
t suy ra ln St (r 2
)t Bt = ln S0 , v suy ra cng thc (8.38) cho S.
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 (8.43)
2
8.4. CNG THC NH GI QUYN CHN KIU U 239
2
T t , v B
trong Y = (r 2 )(T t) + B s l mt chuyn ng Brown bt u ti thi
im t (thay v bt u ti thi im 0, hay c th vit rng B s = Bt+s Bt ).
2
!
1 (y (r 2 )(T t))2
vi (t, y) = p exp .
2 2 (T t) 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
2
V (T, S) = limtT V (t, S): Khi t tin ti T t th phn b xc sut N ((r 2
)(T
t), 2 (T t)), hi t (theo ngha hi t yu ca cc phn b xc sut) n phn b tp
240 CHNG 8. QUYN CHN
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) r(T t) d(t, y)
= rV (t, S) + e G(Sey ) dy. (8.48)
t dt
trong G0 l k hiu o hm ca G. V
Z
d(G(Sey )(t, y))
dy = 0
dy
v
d(G(Sey )(t, y)) dG(Sey ) d(t, y)
= (t, y) + G(Sey ) ,
dy dy dy
nn cng thc pha trn c th vit li thnh:
Z
V (t, S) r(T t) d(t, y)
S = e G(Sey ) dy. (8.49)
S dy
Tng t nh vy, ta c:
d2 (t, y)
Z
V (t, S)
S (S ) = er(T t) G(Sey ) dy.
S S dy 2
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
!
1 (y (r 2 )(T t))2
(t, y) = p exp
2 2 (T t) 2 2 (T t)
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:
v
P E (t, S) = Xer(T t) N (d2 ) SN (d1 ), (8.57)
trong : Z x
1 2
N (x) = ey /2 dy (8.58)
2
l hm phn phi xc sut ca phn b normal chun tc N (0, 1), v
ln(S/X) + (r + 2 /2)(T t) ln(S/X) + (r 2 /2)(T t)
d1 = , d2 = . (8.59)
T t T t
Bi tp 8.5. Chng minh cc cng thc (8.56) v (8.57).
242 CHNG 8. QUYN CHN
8.5 Cc ch ci Hy Lp
S T d21 /2
iii) vegaC E = 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.
P A = P (0, 0) (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 CHNG 8. QUYN CHN
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
247
248 CH MC
semi-martingale, 216
vng, 4, 139
value at risk (VaR), 155
vector chin lc, 53
volatility, 124, 182, 236
volatility lch s (historical volatility), 125
250 CH MC
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