농산물 선물 옵션 이론 및 실무

윤병삼

현,충북대학교농업경제학과교수
미국OklahomaStateUniversity졸업(농업경제학박사)
고려대학교경영대학원졸업(경영학석사)
서울대학교농경제학과졸업(경제학사)
한국농수산식품유통공사(aT)국제곡물정보분석협의회위원장
한국파생상품시장연구회회장
한국거래소(KRX)파생상품개발위원회위원
(사)한국선물협회기획/조사팀장
동양선물(주)법인팀과장

CHAPTER01
선물거래의개요
SECTION01.선물거래의개념 1
SECTION02.선물거래의역사 2
SECTION03.선물거래의경제적기능 7
SECTION04.선도거래(先渡去來)와선물거래(先物去來) 8
SECTION05.주요농산물선물거래소및상장(上場)품목 11
SECTION06.선물시장의구성및참여자 15

CHAPTER02
선물계약의이해
SECTION01.옥수수선물(CornFutures) 22
SECTION02.소맥선물(WheatFutures) 30
SECTION03.대두선물(SoybeanFutures) 36
SECTION04.대두유선물(SoybeanOilFutures) 42
SECTION05.대두박선물(SoybeanMealFutures) 46

CHAPTER03
선물가격의이해
SECTION01.보유비용(保有費用;Cost?of?Carry)의의미 53
SECTION02.보유비용모형(Cost?of?CarryModel)에의한선물가격의결정 55
SECTION03.보유비용의반영수준에따른유형적분류 58
SECTION04.정상시장(正常市場;NormalMarket)과역조시장(逆調市場;InvertedMarket) 59
SECTION05.콘탱고(Contango)와노멀백워데이션(NormalBackwardation) 62
SECTION06.선물시세표읽는법 63
SECTION07.선물가격차트(PriceChart)읽는법 74
SECTION08.선물거래량(TradingVolume)과미결제약정(O/I;OpenInterest) 84
SECTION09.선물가격의계절적패턴(SeasonalPattern;Seasonality) 95

CHAPTER04
선물을이용한헤징(Hedging)
SECTION01.헤징(Hedging)의개념및기본메커니즘(Mechanism) 101
SECTION02.현물과선물의가격변동폭차이를반영한헤징(Hedging) 107
SECTION03.베이시스(Basis) 109
SECTION04.매도헤지(ShortHedge) 113
SECTION05.매입헤지(LongHedge) 123
SECTION06.헤징(Hedging)에있어서고려해야할주요사항 132

CHAPTER05
선물을이용한거래전략
SECTION01.투기거래(投機去來;Speculation) 141
SECTION02.차익거래(差益去來;Arbitrage) 146
SECTION03.스프레드(Spread)거래 157

CHAPTER06
선물시장을이용한곡물거래전략
SECTION01.베이시스(Basis)와곡물거래 171
SECTION02.베이시스(Basis)의기록및활용 177
SECTION03.베이시스정보를활용한곡물거래 181
SECTION04.헤지이월(移越;RollingHedges)을통한곡물거래이익의창출 189
SECTION05.베이시스(Basis)정보를활용한곡물구매전략 212
SECTION06.베이시스거래(BasisTrading) 222

CHAPTER07
선물거래의실무
SECTION01.선물계좌(先物計座;FuturesAccount) 233
SECTION02.증거금(證據金;Margin) 234
SECTION03.주문(注文;Order) 242
SECTION04.일일정산(日日精算;DailyMarking?to?Market) 245
SECTION05.청산(淸算;Clearing)및최종결제(最終決濟;FinalSettlement) 247

CHAPTER08
선물가격의분석
SECTION01.기본적분석(FundamentalAnalysis) 263
SECTION02.기술적분석(TechnicalAnalysis) 314

CHAPTER09
옵션거래의개요
SECTION01.옵션(Options)의개념 325
SECTION02.옵션의유형및특성 326
SECTION03.옵션계약의주요거래조건 328
SECTION04.옵션프리미엄의구성요소 336
SECTION05.옵션의Moneyness 341
SECTION06.옵션의손익구조(PayoffStructure) 342

CHAPTER10
옵션가격의이해
SECTION01.옵션가격의결정요인 345
SECTION02.옵션가격곡선(OptionPricingCurve) 347
SECTION03.Put?CallParity(풋?콜등가관계;풋?콜等價關係) 349
SECTION04.블랙?숄즈옵션가격결정모형(Black?ScholesOptionPricingModel) 351
SECTION05.가격변동성(Volatility) 354
SECTION06.옵션가격의민감도(OptionGreeks) 360

CHAPTER11
옵션을이용한헤징(Hedging)
SECTION01.매도헤지(ShortHedge) 365
SECTION02.매입헤지(LongHedge) 375

CHAPTER12
옵션을이용한거래전략
SECTION01.합성선물(合成先物;SyntheticFutures) 385
SECTION02.차익거래(Arbitrage) 387
SECTION03.스프레드(Spread)거래 390
SECTION04.스트래들(Straddle) 395
SECTION05.스트랭글(Strangle) 398
SECTION06.펜스(Fence) 400

찾아보기 405