Derivative Valuation and Analysis
衍生产品估值与分析
Broad Learning Objectives
总体学习目标
The basic characteristics and types of futures and options (including exotic options) should be understood, together with various important features associated with these instruments, such as valuation and pricing, risk management and other investment strategies. The option sensitivities (the “Greeks”) such as delta, gamma etc., together with volatility related issues should also be fully understood and capable of being applied to various investment problems. Swaps and credit derivatives should be similarly understood, with the material on credit derivatives reflecting their growing importance and impacts in recent times.
应理解期货和期权(包括奇异期权)的基本特征和类型，同时也应掌握这些金融工具的各种重要特征，例如：估值和定价、风险控制和其他投资策略。应充分理解期权价格敏感度(希腊字母)例如：德尔塔、伽马等，和相关的波动性问题，并且能够将它们应用于各种投资问题中。应同等理解互换和信用衍生品，以及反映信用衍生品近年来不断增长的重要性和影响的有关资料。
1 Futures
1 期货
1.1 Characteristics of forward and futures contracts
1.1 远期与期货合约的特征
1.2 Mechanics of trading in futures markets
1.2.1 Long and short positions
1.2.2 Profit and loss at expiration
1.2.3 Closing of positions
1.2.4 Delivery procedures
1.2.5 The marking to market of futures contracts
1.2.6 The leverage effect
1.2.7 Futures quotes
1.2.8 World major futures markets
1.2 期货市场的交易机制
1.2.1 多头头寸与空头头寸
1.2.2 到期时的收益与损失
1.2.3 平仓
1.2.4 交割程序
1.2.5 期货合约的盯市
1.2.6 杠杆作用
1.2.7 期货报价
1.2.8 世界主要期货市场
1.3 Various futures contracts
1.3.1 Single stock futures
1.3.2 Stock index futures
1.3.3 Bond futures
1.3.4 Short term interest rate futures (STIR)
1.3.5 Foreign exchange futures
1.3.6 Commodity futures
1.3 各种期货合约
1.3.1 单支股票期货
1.3.2 股指期货
1.3.3 债券期货
1.3.4 短期利率期货
1.3.5 外汇期货
1.3.6 商品期货
1.4 Futures valuation and analysis
1.4.1 Factors determining a contract price
1.4.2 Theoretical price of futures
1.4.3 Pricing of stock index futures
1.4.4 Pricing of interest rate futures
1.4.5 Pricing of foreign exchange futures
1.4.6 Pricing of commodity futures
1.4.7 Basis and factors causing change
1.4.8 Arbitrage problems
1.4 期货估值与分析
1.4.1 决定期货合约价格的因素
1.4.2 期货的理论价格
1.4.3 股票指数期货的定价
1.4.4 利率期货的定价
1.4.5 外汇期货的定价
1.4.6 商品期货的定价
1.4.7 基差与导致基差变动的因素
1.4.8 套利问题
1.5 Hedging strategies using futures
1.5.1 The hedge ratio
1.5.2 The perfect hedge
1.5.3 Basis risk and correlation risk
1.5.4 The minimum variance hedge ratio
1.5.5 Hedging with several futures contracts
1.5 运用期货的套期保值策略
1.5.1 套期保值比率
1.5.2 完全套期保值
1.5.3 基差风险和相关性风险
1.5.4 最小方差套期保值比率
1.5.5 多个期货合约的套期保值
2 Options
2 期权
2.1 Characteristics of option contracts
2.1.1 Equity options
2.1.2 Equity index options
2.1.3 Options on futures
2.1.4 Foreign exchange options
2.1.5 Caps, floors, collars
2.1 期权合约的特征
2.1.1 股票期权
2.1.2 股指期权
2.1.3 期货期权
2.1.4 外汇期权
2.1.5 利率上限、利率下限、利率双限
2.2 Option valuation
2.2.1 Determinants of option price
2.2.2 Value of a stock and of a bond “at expiration”
2.2.3 Value of a call option at expiration
2.2.4 Value of a put option at expiration
2.2.5 General arbitrage relationships and option prices
2.2.6 The put-call parity theorem
2.2 期权估值
2.2.1 期权价格的决定因素
2.2.2 “到期时”股票价值和债券价值
2.2.3 到期时买入期权的价值
2.2.4 到期时卖出期权的价值
2.2.5 一般的套利关系和期权价格
2.2.6 卖出-买入期权平价理论
2.3 Option pricing models
2.3.1 Black & Scholes option pricing formula
2.3.2 European options on stocks paying known dividends
2.3.3 European options on stocks paying unknown dividends
2.3.4 American options on stocks paying known dividends
2.3.5 Options on stock indices
2.3.6 Options on futures
2.3.7 Options on currencies
2.3.8 Warrants
2.3 期权定价模型
2.3.1 B&S期权定价公式
2.3.2 支付已知红利的标的股票的欧式期权
2.3.3 支付未知红利的标的股票的欧式期权
2.3.4 支付已知红利的标的股票的美式期权
2.3.5 股票指数期权
2.3.6 期货期权
2.3.7 外汇期权
2.3.8 认股权证
2.4 Binomial option pricing model
2.4.1 European call with a single period remaining until expiration
2.4.2 European call more than one period to remain until expiration
2.4.3 European put
2.4.4 American puts and calls
2.4.5 Limiting results of the binomial model
2.4 二叉树期权定价模型
2.4.1 距离到期日只有一期的欧式买入期权
2.4.2 距离到期日多于一期的欧式买入期权
2.4.3 欧式卖出期权
2.4.4 美式卖出期权和买入期权
2.4.5 二叉树模型的极限情况
2.5 Sensitivity analysis of options premiums
2.5.1 Delta
2.5.2 Gamma
2.5.3 Lambda/Omega
2.5.4 The time to maturity and theta
2.5.5 The interest rate and rho
2.5.6 The volatility of the stock returns and vega
2.5 期权价格的敏感性分析
2.5.1 德尔塔
2.5.2 伽马
2.5.3 拉姆达/欧米伽
2.5.4 距到期的时间和西塔
2.5.5 利率和柔
2.5.6 股票收益率的波动率和维伽
2.6 Volatility and related topics
2.6.1 Estimating volatility from historical data
2.6.2 Implied volatility and volatility smile
2.6 波动率及相关问题
2.6.1 从历史数据中估计波动率
2.6.2 隐含波动率和波动率微笑
2.7 Exotic options
2.7.1 Path independent
2.7.2 Path dependent
2.7.3 Pricing exotic options with numerical methods
2.7 奇异期权
2.7.1 路径独立期权
2.7.2 路径依赖期权
2.7.3 运用数值方法对奇异期权定价
2.8 Options strategies
2.8.1 Spreads
2.8.2 Strangles
2.8.3 Straddles
2.8 期权策略
2.8.1 差价期权
2.8.2 宽跨式期权
2.8.3 跨式期权
3 Swaps and Credit derivatives
3 互换与信用衍生品
3.1 Swaps
3.1.1 Definition and characteristics
3.1.2 Strategies using swaps
3.1.3 Pricing and valuing swaps
3.1.4 Other types of swaps
3.1 互换
3.1.1 互换的定义和特征
3.1.2 互换运用策略
3.1.3 互换的定价与价值
3.1.4 其他类型的互换
3.2 Credit derivatives: market, instruments and general characteristics
3.2.1 Market of credit derivatives
3.2.2 Credit default swaps (CDS)
3.2.3 Credit linked notes (CLN)
3.2.4 Other credit default swap products
3.2.5 The role of credit derivatives
3.2.6 Market participants
3.2.7 Institutional framework
3.2.8 Spread volatility of credit default swaps
3.2.9 Credit derivatives: valuation of credit default swaps
3.2 信用衍生品：市场、工具和一般特征
3.2.1 信用衍生品市场
3.2.2 信用违约互换(CDS)
3.2.3 信用联结票据
3.2.4 其他信用违约互换产品
3.2.5 信用衍生品的作用
3.2.6 市场参与者
3.2.7 制度框架
3.2.8 信用违约互换的利差波动
3.2.9 信用衍生品：信用违约互换的估值
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