CFA II Derivatives
2023-03-31 09:00:11 0 举报AI智能生成
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CFA二级衍生品笔记，适用于考前查漏补缺，形成思维体系
作者其他创作
大纲/内容
离散条件下股票期货定价和估值
连续条件下股票期货定价和估值
Equity Forward VS. Futures
期货定价
远期定价
Bond Futures
远期和期货定价
Currency Forward VS. Futures
……
FRA定义★
FRA表达方式
特点
现金交割
例题
报价★
Interest Rate Forward
Forward And Futures
定价
估值
interest rate swaps
定价和估值
Currency swaps
Equity swaps
Swap Contracts
Forward Commitments
主要假设
Key assumptions
推导和应用
Put- call parity★★
二叉树推导
结论
Hedge Ratio
One-Period Binomial Model
欧式
European
美式
American
无分红
推演过程
Dividend Payments: Escrow method
有分红
Two-Period Binomial Model
股票二叉树
区别点
与股票二叉树区别
推演二叉树
计算Payoff
Interest rate option
利率二叉树
Binomial Model
Assumptions★
公式
Options on Non-dividend Paying stocks
Call
Put
The PV of the expected option payoff at expiration
Dynamically managed portfolio of stock and zero coupon bonds
Interpret The Components Of The BSM
考虑分红
外汇期权
Interest Rate Options
Swaption
The Black Model
Other Underlying Of BSM Model
FRA
Cap and Floor
Callable Bond
Equivalencies in Interest Rate Derivative
BSM
Delta
Gamma
Vega
Rho
Theta
Implied Volatility
总述
Option Greeks★
BSM Model
Contingent Claims
Derivatives
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