Derivative Valuation and Analysis衍生產品估值與分析
Broad Learning Objectives
總體學習目標
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.
應理解期貨和期權(包括奇異期權)的基本特征和類型，同時也應掌握這些金融工具的各種重要特征，例如：估值和定價、風險控制和其他投資策略。應充分理解期權價格敏感度(希臘字母)例如：德爾塔、伽馬等，和相關的波動性問題，并且能夠將它們應用于各種投資問題中。應同等理解互換和信用衍生品，以及反映信用衍生品近年來不斷增長的重要性和影響的有關資料。
1 Futures
1 期貨
1.1 Characteristics of forward and futures contracts
1.1 遠期與期貨合約的特征
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 期貨市場的交易機制
1.2.1 多頭頭寸與空頭頭寸
1.2.2 到期時的收益與損失
1.2.3 平倉
1.2.4 交割程序
1.2.5 期貨合約的盯市
1.2.6 杠桿作用
1.2.7 期貨報價
1.2.8 世界主要期貨市場
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 各種期貨合約
1.3.1 單支股票期貨
1.3.2 股指期貨
1.3.3 債券期貨
1.3.4 短期利率期貨
1.3.5 外匯期貨
1.3.6 商品期貨
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 期貨估值與分析
1.4.1 決定期貨合約價格的因素
1.4.2 期貨的理論價格
1.4.3 股票指數(shù)期貨的定價
1.4.4 利率期貨的定價
1.4.5 外匯期貨的定價
1.4.6 商品期貨的定價
1.4.7 基差與導致基差變動的因素
1.4.8 套利問題
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 運用期貨的套期保值策略
1.5.1 套期保值比率
1.5.2 完全套期保值
1.5.3 基差風險和相關性風險
1.5.4 最小方差套期保值比率
1.5.5 多個期貨合約的套期保值
2 Options
2 期權
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 期權合約的特征
2.1.1 股票期權
2.1.2 股指期權
2.1.3 期貨期權
2.1.4 外匯期權
2.1.5 利率上限、利率下限、利率雙限
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 期權估值
2.2.1 期權價格的決定因素
2.2.2 “到期時”股票價值和債券價值
2.2.3 到期時買入期權的價值
2.2.4 到期時賣出期權的價值
2.2.5 一般的套利關系和期權價格
2.2.6 賣出-買入期權平價理論
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 期權定價模型
2.3.1 B&S期權定價公式
2.3.2 支付已知紅利的標的股票的歐式期權
2.3.3 支付未知紅利的標的股票的歐式期權
2.3.4 支付已知紅利的標的股票的美式期權
2.3.5 股票指數(shù)期權
2.3.6 期貨期權
2.3.7 外匯期權
2.3.8 認股權證
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 二叉樹期權定價模型
2.4.1 距離到期日只有一期的歐式買入期權
2.4.2 距離到期日多于一期的歐式買入期權
2.4.3 歐式賣出期權
2.4.4 美式賣出期權和買入期權
2.4.5 二叉樹模型的極限情況
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 期權價格的敏感性分析
2.5.1 德爾塔
2.5.2 伽馬
2.5.3 拉姆達/歐米伽
2.5.4 距到期的時間和西塔
2.5.5 利率和柔
2.5.6 股票收益率的波動率和維伽
2.6 Volatility and related topics
2.6.1 Estimating volatility from historical data
2.6.2 Implied volatility and volatility smile
2.6 波動率及相關問題
2.6.1 從歷史數(shù)據(jù)中估計波動率
2.6.2 隱含波動率和波動率微笑
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 奇異期權
2.7.1 路徑獨立期權
2.7.2 路徑依賴期權
2.7.3 運用數(shù)值方法對奇異期權定價
2.8 Options strategies
2.8.1 Spreads
2.8.2 Strangles
2.8.3 Straddles
2.8 期權策略
2.8.1 差價期權
2.8.2 寬跨式期權
2.8.3 跨式期權
3 Swaps and Credit derivatives
3 互換與信用衍生品
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 互換
3.1.1 互換的定義和特征
3.1.2 互換運用策略
3.1.3 互換的定價與價值
3.1.4 其他類型的互換
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：市場、工具和一般特征
3.2.1 信用衍生品市場
3.2.2 信用違約互換(CDS)
3.2.3 信用聯(lián)結票據(jù)
3.2.4 其他信用違約互換產品
3.2.5 信用衍生品的作用
3.2.6 市場參與者
3.2.7 制度框架
3.2.8 信用違約互換的利差波動
3.2.9 信用衍生品：信用違約互換的估值
Portfolio Management
投資組合管理
Broad Learning Objectives
總體學習目標
An understanding of the important building blocks associated with portfolio management, such as the risk/return relationship, diversification, pricing models, market efficiency and risk measures should be obtained. The various features of investment strategies (including international assets) and hedging strategies (including dynamic and insurance strategies) and Asset-Liability Management should be understood together with their applications. An understanding of the importance and features of performance measurement and evaluation, together with the choice of investment manager, should be developed, together with a knowledge of the features and benefits associated with the alternative investment asset class.
理解投資組合管理涵蓋的重要知識點，如風險/收益關系、多樣化投資、定價模型、市場有效性和風險度量。同時理解不同投資策略(包括國際投資組合)、套期保值策略(包括動態(tài)策略和保險策略)和資產/負債管理的不同特征及應用。應該理解績效度量和評估的重要性及特征，掌握恰當挑選投資經理的能力，并了解與另類資產相關的特征和收益。
1 Modern Portfolio Theory
1 現(xiàn)代投資組合理論
1.1 The risk / return framework
1.1.1 Return and measures of return
1.1.2 Risk
1.1 風險/收益框架
1.1.1 收益和收益的度量
1.1.2 風險
1.2 Portfolio theory
1.2.1 Diversification and portfolio risk
1.2.2 Markowitz model and efficient frontier
1.2 投資組合理論
1.2.1 多樣化和投資組合風險
1.2.2 馬柯威茨(MARKOWITZ)模型和有效邊界
1.3 Capital Asset Pricing Model (CAPM)
1.3.1 Major assumptions
1.3.2 Capital market line (CML)
1.3.3 Security market line (SML)
1.3.4 The zero-beta CAPM
1.3 資本資產定價模型(CAPM)
1.3.1 主要假設
1.3.2 資本市場線(CML)
1.3.3 證券市場線(SML)
1.3.4 零貝塔資本資產定價模型
1.4 Index and market models
1.4.1 The single-index model and its hypothesis
1.4.2 Decomposing variance into systematic and diversifiable risk
1.4.3 The link with the CAPM
1.4.4 Applications of the market model
1.4.5 Multi-index models
1.4 指數(shù)模型和市場模型
1.4.1 單指數(shù)模型及其假設
1.4.2 將方差分解為系統(tǒng)性風險和可分散風險
1.4.3 與CAPM的關系
1.4.4 市場模型的應用
1.4.5 多指數(shù)模型
1.5 Efficient Markets
1.5.1 Information efficient markets
1.5.2 Efficient market hypothesis
1.5.3 Are markets efficient?
1.5.4 Market efficiency and investment policy
1.5.5 Lessons from market efficiency
1.5 有效市場
1.5.1 信息有效市場
1.5.2 有效市場假說
1.5.3 市場是有效的嗎?
1.5.4 市場效率與投資政策
1.5.5 市場效率性的啟示
1.6 Arbitrage Pricing Theory (APT)
1.6.1 Assumptions underlying the APT
1.6.2 The APT and its derivation
1.6.3 The link between the APT and the CAPM
1.6.4 Empirical tests of the APT
1.6.5 Pre-specifying factors
1.6.6 Applications of the APT
1.6 套利定價模型
1.6.1 APT的假設
1.6.2 APT及其推導
1.6.3 APT與CAPM之間的聯(lián)系
1.6.4 APT的實證檢驗
1.6.5 預先指定因素
1.6.6 APT的一些應用
2 Investment Strategies
2 投資策略
2.1 Investment policy
2.1.1 Individual investors
2.1.2 Institutional investors
2.1 投資政策
2.1.1 個人投資者
2.1.2 機構投資者
2.2 Asset allocation
2.2.1 Asset allocation overview
2.2.2 Types of asset allocations
2.2 資產配置
2.2.1 資產配置概述
2.2.2 資產配置的類型
3 Hedging Strategies
3 套期保值策略
3.1 Combining options and traditional assets
3.1.1 Covered call strategy
3.1.2 Enhanced indexing
3.1.3 130/30 funds
3.1.4 Using interest rates OTC products
3.1 期權結合傳統(tǒng)資產
3.1.1 拋補看漲期權策略
3.1.2 加強指數(shù)法
3.1.3 130/30基金
3.1.4 利用利率的場外產品
3.2 Portfolio insurance
3.2.1 Stop-loss approach
3.2.2 Static portfolio insurance
3.2.3 Dynamic portfolio insurance
3.2.4 Constant proportion portfolio insurance
3.2 投資組合保險
3.2.1 止損方法
3.2.2 靜態(tài)投資組合保險
3.2.3 動態(tài)投資組合保險
3.2.4 固定比例投資組合保險
3.3 Hedging with stock index futures
3.3.1 Long hedge
3.3.2 Short hedge
3.3.3 A complete hedging analysis
3.3.4 Adjusting the beta of a stock portfolio
3.3 股指套期保值
3.3.1 多頭套期保值策略
3.3.2 空頭套期保值策略
3.3.3 套期保值的完整分析
3.3.4 調整股票組合的貝塔值
3.4 Hedging with foreign exchange futures
3.4.1 Hedging against a rise of the foreign currency
3.4.2 Hedging against a drop of the foreign currency
3.4.3 Hedging with cross-currency rates
3.4 利用外匯期貨合約進行套期保值
3.4.1 對外幣升值的套期保值
3.4.2 對外幣貶值的套期保值
3.4.3 使用交叉匯率進行套期保值
3.5 Hedging with interest rate futures
3.5.1 Hedging using short term interest rate futures
3.5.2 Hedging using long term interest rate futures
3.5.3 Hedging against decreasing rates (long hedge)
3.5.4 Hedging against increasing rates (short hedge)
3.5.5 Moving to a preferred duration
3.5 利用利率期貨合約進行套期保值
3.5.1 利用短期利率期貨進行套期保值
3.5.2 利用長期利率期貨進行套期保值
3.5.3 對沖下降利率(多頭套期保值)
3.5.4 對沖上升利率(空頭套期保值)
3.5.5 移向最佳久期
3.6 Use of swaps in portfolio management
3.6 互換在投資組合管理中的應用
3.7 Asset allocation with futures
3.7 利用期貨進行資產配置
4 Asset / Liability Management
4 資產/負債--分析及管理
4.1 Introduction to ALM
4.1.1 Background of ALM
4.1.2 ALM with pension funds
4.1.3 Types of ALM models
4.1 導言
4.1.1 資產/負債管理(ALM)的背景
4.1.2 養(yǎng)老基金的ALM
4.1.3 ALM模型的類型
4.2 Modelling liabilities
4.2.1 Types of liabilities
4.2.2 Valuation of pension liabilities
4.2.3 Annuity factors and discount rates
4.2 負債建模
4.2.1 債務類型
4.2.2 養(yǎng)老基金負債的估值
4.2.3 年金因子和貼現(xiàn)率
4.3 Modelling assets
4.3.1 Types of asset classes
4.3.2 Risk and return characteristics
4.3 資產建模
4.3.1 資產類別
4.3.2 風險和收益的特征
4.4 Surplus and funding ratios
4.4 盈余和融資比率
4.5 Integrated optimisation
4.5.1 Target functions and tradeoffs
4.5.2 Surplus risk management
4.5.3 Pension fund management
4.5 綜合優(yōu)化
4.5.1 目標函數(shù)及權衡
4.5.2 盈余風險管理
4.5.3 養(yǎng)老金管理
4.6 Implementation of strategies
4.6.1 Stochastic simulations
4.6.2 Active versus passive ALM strategies
4.6.3 Dynamic adjustment of assets and liabilities
4.6 戰(zhàn)略的實施
4.6.1 隨機模擬
4.6.2 積極的與消極的ALM策略
4.6.3 資產和負債的動態(tài)調整
5 International Investments and Value at Risk
5 國際投資和在險價值
5.1 International investments
5.1.1 International diversification
5.1.2 Hedging foreign exchange risk
5.1.3 International equities
5.1.4 International fixed income
5.1.5 Managing a portfolio of international assets
5.1 國際投資
5.1.1 國際風險分散
5.1.2 外匯風險套期保值
5.1.3 國際股票
5.1.4 國際固定收益
5.1.5 管理國際投資組合
5.2 Value at Risk (VaR)
5.2.1 Definition
5.2.2 Interpretation of value at risk
5.2.3 Calculation of value at risk
5.2.4 Dangers and pitfalls
5.2 在險價值
5.2.1 定義
5.2.2 在險價值的解釋
5.2.2 在險價值的計算
5.2.4 危險與缺陷
6 Performance Measurement and Evaluation
6 績效度量與評價
6.1 Performance measurement
6.1.1 Return measurement
6.1.2 Benchmarks
6.1.3 Risk measurement
6.1 風險--收益度量
6.1.1 確定和度量收益
6.1.2 收益度量標準
6.1.3 確定和度量風險
6.2 Performance attribution
6.2.1 Return attribution
6.2.2 Risk attribution
6.2 績效歸因分析
6.2.1 收益歸因分析
6.2.2 風險歸因分析
6.3 Performance presentation
6.3.1 Types of performance presentation
6.3.2 Best practice for performance presentation
6.3 績效報告
6.3.1 績效報告形式
6.3.2 最優(yōu)績效報告實踐
6.4 Investment controlling
6.4.1 Definition and outline of investment controlling
6.4.2 Generic performance evaluation process
6.4.3 Pitfalls in performance evaluation
6.4 投資控制
6.4.1 投資控制的定義和綱要
6.4.2 通用的績效評估過程
6.4.3 績效評估的缺陷
7 Choice of the Investment Manager
7 挑選投資經理
7.1 Choice of the investment manager
7.1.1 Assessing and choosing managers
7.1.2 Style analysis
7.1.3 Means of style analysis
7.1.4 Style analysis: application to different asset classes
7.1.5 Risks, controls and prudential issues: organisational issues
7.1.6 Risks, controls and prudential issues: fee structures
7.1 挑選投資經理
7.1.1 評估和挑選投資經理
7.1.2 風格分析
7.1.3 風格分析的方法
7.1.4 風格分析：不同資產類型的運用
7.1.5 風險、控制與謹慎問題：組織結構問題
7.1.6 風險、控制與謹慎問題：費用結構
8 Equity Management
8 股票管理
8.1 Principles of equity management
8.1.1 Risk in operational terms
8.1.2 Risk control
8.1.3 Active and passive management
8.1 股票管理原則
8.1.1 操作性風險
8.1.2 風險控制
8.1.3 積極和消極管理
8.2 Managing an equity portfolio
8.2.1 Active management
8.2.2 Passive management
8.2 股票組合管理
8.2.1 積極型管理
8.2.2 消極型管理
9 Alternative Investments
9 另類投資
9.1 Managing a property portfolio
9.1.1 Real estate indices
9.1.2 Return and risk of real estate
9.1.3 Correlation between the returns on various asset classes
9.1.4 Determining the share of real estate in optimal portfolios
9.1 房地產組合管理
9.1.1 房地產指數(shù)
9.1.2 房地產的收益與風險
9.1.3 各類資產收益之間的相關性
9.1.4 在最優(yōu)組合中確定房地產投資的份額
9.2 Alternative assets / private capital
9.2.1 Unlisted non-property securities and private capital
9.2.2 Hedge funds
9.2 另類資產/私人資本
9.2.1 未上市的非房地產證券及私人資本
9.2.2 對沖基金
