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 從歷史數據中估計波動率
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 信用聯結票據
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
