V1_20110403FRM一级强化班é

V1_20110403FRM一级强化班é

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1 金程教育FRM一级强化班讲义 Financial Markets and Products 上海金程国际金融专修学院 上海金程国际金融专修学院 讲师:吴轶 CFA FRM PRM 开发:FRM教研组 日期:2011.04.03 地点:■上海□北京□深圳
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100% Contribution Breeds Professionalism 2-104 104 ¾ 1 Introduction (options, future, and other derivatives) ¾ 2 Mechanics of futures markets ¾ 3 Hedging strategies using futures ¾ 4 Interest Rates ¾ 5 Determination of forward and futures prices ¾ 6 Interest rate futures ¾ 7 Swaps ¾ 8 Properties of stock options ¾ 9 Trading strategies involving options Financial Markets and Products-(30%)
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100% Contribution Breeds Professionalism 3-104 104 Derivatives Introduction ¾ A derivative is a security that its value based on the value or return of another asset or security. ¾ Derivatives Trading Markets Derivatives Trading Markets Unregulated Regulated Trading volume: large Trading volume: small Over-the-Counter Exchange-Traded Customized Standardized Trade with counterparty (default risk) Backed by a clearinghouse Not trade in a central location Trade in the a physical exchange
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100% Contribution Breeds Professionalism 4-104 104 Important Derivatives Important Derivatives Derivatives Introduction Forward Futures Option Swap A series of Forward
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100% Contribution Breeds Professionalism 5-104 104 ¾ Forward commitment ¾ an agreement between two parties (buyer, agrees to buy from the seller). ¾ an underlying asset at a future date at a price established at the start. 9 forward, futures and swap ¾ Contingent claim ¾ the payoffs occur if a specific event happens. 9 option Derivatives Introduction
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100% Contribution Breeds Professionalism 6-104 104 ¾ Forward contract 9 One party agrees to buy, and the counter-party agrees to sell. 9 Delivery a physical asset or a security at a specific price on a specific date in the future. 9 If the future price of the underlying assets increase, the buyer has a gain, and the seller a loss. ¾ A Futures contract is a forward contract that is standardized and exchange-traded 9 Are regulated 9 Backed by a clearinghouse 9 Require a daily settlement of gains and losses. Derivatives Introduction
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100% Contribution Breeds Professionalism 7-104 104 Derivatives Introduction ¾ Option Contract ¾ An option to buy an asset at a particular price is termed a call option. ¾ An option to sell an asset at a particular price is termed a put option. ¾ Swap contract ¾ a series of forward contracts ¾ one party agrees to pay floating rate of interest on some principal amount, the counter party agrees to pay fixed rate of interest. Obligation to sell Short call Right to buy Long call Obligation to buy Short put Right to sell Long put
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100% Contribution Breeds Professionalism 8-104 104 Examples 1. Mr. Gary Brownstone, FRM, is a portfolio manager for a small regional bank. Brownstone is currently in the process of proposing a new derivatives investment strategy to his investment committee. As part of his presentation, he is preparing an overview of the derivatives markets.
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V1_20110403FRM一级强化班é

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