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
Portfolio Management
投资组合管理
Broad Learning Objectives
总体学习目标
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.
理解投资组合管理涵盖的重要知识点，如风险/收益关系、多样化投资、定价模型、市场有效性和风险度量。同时理解不同投资策略(包括国际投资组合)、套期保值策略(包括动态策略和保险策略)和资产/负债管理的不同特征及应用。应该理解绩效度量和评估的重要性及特征，掌握恰当挑选投资经理的能力，并了解与另类资产相关的特征和收益。
1 Modern Portfolio Theory
1 现代投资组合理论
1.1 The risk / return framework
1.1.1 Return and measures of return
1.1.2 Risk
1.1 风险/收益框架
1.1.1 收益和收益的度量
1.1.2 风险
1.2 Portfolio theory
1.2.1 Diversification and portfolio risk
1.2.2 Markowitz model and efficient frontier
1.2 投资组合理论
1.2.1 多样化和投资组合风险
1.2.2 马柯威茨(MARKOWITZ)模型和有效边界
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 资本资产定价模型(CAPM)
1.3.1 主要假设
1.3.2 资本市场线(CML)
1.3.3 证券市场线(SML)
1.3.4 零贝塔资本资产定价模型
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 指数模型和市场模型
1.4.1 单指数模型及其假设
1.4.2 将方差分解为系统性风险和可分散风险
1.4.3 与CAPM的关系
1.4.4 市场模型的应用
1.4.5 多指数模型
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 有效市场
1.5.1 信息有效市场
1.5.2 有效市场假说
1.5.3 市场是有效的吗?
1.5.4 市场效率与投资政策
1.5.5 市场效率性的启示
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 套利定价模型
1.6.1 APT的假设
1.6.2 APT及其推导
1.6.3 APT与CAPM之间的联系
1.6.4 APT的实证检验
1.6.5 预先指定因素
1.6.6 APT的一些应用
2 Investment Strategies
2 投资策略
2.1 Investment policy
2.1.1 Individual investors
2.1.2 Institutional investors
2.1 投资政策
2.1.1 个人投资者
2.1.2 机构投资者
2.2 Asset allocation
2.2.1 Asset allocation overview
2.2.2 Types of asset allocations
2.2 资产配置
2.2.1 资产配置概述
2.2.2 资产配置的类型
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 期权结合传统资产
3.1.1 抛补看涨期权策略
3.1.2 加强指数法
3.1.3 130/30基金
3.1.4 利用利率的场外产品
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 投资组合保险
3.2.1 止损方法
3.2.2 静态投资组合保险
3.2.3 动态投资组合保险
3.2.4 固定比例投资组合保险
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 多头套期保值策略
3.3.2 空头套期保值策略
3.3.3 套期保值的完整分析
3.3.4 调整股票组合的贝塔值
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 利用外汇期货合约进行套期保值
3.4.1 对外币升值的套期保值
3.4.2 对外币贬值的套期保值
3.4.3 使用交叉汇率进行套期保值
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 利用利率期货合约进行套期保值
3.5.1 利用短期利率期货进行套期保值
3.5.2 利用长期利率期货进行套期保值
3.5.3 对冲下降利率(多头套期保值)
3.5.4 对冲上升利率(空头套期保值)
3.5.5 移向最佳久期
3.6 Use of swaps in portfolio management
3.6 互换在投资组合管理中的应用
3.7 Asset allocation with futures
3.7 利用期货进行资产配置
4 Asset / Liability Management
4 资产/负债--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 导言
4.1.1 资产/负债管理(ALM)的背景
4.1.2 养老基金的ALM
4.1.3 ALM模型的类型
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 负债建模
4.2.1 债务类型
4.2.2 养老基金负债的估值
4.2.3 年金因子和贴现率
4.3 Modelling assets
4.3.1 Types of asset classes
4.3.2 Risk and return characteristics
4.3 资产建模
4.3.1 资产类别
4.3.2 风险和收益的特征
4.4 Surplus and funding ratios
4.4 盈余和融资比率
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 综合优化
4.5.1 目标函数及权衡
4.5.2 盈余风险管理
4.5.3 养老金管理
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 战略的实施
4.6.1 随机模拟
4.6.2 积极的与消极的ALM策略
4.6.3 资产和负债的动态调整
5 International Investments and Value at Risk
5 国际投资和在险价值
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 国际投资
5.1.1 国际风险分散
5.1.2 外汇风险套期保值
5.1.3 国际股票
5.1.4 国际固定收益
5.1.5 管理国际投资组合
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 在险价值
5.2.1 定义
5.2.2 在险价值的解释
5.2.2 在险价值的计算
5.2.4 危险与缺陷
6 Performance Measurement and Evaluation
6 绩效度量与评价
6.1 Performance measurement
6.1.1 Return measurement
6.1.2 Benchmarks
6.1.3 Risk measurement
6.1 风险--收益度量
6.1.1 确定和度量收益
6.1.2 收益度量标准
6.1.3 确定和度量风险
6.2 Performance attribution
6.2.1 Return attribution
6.2.2 Risk attribution
6.2 绩效归因分析
6.2.1 收益归因分析
6.2.2 风险归因分析
6.3 Performance presentation
6.3.1 Types of performance presentation
6.3.2 Best practice for performance presentation
6.3 绩效报告
6.3.1 绩效报告形式
6.3.2 最优绩效报告实践
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 投资控制
6.4.1 投资控制的定义和纲要
6.4.2 通用的绩效评估过程
6.4.3 绩效评估的缺陷
7 Choice of the Investment Manager
7 挑选投资经理
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 挑选投资经理
7.1.1 评估和挑选投资经理
7.1.2 风格分析
7.1.3 风格分析的方法
7.1.4 风格分析：不同资产类型的运用
7.1.5 风险、控制与谨慎问题：组织结构问题
7.1.6 风险、控制与谨慎问题：费用结构
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 股票管理原则
8.1.1 操作性风险
8.1.2 风险控制
8.1.3 积极和消极管理
8.2 Managing an equity portfolio
8.2.1 Active management
8.2.2 Passive management
8.2 股票组合管理
8.2.1 积极型管理
8.2.2 消极型管理
9 Alternative Investments
9 另类投资
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 房地产组合管理
9.1.1 房地产指数
9.1.2 房地产的收益与风险
9.1.3 各类资产收益之间的相关性
9.1.4 在最优组合中确定房地产投资的份额
9.2 Alternative assets / private capital
9.2.1 Unlisted non-property securities and private capital
9.2.2 Hedge funds
9.2 另类资产/私人资本
9.2.1 未上市的非房地产证券及私人资本
9.2.2 对冲基金
