衍生品及投资组合管理.pdf

CFA Level 1 Derivative and Alternative Investment串讲 刘博CFA FRM CIA SAC liuboCFA@ 1 Study Session 17 Derivatives 华章仁达 2 Derivatives • Derivative Markets and Instruments • Forward Markets and Contracts • Futures Markets and Contracts • Option Markets and Contracts • Swap Markets and Contracts • Risk Management Applications of Option Strategies 华章仁达 3 68.a Define a derivative and differentiate between exchange-traded and over –the-counter derivatives • Derivative: a security that derives its value from the value or return of another asset or security • Exchange-traded vs. Over-the-counter 华章仁达 4 68.b Define forward commitments and contingent claim Forward commitments: A legally binding promise to perform some action in the future Forward: one party to sell and the other to buy in a future date Future: Standardized forward contract traded on the exchange Swap: A series of forward contracts Contingent Claim: A claim to a payoff that depends on a particular event Option: a financial instrument that gives on party the right , but not the obligation , to buy or sell an underlying asset from or to another party at a fixed price Buyer of call: right to buy Seller of call: obligation to sell Buyer of put: right to sell Seller of put: obligation to buy 华章仁达 5 68.c Differentiate among the basic characteristics of forward, future, option and swap 华章仁达 6 68.d Dis