CFA三级基础培训项目：衍生工具和货币管理_打印版.docx

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1、.CFA面覆匚!笺亩答.MkeyChowMikeyChowAia也睡R婿揉，笺婧蟠.H果副外醵副G外汁!k勘H升髓炳汁汁.JS笠黍倏Jfi70谶三-数源摞胡L袁帽。在A殷期3翔！A骰翔白翔！6童鼓知晋&)$!)50笺亩DZ% 口外口爆成殷痛 1?能弱解I口口f嗝Ri三%i!EYajd2flW居口j居TopicinCFALevelIIIStudy Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13St

2、udy Session 14Study Session 15Study Session 16SessionContentStudySession1-2ETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTA11ONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOLIOMANAGEMENT(l)8t(2)EQUITYPORTFOLIOMANAGEM

3、ENT(l)8i(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTPRIVATEWEALTHMANAGEMENT(1)&(2)PORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSTRADING,PERFORMANCEEVALA11ONfANDMANAGERSELECTIONCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENT专收国新muFrameworkRiskManagementApplicationsofDerivativesSS6:DerivativesandCurrency

4、ManagementR15:OptionStrategiesR16:Swaps,Forwards,andFuturesStrategiesR17：CurrencyManagement：AnIntroduction巨业创新，虐值OptionStrategiesFramework行业固新，is1.ReviewsofOptionFundamentals2.SyntheticAsset3.OptionStrategies4.OPtionGreeks5.VolatilitySmile行业&1斯tinReviewsofOptionFundamentalsMoneynessMoneynessInthemon

5、ey:Immediateexercisewouldgenerateapositivepayoff.Atthemoney:Immediateexercisewouldgeneratenopayoff.Outofthemoney:Immediateexercisewouldgenerateanegativepayoff.Thefollowingtablesummarizesthemoneynessofoptionsbasedonthestockscurrentprice,S,andtheoptionsexercisestrikeprice,X.MoneynessCalloptionPutOptio

6、nIn-the-moneyS-Xs-XAt-the-moneyS=XS=XOut-of-the-moneySXS*X与业$新muReviewsofOptionFundamentalsIntrinsicValueandTimeValueIntrinsicValuetheamountofimmediateexercise.Intrinsicvalueofcalloption:C=maxO,S-XIntrinsicvalueofputoption:P=maO,-STimeValueThedifferencebetweenthepriceofanoption(calleditspremium)andi

7、tsintrinsicvalueisduetoitstimevalueGenerally,thelesstimetoexpire,thelesstimevalueOptionvalue=intrinsicvalue+timevalueBeforeexpiration:optionvalueintrinsicvalue8-224Atexpiration:optionvalue=intrinsicvalueM业色断nnReviewsofOptionFundamentalsFactorsaffectthevalueofanoptionSensitivityFactorCallsPutsUnderly

8、ingpricePositivelyrelatedNegativelyrelatedVolatilityPositivelyrelatedPositivelyrelatedRisk-freeratePositivelyrelatedNegativelyrelatedTimetoexpirationPositivelyrelatedPositivelyrelated*StrikepriceNegativelyrehtdPositivelyrelatedPaymentsontheunderlyingNegativelyrelatedPositivelyrelatedCarryingcostPosi

9、tivelyrelatedNegativelyrelatedrThereisanexceptiontothegeneralrulethatEuropeanputoptionthetasarenegative.Theputvaluemayincreasesastheoptionapproachesmaturityiftheoptionisdeepin-the-moneyandclosetomaturity.ReviewsofOptionFundamentalsTheBSMModeltoValueanoptionG=SXN(4)-Xx/XN(d)2Historicalvolatilityandim

10、pliedvolatilityHistoricalvolatilityisusinghistoricaldatatocalculatethevarianceandstandarddeviationofthecontinuouslycompoundedreturns.However,themarketpriceandtheBSMpricearenotalwaysthesame.IfwehaveS,0,R(andTzwecansettheBSMpriceequaltothemarketpriceandthenworkbackwardstogetthevolatility.Thisvolatilit

11、yiscalledtheimpliedvolatility10-224专业固葡tinReviewsofOptionFundamentalsPayoffforoptions1.ongcall:cfMax(0,STX)Shortcall:cf-Max(0rSTX)1.ongput:p十MaX(0,X-SShortput:Pf-Max(0,X-SProfitsforoptions1.ongcall:cfMax(0,S)-coShortcall:cf-Max(0rS)+c1.ongput:p吊MaX(0,X-S)r-pShortput:Pf-Max(0,X-S肘po Synthetic AssetPu

12、t call parityPut call parity: C +(】；=S + C p +Positions replicating(7Condition B:p = c + X/ +R )-S= = s + p(1+月加 尸）M业 色断 n11SyntheticAssetSyntheticlong/shortforward1.ongcall+shortput=longforward1.ongput+shortcall=shortforwardSyntheticcall/put1.ongcall=longasset+longput1.ongput=shortasset+longcallExa

13、mple1.Whichofthefollowingismostsimilartoalongputposition?A.Buystock,writecallB.Shortstock,buycallC.Shortstock,writecall2.Whichofthefollowingismostsimilartoalongcallposition?A.Buystock,buyputB.Buystock,writeputC.Shortstock,writeputExample圜CorrectAnswerforQl:B.Thelongcallcutsoff,theunlimitedlossesfrom

14、theshortstockposition.CorrectAnswerforQ2:A.Thelongputprovidesafloorvaluetotheposition,makingthemaximumlossflatbelowtheexerciseprice.Theprofitandlossdiagramisthesameshapeasalongcall.M业HfjmnCoveredcallstrategyAninvestorcreatescoveredcallpositionbysellingacalloptiononastockthatisownedbytheoptionwriter.YieldenhancementThemostcommonmotivation.BywritinganOTMcalloption.Cashgenerationinanticipationoflimitedupsidemoves.ReducingapositionatafavorablepriceCoveredcallsmightbewritten,whenaninvest