隨著國內(nèi)逐漸開放衍生品市場,越來越需要有衍生品專業(yè)知識的人才。這部分的衍生品主要介紹衍生品的一些基本知識,包括衍生品的種類及市場區(qū)分,4大類衍生品的基本定價原理,以及簡單期權(quán)策略。
CFA一級考試的Derivatives(金融衍生品)具體的內(nèi)容知識點包含1個study session,3個reading。
其中,Reading 57對衍生品市場進行了區(qū)別,并對4大類衍生品進行了基本定義;
Reading 58講衍生品的定價和估值的基本原理,并對4大類衍生品的基本定價做了介紹;
Reading 59對期權(quán)做了進一步分析,介紹兩種期權(quán)及兩種期權(quán)策略的應(yīng)用。
從考試的重要度來看,Reading 58、Reading 59是最重要的,Reading 57其次,其他Reading重要性不大。
以下是高頓教育馮老師對重要的Reading的考點進行了總結(jié),以下內(nèi)容建議考生們?nèi)空莆铡?/div>
★ Reading 57:Derivative Markets and Instruments(金融衍生品市場及工具)
金融衍生品的定義;
金融衍生品市場的分類及區(qū)別;
金融衍生品的分類;
金融衍生品的優(yōu)缺點。
★ Reading 58:Basics of Derivative Pricing and Valuation(金融衍生品基本定價和估值原理)
金融衍生品定價的基本原理;
區(qū)別遠期和期貨合約的定價以及估值;
合約期初、期中、期末如何計算遠期的價值,以及理解影響遠期價值的因素;
解釋期貨和遠期定價的異同;
解釋互換和遠期定價的不同;
歐式期權(quán)價值的計算以及影響因素;
歐式期權(quán)的平價公式、遠期平價公式以及二叉樹模型的理解;
美式期權(quán)與歐式期權(quán)定價的差異。
★ Reading 59:Risk Management Applications of Option Strategies(風(fēng)險管理應(yīng)用:期權(quán)策略)
看漲期權(quán)和看跌期權(quán)的到期價值、利潤、小盈虧、盈虧平衡點的計算;
Covered call和protective put的到期價值、利潤、小盈虧、盈虧平衡點的計算。
CFACFA衍生品練習(xí)題CFA
"Derivative"Exercise:Increase the value of options

Questions 1:

Which of the following statements is least accurate concerning differences in the pricing of forwards and futures?
A、Differences in the pattern of cash flows of forwards and futures can explain pricing differences.
B、Pricing differences can arise if futures prices and interest rates are uncorrelated.
C、Interest rate volatility can explain pricing differences.
【Answer to question 1】B
【analysis】
B is correct.If futures prices and interest rates are uncorrelated,the prices of forwards and futures will be identical.
A is incorrect.The statement is true.
C is incorrect.The statement is true.
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Questions 2:

If dividends paid by the underlying increase,the value of a European call option will most likely:
A、not change.
B、increase.
C、decrease.
【Answer to question 2】C
【analysis】
C is correct.A European call option is worth less the more dividends are paid by the underlying.
A is incorrect.A European call option is worth less the more dividends are paid by the underlying.
B is incorrect.A European call option is worth less the more dividends are paid by the underlying.
以上就是【CFA衍生品練習(xí)題"Derivative"Exercise:Increase the value of options】的全部內(nèi)容,如果你想學(xué)習(xí)更多CFA相關(guān)知識,歡迎大家前往高頓教育官網(wǎng)CFA頻道!在這里,你可以學(xué)習(xí)更多精品課程,練習(xí)更多重點試題,了解更多最新考試動態(tài)


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