Derivative Markets 2nd Edition- Robert L.Mcdonald

Warrant - a call option with a longer time to expiration. Value a warrant as an option, plus factor in dividends and dilution.
Convertible - Bond with the option to exchange it for stock. Value as a regular bond + a call option.
trades. 3 - Standardized expiration dates - 3rd Friday 4 - Created a secondary market
Options
Components of the Option Price 1 - Underlying stock price 2 - Striking or Exercise price 3 - Volatility of the stock returns (standard deviation
Cumulative Normal Density Function
(d1)=
Ps
v2
ln + ( r + ) t
S
2
vt
N(d1)= 32 34 36 38 40
Cumulative Normal Density Function
Cumulative Normal Density Function
The value of an option at expiration is a function of the stock price and the exercise price.

CFA考试《CFA一级》历年真题精选及详细解析1006-571、Bonds issued by a country's central government are referred to as sovereignbonds.Which of the following methods is used by central governments to issuesovereign bonds when it determines market conditions are advantageous?【单选题】A.Regular cycle auction (multiple price).B.An ad hoc auction system.C.A tap system.正确答案:B答案解析:在市场适合的情况下，选择发行债券属于特别的拍卖系统。

2、On a cash flow statement prepared using the indirect method, which of the following would most likely increase the cash from investing activities?【单选题】A.Sale of a long-term receivableB.Sale of held-for-trading securitiesC.Securitization of accounts receivable正确答案:A答案解析:“Understanding Cash Flow Statements,” Elaine Henry, CFA, Thomas R. Robinson, CFA, Jan Hendrik van Greuning, CFA, and Michael A. Broihahn, CFA2013 Modular Level I, Vol. 3, Reading 27, Section 2.1“Accounting Shenanigans on the Cash Flow Statement,” Marc A. Siegel2013 Modular Level 1, Vol. 3, Reading 34, Section 5Study Session 8-27-a, 10-34-aCompare cash flows from operating, investing, and financing activities and classify cash flow items as relating to one of those three categories given a description of the items.Analyze and describe the following ways to manipulate the cash flow statement: stretching out payables; financing of payables; securitization of receivables; and using stock buybacks to offset dilution of earnings.A is correct. The sale of a long-term receivable would increase cash from investing activities; the other two activities mentioned are operating activities.3、Recording an estimate of uncollectible accounts will least likely:【单选题】A.reduce revenues.B.reduce net income.C.increase expense.正确答案:A答案解析:未能收现的账户(uncollectible accounts)当作费用处理，并不会影响到收入，但会增加费用，并且会减少净利润。

附件：大纲模板研究生课程教学大纲(Course Outline)课程名称(Course Name in Chinese)：金融随机分析英文名称(Course Name in English)：Stochastic Modeling in Finance开课系财务金融系教学小组负责人马成虎开课学期□春季X 秋季学分 3一、课程的教学目的 (Course Purpose)This course is an advanced treatment of no-arbitrage approach of stochastic modeling in finance. We shall put special emphasis on continuous time modeling. Fundamental theorem and various applications in option pricing and term structure of interest rates (TSIR) will be thoroughly covered.二、教学内容及基本要求(Teaching Content and Requirements)Topics include:(a)Stochastic processes and stochastic calculus(b)Trading strategy and market span(c)No arbitrage and martingale pricing: The Fundamental Theorem(d)Black-Scholes option pricing model(e)Classical no arbitrage modeling on TSIR(f)Heath-Jarrow-Morton’s approach on TSIR(g)TSIR in presence of Levy jumps三、考核方式及要求 (Grading)There will be no final examination. Students will be assessed on the basis of class participation, a mid-term test and a term paper.Class participation 10%Mid-term test 20%Term paper 70%Total 100%四、学习本课程的前期课程要求(Required Courses in advance)Asset Pricing, Econometrics/Statistics, Optimization五、教材 (Textbook)马成虎：高级资产定价理论。

Chapter 14
Exotic Options: I
Exotic Options
• Nonstandard options • Exotic options solve particular business problems that an ordinary option cannot • They are constructed by tweaking ordinary options in minor ways
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14-11
Asian Options (cont’d)
• Alternative solutions for XYZ’s hedging problem
Copyright © 2006 Pearson Addison-Wesley. All rights reserved.
where
1 ln(S/K 2 ) + (r − δ + σ 2 )t 2 d1 = σ t
and
d 2 = d1 − σ t
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14-18
Gap Options (cont’d)
• down rebates: has to fall to reach the barrier • up rebates: has to rise to reach the barrier
Barrier options are less valuable than otherwise identical ordinary options