Weekly outline
- General
- 1. 11 September - 17 September
1. 11 September - 17 September
第1週：Interest rate futures
1.Day count conventions and quotations
2.Treasury bond futures
3.Eurodollar futures
4.Duration-based hedging strategies
5.Hedging portfolio of assets and liabilities - 2. 18 September - 24 September
2. 18 September - 24 September
第2週：Interest rate futures
1.Day count conventions and quotations
2.Treasury bond futures
3.Eurodollar futures
4.Duration-based hedging strategies
5.Hedging portfolio of assets and liabilities - 3. 25 September - 1 October
3. 25 September - 1 October
第3週：Interest rate futures
1.Day count conventions and quotations
2.Treasury bond futures
3.Eurodollar futures
4.Duration-based hedging strategies
5.Hedging portfolio of assets and liabilities - 4. 2 October - 8 October
4. 2 October - 8 October
第4週：Interest rate futures
1.Day count conventions and quotations
2.Treasury bond futures
3.Eurodollar futures
4.Duration-based hedging strategies
5.Hedging portfolio of assets and liabilities - 5. 9 October - 15 October
5. 9 October - 15 October
第5週：Interest rate futures
1.Day count conventions and quotations
2.Treasury bond futures
3.Eurodollar futures
4.Duration-based hedging strategies
5.Hedging portfolio of assets and liabilities - 6. 16 October - 22 October
6. 16 October - 22 October
第6週：Swaps
1.Mechanics of interest rate swaps
2.Day count issues and confirmations
3.The comparative-advantage argument
4.Determining the zero rates
5.Valuation of interest rate swaps
6.Currency swaps
7.Valuation of currency swaps - 7. 23 October - 29 October
7. 23 October - 29 October
第7週：Swaps
1.Mechanics of interest rate swaps
2.Day count issues and confirmations
3.The comparative-advantage argument
4.Determining the zero rates
5.Valuation of interest rate swaps
6.Currency swaps
7.Valuation of currency swaps - 8. 30 October - 5 November
8. 30 October - 5 November
第8週：Swaps
1.Mechanics of interest rate swaps
2.Day count issues and confirmations
3.The comparative-advantage argument
4.Determining the zero rates
5.Valuation of interest rate swaps
6.Currency swaps
7.Valuation of currency swaps - 9. 6 November - 12 November
- 10. 13 November - 19 November
10. 13 November - 19 November
第10週：Mechanics of options markets
1.Types of options
2.Option positions
3.Underlying assets
4.Specification of stock options
5.Trading, commissions, and margins
6.The options clearing corporation - 11. 20 November - 26 November
11. 20 November - 26 November
第11週：Mechanics of options markets
1.Types of options
2.Option positions
3.Underlying assets
4.Specification of stock options
5.Trading, commissions, and margins
6.The options clearing corporation - 12. 27 November - 3 December
12. 27 November - 3 December
第12週：Mechanics of options markets
1.Types of options
2.Option positions
3.Underlying assets
4.Specification of stock options
5.Trading, commissions, and margins
6.The options clearing corporation - 13. 4 December - 10 December
13. 4 December - 10 December
第13週：Properties of stock options
1.Factors affecting option prices
2.Upper and lower bounds for option prices
3.Put-call parity
4.Early exercise
5.Effect of dividends - 14. 11 December - 17 December
14. 11 December - 17 December
第14週：Properties of stock options
1.Factors affecting option prices
2.Upper and lower bounds for option prices
3.Put-call parity
4.Early exercise
5.Effect of dividends - 15. 18 December - 24 December
15. 18 December - 24 December
第15週：Trading Strategies involving Options
1. Principle-protected notes
2. Strategies involving a single option and a stock
3. Spreads
4. Combinations
5. Other payoffs - 16. 25 December - 31 December
16. 25 December - 31 December
第16週：Introduction to Binomial Trees
1. A one-step binomial model and a no-arbitrage argument
2. Risk-neutal valuation
3. Two-step Binomial trees
4. A put example
5. American options
6. Delta
7. Determining u and d
8. Increasing the number of time steps - 17. 1 January - 7 January
17. 1 January - 7 January
第17週：The Black-Scholes model
1.Assuming about how stock prices evolve
2.Expected Return
3.Volatility
4.Estimating volatility from historical data
5.Assumption underlying the Black-Scholes model
6. The key no-arbitrage argument
7. The Black-Scholes formulas
8. Risk-neutralValua - 18. 8 January - 14 January
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