隨著國內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,以及簡單期權策略。
CFA一級考試的Derivatives(金融衍生品)具體的內容知識點包含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對期權做了進一步分析,介紹兩種期權及兩種期權策略的應用。
cfa
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,以下內容建議考生們全部掌握。
★ 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;
歐式期權價值的計算以及影響因素;
歐式期權的平價公式、遠期平價公式以及二叉樹模型的理解;
美式期權與歐式期權定價的差異。
★ Reading 59:Risk Management Applications of Option Strategies(風險管理應用:期權策略)
看漲期權和看跌期權的到期價值、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衍生品練習題CFA
"Derivative"Exercise:Transaction costs

Questions 1:

What is the most likely reason why arbitrage will not completely eliminate all pricing discrepancies for derivatives?
A、Differences in risk aversion
B、Transaction costs
C、Inaccurate forecasts
cfa
【Answer to question 1】B
【analysis】
B is correct.Transaction costs may render an arbitrage strategy unprofitable and can therefore prevent precise convergence of prices.
A is incorrect.Differences in risk aversion are irrelevant for arbitrage because arbitrage transactions are riskless.
C is incorrect.No forecasts are needed in implementing an arbitrage position.
CFA那點事兒
報名信息 成績查詢 證書領取 備考經(jīng)驗 課程輔導
就業(yè)指導 資料下載 考試大綱 真題解析 知識講解

Questions 2:

Over time,a forward contract most likely has variable:
A、value and constant price.
B、price and constant value.
C、value and variable price.
cfa
【Answer to question 2】A
【analysis】
A is correct.The price of a forward contract remains constant throughout its life.It is set as part of the contract specifications.The value varies with changes in the price of the underlying.
B is incorrect.The price is constant,but value varies with changes in the price of the underlying.
C is incorrect.The price is constant,but value varies with changes in the price of the underlying.
以上就是【CFA衍生品練習題"Derivative"Exercise:Transaction costs】的全部內容,如果你想學習更多CFA相關知識,歡迎大家前往高頓教育官網(wǎng)CFA頻道!在這里,你可以學習更多精品課程,練習更多重點試題,了解更多最新考試動態(tài)。