1987年以来,我们在华东师范大学数学系对数学教育助教进修 班、在职教师硕士课程班、硕士研究生和本科生多次开设了“数学教学 测量和评估”这门课程,同时实施了全国第一次、第二次初中数学教学 抽样调查和上海市部分重点中学的高中数学教学测试与评估

Futures Contracts Available on a wide range of underlyings · Exchange traded · Specifications(规定) need to be defined: -What can be delivered, Where it can be delivered,& When it can be delivered Settled(结算) daily

Nature of Swaps A swap is an agreement to exchange cash flows(现金流)at specified future times according to certain specified rules

Notation : European call C: American Call option option price price p: European put P: American Put option option price price So: Stock price today·Sr:Stock price at time X: Strike price D: Present value of T: Life of option

Three Alternative Strategies · Take position in: -the option and the underlying -2 or more options of the same type This is known as spread -a mixture of calls and puts This is known as a combination

Categorization of Stochastic Processes 1 Discrete time; discrete variable 2 Discrete time; continuous variable 3 Continuous time; discrete variable 4 Continuous time; continuous variable Options, Futures, and Other Derivatives,4 4th edition2000 by John.hull Tang Yincai, 2003, Shanghai Normal University

A Simple Binomial Model of Stock Price Movements In a binomial model, the stock price at the BEGINNING of period can lead to only 2 stock prices at the END of that period

The Question Being Asked in Value at Risk (VaR) \What loss level is such that we are X% confident it will not be exceeded in N business days?\

Assets Underlying Exchange-Traded Options Page 151-2 · Stocks · Foreign Currency · Stock Indices · Futures · Commodities etc

Types of Rates Treasury rates(国债利率)—regarded as risk-free rates LIBOR rates (London Interbank Offer rate)(伦敦银行同业放款利率)-generally higher than Treasury zero rates Repo rates(回购利率)—slightly higher than the Treasury rates