1. Delta 2. Theta 3. Gamma 4. Vega 5. Rho 6. Portfolio Insurance

Credit ratings In the s&P rating system, AAA is the best rating. After that comes AA, A BBB. BB.B. and ccc The corresponding Moody's ratings are Aaa. Aa,a. Baa, Ba.b. and caa Bonds with ratings of BBB (or Baa) and above are considered to be investment grade

一、国际金融“大鳄”背景介绍 1.索罗斯(· Soros),职业金融投机家,牛津大学、耶鲁大学等大学名誉博士,《金 融炼金术》一书1987年出版,没几个人看得懂但1994年再版时,该书成为抢手货(为 何?)。其创立的量子基金(注:量子基金属一种套利基金,是一种经常使用期货、期权和 互换等金融衍生工具的基金,又常称衍生基金,到1994年为止,美国已有套利基金300多 个,拥有近2000亿美元资产)28年来报酬率年均增长35%

第一节 有效市场假说 第二节 资本资产定价模型（CAPM） 第三节 套利定价模型（APT） 第四节 期权定价理论

An alternative to the NPV Rule for Capital Investments Define stochastic processes for the key underlying variables and use risk- neutral valuation This approach (known as the real options approach) is likely to do a better job at valuing growth options, abandonment options, etc than NPV

一、即期交易远期交易一期货交易期权交易 Spot Forward Future Option 二、形成与发展(金融期货) 布雷顿森林体系的崩溃、浮动汇率制的实行、利率的浮动、金融业竞争的加剧、高科技的 发展(金融交易的自动化)等

Weather derivatives: Definitions Heating degree days (HDD): For each day this is max(o, 65-4)where a is the average of the highest and lowest temperature in°F Cooling Degree Days(CDD): For each day this is max( o, A-65)

Company a buys default protection from b to protect against default on a reference bond issued by the reference entity, C A makes periodic payments to In the event of a default by c A has the right to sell the reference bond to B for its face value

Valuation of Swaps The standard approach is to assume that forward rates will be realized This works for plain vanilla interest rate and plain vanilla currency swaps, but does not necessarily work for non- standard swaps

Term Structure models Blacks model is concerned with describing the probability distribution of a single variable at a single point in time a term structure model describes the evolution of the whole yield curve