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

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

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

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?\

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

The Nature of Derivatives derivative(衍生产品/工具) is an instrument whose value depends on the values of other more basic underlying(标的/原 生) variables

1. 股价过程 2. BSM随机微分方程 3. 风险中性定价 4. B-S期权定价公式 5. 标的资产支付连续红利情况下的期权定价

1. 为什么要管理财务风险？ 2. 如何设定风险管理目标？ 3. 对冲的均值-方差模型

1.LTCM介绍 2.LTCM的交易 3.LTCM的风险管理 4.LTCM的杠杆 5.LTCM的长期资本

20.1 期权合约 20.2 到期期权价值 20.3 期权策略 20.4 看跌与看涨期权的平价关系 20.5 期权式证券 20.6 金融工程 20.7 新型期权