Finance Essay

1581 words - 7 pages

第三届“中金所杯”高校大学生金融
衍生品知识竞赛大纲
1.股指期货
1.1

股票价格指数与股指期货
1.1.1

股票价格指数

1.1.1.1

股票价格指数的概念与全球主要的股票价格指数

1.1.1.2

股票价格指数的主要编制方法

1.1.1.3

沪深 300 指数、中证 500 指数和上证 50 指数的编制

1.1.2

交易型开放式指数基金(ETF)

1.1.2.1 交易型开放式指数基金(ETF)的概念、种类和交易
方式
1.1.3

股指期货

1.1.2.1

股指期货的概念、国内外股指期货市场的产生与发

1.1.2.2

股指期货理论价格的计算

1.2

股指期货的功能与特征
1.2.1

股指期货的功能

1.2.1.1
1.2.2

价格发现功能、风险管理功能和资产配置功能

股指期货的特征
1

1.2.2.1
1.2.2.2

股指期货与股票的特征比较

1.2.2.3

股指期货与 ETF 的特征比较

1.2.2.4

1.3

股指期货与商品期货的特征比较

股指期货与权证、融资融券的特征比较

沪深 300 指数期货合约规则与风险管理制度
1.3.1

沪深 300 指数期货合约解读

1.3.1.1

合约标的、交易代码、合约乘数、报价单位、最

小变动价位
1.3.1.2

合约月份、交易时间、最后交易日、最后交易日

交易时间
1.3.1.3 ...view middle of the document...

4

阿尔法策略

1.6.5.5

可转移阿尔法策略

1.6.6.6

现金证券化策略

4

2.国债期货
2.1

债券基础
2.1.1

利率与债券基础

2.1.1.1

利率基础

2.1.1.2

债券基础

2.1.2

国债基础

2.1.2.1

国债与国债市场

2.1.2.2

国债的发行与交易

2.1.2.3

全价、竞价和应计利息

2.1.3

债券定价

2.1.3.1
2.1.3.2

2.2

债券定价原理
债券价格影响因素

债券风险度量和利率期限结构
2.2.1

风险度量

2.2.1.1

久期和凸度

2.2.1.2 DV01 法
2.2.2

利率期限结构

2.2.2.1
2.2.2.2

2.3

国债收益率曲线
利率期限结构与理论基础

利率期货市场
2.3.1

利率期货的产生和发展

2.3.2

利率期货的分类和全球市场主要交易品种
5

2.4

国债期货交易与交割
2.4.1

中金所国债期货合约

2.4.1.1

合约设计原则和标的选择

2.4.1.2

合约条款及解读

2.4.2

国债期货交易与结算

2.4.2.1

报价、指令和成交规则

2.4.2.2

结算和结算制度

2.4.3

交割

2.4.3.1
2.4.3.2

2.5

国债期货交割制度和交割流程
可交割债券

国债期货定价
2.5.1

转换因子

2.2.5.1

转换因子的概念和理解

2.2.5.2

转换因子的计算

2.5.2

最便宜可交割债券

2.5.2.1

隐含回购率及其应用

2.5.2.2

基差法及其应用

2.5.2.3

寻找最便宜可交割债券的经验法则

2.5.3

国债期货的定价

2.5.3.1

发票价格

2.5.3.2

国债期货定价原理

2.5.4

国债期货价格影响因素
6

2.6

国债期货投机与套利
2.6.1

国债期货投机

2.6.1.1

多头投机策略

2.6.1.2

空头投机策略

2.6.2

国债基差交易

2.6.2.1

基差的计算

2.6.2.2

基差交易

2.6.3

跨期套利与跨品种套利

2.6.3.1
2.6.3.2

2.7

跨期套利交易策略
跨品种套利交易策略

国债期货套期保值与资产组合管理
2.7.1

国债期货套期保值

2.7.1.1

国债期货套期保值与风险管理

2.7.1.2

套期保值比率的计算(修正久期法、基点价值法)

2.7.1.3

多头套期保值交易策略

2.7.1.4

空头套期保值交易策略

2.7.1.5

交叉套期保值交易策略

2.7.1.6

套期保值风险

2.7.2

国债期货在资产组合管理中的应用

2.7.2.1

目标久期策略

2.7.2.2

资产配置调整

7

3.金融期权
3.1

期权基础
3.1.1

期权概念及特点

3.1.2

期权类型

3.1.2.1

看涨和看跌,美式、欧式和百慕大式

3.1.2.2

现货期权和期货期权,商品期权和金融期权

3.1.2.3

其它期权类型

3.1.3

期权要素及合约主要条款

3.1.3.1
3.1.3.2

3.2.

标的资产、权利金、行权价、保证金
有效期、最后交易日和到期日等

期权市场和股指期权的发展

3.2.1

场内市场和场外市场

3.2.2

期权市场的做市商制度

3.2.3

股指期权市场及发展

3.3.

期权交易

3.3.1

期权头寸

3.3.1.1

买进看涨期权
(看涨期权多头) 卖出看涨期权

(看

涨期权空头)
3.3.1.2

买进看跌期权
(看跌期权多头) 卖出看跌期权

(看

跌期权空头)
3.3.2

期权建仓和头寸了结

3.3.2.1

建仓

3.3.2.2

买方头寸了结和了结后持仓

3.3.2.3

卖方头寸了结和了结后持仓

3.3.2.4

行权与交割流程

3.3.3

期权基本交易制度

3.3.3.1 保证金制度
3.3.3.2

涨跌停板制度
8

3.3.3.3 行权与交割制度

3.4

期权价格及影响因素
3.4.1

期权的权利金、内在价值和时间价值

3.4.2

实值期权、虚值期权和平值期权

3.4.3

期权价格的影响因素

3.4.3.1

标的资产价格、行权价格

3.4.3.2

标的资产价格波动率

3.4.3.3

无风险利率

3.4.3.4

红利

3.4.3.5

剩余期限

3.4.4
3.4.5

期权的平价关系

3.4.6

3.5

期权价格的上下限
期权的价格特征

期权策略、特点、损益和风险分析
3.5.1

单一期权策略

3.5.1.1

买入看涨期权、买入看跌期权

3.5.1.2

卖出看涨期权、卖出看跌期权

3.5.2

期权组合策略

3.5.2.1

期权和期货、现货组合策略:包括备兑看涨期权

组合(Covered Call)
、保护性看跌期权组合(Protective Put)
、转
换组合(Conversion)
、反转组合(Reversals)等
3.5.2.2

期权价差策略:包括牛市价差策略、熊市价差策

略、蝶式价差策略、日历价差组合等
3.5.2.3
3.5.2.4

3.6

跨式组合和宽跨式组合等
期权套利策略

期权定价
3.6.1

风险中性定价原理

3.6.2

期权定价模型
9

3.6.2.1
3.6.2.2

布莱克-斯科尔斯(Black-Scholes)模型

3.6.2.3

3.7

二叉树模型
期权定价的其他方法

希腊字母及在风险管理中的应用
3.7.1

希腊字母
(包括 delta, gamma, vega, theta, rho, vomma,

...

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