文档介绍：2013年FRM一级培训项目
Financial Markets and Products
么峥 FRM
金程高级培训师
日期： 2013年1月19日~20日
地点： ■ 上海 □北京 □深圳
么峥么峥
¾ 职称：FRM，浙江大学数学学士，浙江大学金融学硕士。
¾ 教授课程：金融市场与产品，数量分析，估值与风险模型
¾ 工作背景：现就职于国内某大型股份制商业银行，负责全行新资本
协议的实施工作；参与各新资本协议有关项目，包含信用风险初级
法改造、市场风险验证、第二支柱建设等项目；跟进巴塞尔三定量
测算与监管最新动态。
¾ 联系方式：******@
2-184 100% Contribution Breeds Professionalism
FinancialFinancial MarketMarket andand ProductsProducts –– ExamExam WeightWeight 30%30%
¾ Mechanics of OTC and exchange markets
¾ Forwards, futures, swaps, and options
z Mechanics
z Pricing and factors that affect it
z Uses in hedging and hedging strategies
z Delivery options
¾ Interest rates and measures of interest rate sensitivity
¾ Derivatives on fixed‐income securities, interest rates, foreign exchange, and equities
¾ Commodity derivatives
¾ Foreign exchange risk
¾ Corporate bonds
¾ Rating Agencies
3-184 100% Contribution Breeds Professionalism
CoreCore readingsreadings
¾ 12. Hull, Options, Futures, and Other Derivatives, 8th Edition.
z . Chapter 1 – Introduction
z . Chapter 2 – Mechanics of Futures Markets
z . Chapter 3 – Hedging Strategies Using Futures
z . Chapter 4 -- Interest Rates
z . Chapter 5 – Determination of Forward and Futures Prices
z . Chapter 6 – Interest Rate Futures
z . Chapter 7 – Swaps
z . Chapter 10 – Properties of Stock Options
z . Chapter 11 – Trading Strategies Involving Options
¾ 13. Robert McDonald, Derivatives Markets (Boston: Addison‐Wesley, 2003).
z . Chapter 6 – Commodity Forwards and Futures
4-184 100% Contribution Breeds Professionalism
CoreCore readingsreadings
¾ 14. Helyette Geman, Commodities and Commodity Derivatives: Modeling and Pricing
for Agriculturals, Metals and Energy (West Sussex, England: John Wiley & Sons,
2005)
z . Chapter 1 – Fundamentals of Commodity Spot and Futures Markets: Instruments,
Exchanges and