www.gfedu.netTopicWeightingsinFRMPartISessionNO.ContentWeightingsStudySession1FoundationsofRiskManagement20StudySession2QuantitativeAnalysis20StudySession3FinancialMarketsandProducts30StudySession4ValuationandRiskModels2-20230芸业．创新.1首值一www.gfedu.netOne-FactorRiskMetrics►Convexity(cont'd)•Example:Supposethereisa10-yearoption-freenoncallablebondwithanannualcouponof7%tradingatpar.Ifinterestratesriseby30bps,estimatedpriceis97.922.Ifinterestratesfallby30bps,estimatedpriceis102.137.Calculatetheconvexityofthisbond.102.137+97.922-2X100Convexity=100X(0.003)2=65.56•Example:Estimatetheeffectofa100bpsincreaseanddecreaseona10-year,5%,option-freebondcurrentlytradingatpar,usingtheduration/convexityapproachwithadurationof7andaconvexityof90.CfAFRMIAQFCPAteachingvideo,WeChat:zyz786468331percentagebondpricechange�duratione甘ect+convexityeffect/1B过y�[-7X100X0.01]+[(1/2)X90X100X0.012]=-6.55/18_1:iy�[-7X100X(-0.01)]+[(1/2)X90X100X(-0.01)叮=7.4542-202芸业．创新.1首值一ForwardandFuturesPrices►CostofCarryModel•Thismodelsetsafuturespriceasafunctionofthespotprice:thefuturesriceeualsthesotricecomoundedattheinterestratelusthestoraecostoftheassetlessanincomeearnedontheasset.二F。=S。eCr+u-q-y)TF。=(S。+U-I)eCr-y)TF。=S。eCr-q)TF。=(S。-I)erT►InterestRateParity•Ano-arbitrageconditionrepresentinganequilibriumstateunderwhichinvestorswillbeindifferenttointerestratesavailableondepositsintwocountries.需要其他视频讲义和纸质notes欢迎联系微：ZYZ786468331GivenS。A/B,F。=S。（扭）TorF。=S。eCrA五）T57-202芸业．创新.1首值一ExoticOptions►CompoundOptions•Optionsonoptions•Acallonacall,aputonacall,acallonaput,andaputonaput•Largeleverageandtheyarecheaperthanstraightoptions•Ifbothoptionsareexercised,thetotalpremiumwillbemorethanthepremiumonasingleoption►ChooserOption•Afterasecifiederiodoftimetheholdercanchoosewhethertheoptionisacalloraput.max(c,p)=max[c,c+Ke-r(Tz-Ti)-S1]=c+max[Ke-r(Tz士）-S1,0]=max[p,p+S1-Ke-r(Tz-Ti)]=p+max[S1-Ke-r(Tz-T立o]82-202芸业．创新.1首值一ExoticOptions►Barrie...
