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FFM Exam #3

This document provides an outline for an exam covering fixed income securities, options, and related concepts. For fixed income, topics include bond prices and yields, returns, the yield curve, and interest rate risk management using duration and immunization. For options, the document lists option basics and strategies, arbitrage strategies, the Black-Scholes option pricing formula, and the relationship between options and futures. It provides key formulas and recommends reviewing homework, studying immunization with a case example, and practicing drawing pictures to illustrate option payoffs and profits.

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Jen Chan
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24 views1 page

FFM Exam #3

This document provides an outline for an exam covering fixed income securities, options, and related concepts. For fixed income, topics include bond prices and yields, returns, the yield curve, and interest rate risk management using duration and immunization. For options, the document lists option basics and strategies, arbitrage strategies, the Black-Scholes option pricing formula, and the relationship between options and futures. It provides key formulas and recommends reviewing homework, studying immunization with a case example, and practicing drawing pictures to illustrate option payoffs and profits.

Uploaded by

Jen Chan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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FFM Exam #3:

1. Fixed Income Securities


a. Bond prices and yields: 18-19
b. Bond returns, forward rates, yield curve: H 20-22; TN 19
c. Term Structure of Interest Rates The yield curve; duration: H23-24
d. Interest Rate Risk Management: Duration and immunization: H 23-24
2. Options
a. Option basics and strategies: H24-25
b. Option strategies and arbitrage bonds: H26-27; TN Class 23
c. The Black-Scholes-Merton option pricing formula
d. Options and futures H 28

- How to find expiration date of options: Co- Po + Xe ^(rT) = So


- Pay offs/ Profits: be able to draw
*Past formulas with discounting and IRR

- Look at homework
- STUDY IMMUNITIZATION**** case example with GM
- Draw pictures for options

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