第二題，ATM call的價(jià)格是2.4不是1.8啊
老師您好，這道題計(jì)算當(dāng)前時(shí)刻的的現(xiàn)金流，為什么要考慮2.65million USD這個(gè)foward,畢竟結(jié)算發(fā)生時(shí)間不是現(xiàn)在，是一個(gè)月以后。謝謝
老師您好，題目里面C&M would like to exploit the perceived alpha opportunity using forward contracts on the USD10,000,000 Bhatt portfolio. 最后的這里USD10,000,000 Bhatt portfolio是什么意思。謝謝
老師您好，這題我的理解是這樣的，請(qǐng)問對(duì)不對(duì)： 1. t0時(shí)刻賣出 EUR 6 month foward at 1.3935 - 0.0019 = 1.3916 2. 3個(gè)月后，也就是此刻平掉上個(gè)foward，買入EUR 3 month foward at 1.4210-0.0021 = 1.4189。 由于賣低買高，所以說“negative roll yield”. 3. 此刻繼續(xù)hedge, 賣出EUR 3 month forward at 1.4106-0.00216 = 1.4084。 因?yàn)轭A(yù)期3個(gè)月后spot是 1.4189，如果以這個(gè)價(jià)格平倉又一次會(huì)導(dǎo)致虧損，所以說“the currency change made it even more negative”。
請(qǐng)問老師，這題答案怎么理解？1. 為什么說A volatility-based strategy for Konev would typically be net short, as opposed to net long, volatility to earn the related risk premium for absorbing volatility risk. In contrast, the institutional investors, as hedgers in managing net long volatility positions, would be exposed to the time decay of an option’s time value. 2. 從文章條件中哪里得出Konev net short
老師你好，請(qǐng)問這題答案劃紅線的數(shù)字怎么來的呢？0.996，104.15， 謝謝
老師您好，請(qǐng)問這題為什么C不對(duì)？謝謝
請(qǐng)問這道題在考什么知識(shí)點(diǎn)？問題和答案沒看明白，謝謝
老師您好，上課時(shí)候老師說discretionary hedging 是 80% hedge. 盡管題目中很多條都支持active management, 但是我看到藍(lán)色這句話所以選了discretionary。 這里如何理解和判斷呢？謝謝
老師，carry trade的原理不是借入low yield currency，投資high yield currency嗎？那這一題為什么是借入高利率的BRL，投資低利率的AUD呢？
請(qǐng)教老師，reason 1里面的real interest rate為什么是對(duì)的，為什么不是nominal interest rate？ reason 2為什么不對(duì), 答案沒看明白邏輯。謝謝
請(qǐng)問老師這道官網(wǎng)題是什么意思，謝謝
請(qǐng)問老師，這題官網(wǎng)題答案怎么得來的呢，謝謝
老師你好，請(qǐng)問這道題的計(jì)算公式是什么？官網(wǎng)沒有顯示。謝謝
精 請(qǐng)問老師，答案這句話如何理解：A short calendar spread is appropriate if the expectation is for a decrease in implied volatility or a big move in share prices that is not imminent. If a long calendar spread is implemented, the expectation is for a stable market or an increase in implied volatility. 謝謝
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