1. David Harper CFA FRM

    P2.T5.23.2. Multi-period interest rate trees

    Learning objectives: Explain how the principles of arbitrage pricing of derivatives on fixed-income securities can be extended over multiple periods. Define option-adjusted spread (OAS) and apply it to security pricing. Describe the rationale behind the use of recombining trees in option...
  2. enjofaes

    About the market sizes of derivatives

    Hi @David Harper CFA FRM , Made a quick summary of the market sizes of the 2 markets, reading from the books. Any links that track the amounts as in the books those are numbers from June 2019. Would be excited to see how much these markets have grown since COVID. Also note that the interest...
  3. Nicole Seaman

    P1.T3.21.9. Derivative payoffs

    Learning objectives: Calculate and compare the payoffs from hedging strategies involving forward contracts and options. Calculate and compare the payoffs from speculative strategies involving futures and options. Describe arbitrageurs' strategy and calculate an arbitrage payoff. Describe some of...
  4. Nicole Seaman

    P1.T3.21.8. Derivatives for hedging

    Learning objectives: Define derivatives, describe the features and uses of derivatives and compare linear and non-linear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each. Differentiate between options...
  5. Nicole Seaman

    P1.T1.20.4. Risk appetite and hedging (Chapter 2)

    Learning objectives: Compare different strategies a firm can use to manage its risk exposures and explain situations in which a firm would want to use each strategy. Explain the relationship between risk appetite and a firm’s risk management decisions. Evaluate some advantages and disadvantages...
  6. B

    NGR calculation for Netting Set which includes one single trade

  7. Nicole Seaman

    P2.T5.706. Risk-free rate in derivatives valuation and volatility smiles (Hull Chapters 9 and 10)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than's typical question such that the intended difficulty level is nearer to an...
  8. Nicole Seaman

    P1.T3.601. The Need to Clear Derivatives (Gregory)

    Learning objectives: Describe how exchanges can be used to alleviate counterparty risk. Explain the developments in clearing that reduce risk. Compare exchange-traded and OTC markets and describe their uses. Questions: 601.1. An exchange is a central financial center where parties can trade...