刚刚上完风险管理与对冲这门课,感觉老师用的课堂笔记和案例都非常不错,在此共享给大家:

案例: LTCM(长期资本管理公司的兴起和倒闭); Disney 日元风险头寸对冲案例;  First American bank信用违约互换(CDS)设计案例; The_Collapse_of_Metallgesells chart; Arley case (defaultable coperate bond pricing); portfolio insurance等等

笔记:
风险管理概述, greeks, Delta-Gamma hedging; volatility smile and smirk, swaps, exotic options, coperate bond, CDS(credit default swap), commodity and cross hedging; intereset rate derivatives等等