NO.PZ2016071602000019
问题如下：
Identify the risk in a convertible arbitrage strategy that takes long positions in convertible bonds hedged with short positions in Treasuries and the underlying stock.
选项：
A.Short implied volatility
B.Long duration
C.Long stock delta
D.Positive gamma
解释：
D is correct. This position is hedged against interest rate risk, so b. is wrong. It is also hedged against directional movements in the stock, so c. is wrong. The position is long an option (the option to convert the bond into the stock) so is long implied volatility, so a. is wrong. Long options positions have positive gamma.
老师这道题当中long delta选项，是不是股票只包含了一阶导的delta。（隐约在CFA还是FRM课程中听到老师提过）期权是包含了一阶导二阶导的，所以如果要想完全做neutral的策略得先将期权的二阶导对冲掉，在利用股票去对冲一阶导。
所以这道题long 可转转在short 股票，已经把一阶导的变化给对冲了，所以不选C
