Derivatives

ISBN-13: 9781119850571 / Angielski / Twarda / 2021 / 896 str.

Wendy L. Pirie

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ForewordPrefaceAcknowledgmentsAbout the CFA Institute Investment SeriesChapter 1: Derivative Markets and InstrumentsLearning Outcomes* Derivatives: Introduction, Definitions, and Uses* The Structure of Derivative Markets* Types of Derivatives: Introduction, Forward Contracts* Types of Derivatives: Futures* Types of Derivatives: Swaps* Contingent Claims: Options* Contingent Claims: Credit Derivatives* Types of Derivatives: Asset-Backed Securities and Hybrids* Derivatives Underlyings* The Purposes and Benefits of Derivatives* Criticisms and Misuses of Derivatives* Elementary Principles of Derivative PricingChapter 2: Basics of Derivative Pricing and ValuationLearning Outcomes* Introduction* Basic Derivative Concepts, Pricing the Underlying* The Principle of Arbitrage* Pricing and Valuation of Forward Contracts: Pricing vs. Valuation; Expiration; Initiation* Pricing and Valuation of Forward Contracts: Between Initiation and Expiration; Forward Rate Agreements* Pricing and Valuation of Futures Contracts* Pricing and Valuation of Swap Contracts* Pricing and Valuation of Options* Lower Limits for Prices of European Options* Put-Call Parity, Put-Call-Forward Parity 10.1. Put-Call-Forward Parity* Binomial Valuation of Options* American Option PricingSummaryProblemsChapter 3: Pricing and Valuation of Forward CommitmentsLearning Outcomes* Introduction to Pricing and Valuation of Forward Commitments* Carry Arbitrage* Pricing Equity Forwards and Futures* Pricing Fixed-Income Forward and Futures Contracts* Pricing and Valuing Swap Contracts* Pricing and Valuing Currency Swap Contracts* Pricing and Valuing Equity Swap ContractsSummaryProblemsChapter 4: Valuation of Contingent ClaimsLearning Outcomes* Introduction and Principles of a No- Arbitrage Approach to Valuation* Binomial Option Valuation Model* One- Period Binomial Model* Binomial Model: Two- Period (Call Options)* Binomial Model: Two- Period (Put Options)* Binomial Model: Two- Period (Role of Dividends & Comprehensive Example)* Interest Rate Options & Multiperiod Model* Black-Scholes-Merton (BSM) Option Valuation Model, Introduction and Assumptions of the BSM Model* BSM Model: Components* BSM Model: Carry Benefits and Applications* Black Option Valuation Model and European Options on Futures* Interest Rate Options* Swaptions* Option Greeks and Implied Volatility: Delta* Gamma* Theta* Vega* Rho* Implied VolatilitySummaryProblemsChapter 5: Credit Default SwapsLearning Outcomes* Introduction* Basic Definitions and Concepts* Important Features of CDS Markets and Instruments, Credit and Succession Events, and Settlement Proposals* Basics of Valuation and Pricing* Applications of CDS* Valuation Differences and Basis TradingSummaryProblemsChapter 6: Introduction to Commodities and Commodity DerivativesLearning Outcomes* Introduction* Commodity Sectors* Life Cycle of Commodities* Valuation of Commodities* Commodities Futures Markets: Participants* Commodity Spot and Futures Pricing* Theories of Futures Returns* Components of Futures Returns* Contango, Backwardation, and the Roll Return* Commodity Swaps* Commodity IndexesSummaryReferencesProblemsChapter 7: Currency Management: An IntroductionLearning Outcomes* Introduction* Review of Foreign Exchange Concepts* Currency Risk and Portfolio Risk and Return* Strategic Decisions in Currency Management: Overview* Strategic Decisions in Currency Management: Spectrum of Currency Risk* Strategic Decisions in Currency Management: Formulating a Currency Management Program* Active Currency Management: Based on Economic Fundamentals, Technical Analysis, and the Carry Trade* Active Currency Management: Based on Volatility Trading* Currency Management Tools: Forward Contracts, FX Swaps, and Currency Options* Currency Management Strategies* Hedging Multiple Foreign Currencies* Currency Management Tools and Strategies: A Summary* Currency Management for Emerging Market CurrenciesSummaryReferencesProblemsChapter 8: Options StrategiesLearning Outcomes* Introduction* Position Equivalencies* Covered Calls and Protective Puts* Investment Objectives of Protective Puts* Equivalence to Long Asset/Short Forward Position* Risk Reduction Using Covered Calls and Protective Puts* Spreads and Combinations* Straddle* Implied Volatility and Volatility Skew* Investment Objectives and Strategy Selection* Uses of Options in Portfolio Management* Hedging an Expected Increase in Equity Market VolatilitySummaryProblemsChapter 9: Swaps, Forwards, and Futures StrategiesLearning Outcomes* Managing Interest Rate Risk with Swaps* Managing Interest Rate Risk with Forwards, Futures, and Fixed- Income Futures* Managing Currency Exposure* Managing Equity Risk* Volatility Derivatives: Futures and Options* Volatility Derivatives: Variance Swaps* Using Derivatives to Manage Equity Exposure and Tracking Error* Using Derivatives in Asset Allocation* Using Derivatives to Infer Market ExpectationsSummaryProblemsChapter 10: Introduction to Risk ManagementLearning Outcomes* Introduction* The Risk Management Process* The Risk Management Framework* Risk Governance . An Enterprise View* Risk Tolerance* Risk Budgeting* Identification of Risk . Financial and Non- Financial Risk* Identification of Risk . Interactions Between Risks* Measuring and Modifying Risk . Drivers and Metrics* Methods of Risk Modification . Prevention, Avoidance, and Acceptance* Methods of Risk Modification . Transfer, Shifting, Choosing a Method for ModifyingSummaryProblemsChapter 11: Measuring and Managing Market RiskLearning Outcomes* Introduction* Estimating VaR* The Parametric Method of VaR Estimation* The Historical Simulation Method of VaR Estimation* The Monte Carlo Simulation Method of VaR Estimation* Advantages and Limitations of VaR and Extensions of VaR* Other Key Risk Measures . Sensitivity Risk Measures; Sensitivity Risk Measures* Scenario Risk Measures* Sensitivity and Scenario Risk Measures and VaR* Using Constraints in Market Risk Management* Applications of Risk Measures* Pension Funds and InsurersSummaryReferencesProblemsChapter 12: Risk Management for IndividualsLearning Outcomes* Introduction* Human Capital, Financial Capital, and Economic Net Worth* A Framework for Individual Risk Management* The Individual Balance Sheet* Individual Risk Exposures* Life Insurance: Uses, Types, and Elements* Life Insurance: Pricing, Policy Cost Comparison, and Determining Amount Needed* Other Types of Insurance* Annuities: Types, Structure, and Classification* Annuities: Advantages and Disadvantages of Fixed and Variable Annuities* Risk Management Implementation: Determining the Optimal Strategy and Case Analysis* The Effect of Human Capital on Asset Allocation and Risk ReductionSummaryReferencesProblemsChapter 13: Case Study in Risk Management: Private WealthLearning Outcomes* Introduction and Case Background* Identification and Analysis of Risk Exposures: Early Career Stage* Risk Management Recommendations: Early Career Stage* Risk Management Considerations Associated with Home Purchase* Identification and Analysis of Risk Exposures: Career Development Stage* Risk Management Recommendations: Career Development Stage* Identification and Analysis of Risk Exposures: Peak Accumulation Stage* Assessment of and Recommendations concerning Risk to Retirement* Identification and Analysis of Retirement Objectives, Assets, and Drawdown Plan: Retirement Stage* Income and Investment Portfolio Recommendations: Retirement StageSummaryProblemsChapter 14: Integrated Cases in Risk Management: InstitutionalLearning Outcomes* Introduction* Financial Risks Faced by Institutional Investors* Environmental and Social Risks Faced by Institutional InvestorsReferencesGlossaryAbout the Editors and AuthorsIndex

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CFA Institute is the global association of investment professionals that sets the standard for professional excellence and credentials. The organization is a champion for ethical behavior in investment markets and a respected source of knowledge in the global financial community. The end goal: to create an environment where investors' interests come first, markets function at their best, and economies grow. CFA Institute has more than 170,000 members in 160+ countries and territories, including 163,000 CFA(r); charterholders, and 150+ member societies. For more information, visit www.cfainstitute.org.