Derivatives

Informationen zum Autor WENDY L. PIRIE, PHD, CFA, is Director, Curriculum Projects, in the Education Division at CFA Institute. She holds a PhD in accounting and finance from Queen's University at Kingston, Ontario, and MBAs from the Universities of Toronto and Calgary. She is a member of CFA Institute, New York Society of Security Analysts, and CFA Society Chicago. Klappentext The definitive guide to derivatives from CFA InstituteFrom the elite training institution promoting the highest standards of ethics, education, and professional excellence anywhere in the world, Derivatives provides unmatched instruction and practical guidance to using basic derivatives in your investment strategy to both grow wealth in derivative markets and manage portfolio risk. This complete, one-stop training resource takes you from the basics of forwards, futures, options, and swaps to risk management approaches using swaps and options techniques. This and every other volume in the CFA Institute Investment Series aims to bridge current practice, investment theory, and ethical and professional standards to give you a strong foundation of advanced investment analysis and real-world portfolio management skills. Written in conjunction with ancillary materials to aid both guided instruction and self-study, this turnkey resource features:* A full range of derivative instruments and their specific characteristics* Dozens of informative examples and thought-provoking problems designed to accelerate mastery* Up-to-date material, authoritative understanding, and expert guidance from CFA charterholdersDerivatives is the gold-standard road map to these versatile securities. Zusammenfassung The complete guide to derivatives, from the experts at the CFADerivatives is the definitive guide to derivatives, derivative markets, and the use of options in risk management. Written by the experts at the CFA Institute, this book provides authoritative reference for students and investment professionals seeking a deeper understanding for more comprehensive portfolio management. General discussion of the types of derivatives and their characteristics gives way to detailed examination of each market and its contracts, including forwards, futures, options, and swaps, followed by a look at credit derivatives markets and their instruments. Included lecture slides help bring this book directly into the classroom, while the companion workbook (sold separately) provides problems and solutions that align with the text and allows students to test their understanding while facilitating deeper internalization of the material.Derivatives have become essential to effective financial risk management, and create synthetic exposure to asset classes. This book builds a conceptual framework for understanding derivative fundamentals, with systematic coverage and detailed explanations.* Understand the different types of derivatives and their characteristics* Delve into the various markets and their associated contracts* Examine the use of derivatives in portfolio management* Learn why derivatives are increasingly fundamental to risk managementThe CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA, CIPM, and Investment Foundations Programs. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA lends to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Derivatives offers a complete course in derivatives and their markets. Inhaltsverzeichnis Foreword xiPreface xvAcknowledgments xviiAbout the CFA Investment Series xixChapter 1 Derivative Markets and Instruments 1Learning Outcomes 11. Introduction 12. Derivatives: Definitions and Uses 23. The Structure of Derivative Markets 53.1. E...

List of contents

Foreword xiPreface xvAcknowledgments xviiAbout the CFA Investment Series xixChapter 1 Derivative Markets and Instruments 1Learning Outcomes 11. Introduction 12. Derivatives: Definitions and Uses 23. The Structure of Derivative Markets 53.1. Exchange-Traded Derivatives Markets 63.2. Over-the-Counter Derivatives Markets 84. Types of Derivatives 104.1. Forward Commitments 104.2. Contingent Claims 214.3. Hybrids 324.4. Derivatives Underlyings 335. The Purposes and Benefits of Derivatives 375.1. Risk Allocation, Transfer, and Management 385.2. Information Discovery 385.3. Operational Advantages 395.4. Market Efficiency 396. Criticisms and Misuses of Derivatives 406.1. Speculation and Gambling 406.2. Destabilization and Systemic Risk 417. Elementary Principles of Derivative Pricing 437.1. Storage 447.2. Arbitrage 458. Summary 50Problems 51Chapter 2 Basics of Derivative Pricing and Valuation 55Learning Outcomes 551. Introduction 562. Fundamental Concepts of Derivative Pricing 562.1. Basic Derivative Concepts 562.2. Pricing the Underlying 582.3. The Principle of Arbitrage 622.4. The Concept of Pricing versus Valuation 683. Pricing and Valuation of Forward Commitments 693.1. Pricing and Valuation of Forward Contracts 693.2. Pricing and Valuation of Futures Contracts 763.3. Pricing and Valuation of Swap Contracts 784. Pricing and Valuation of Options 814.1. European Option Pricing 824.2. Binomial Valuation of Options 974.3. American Option Pricing 1015. Summary 104Problems 106Chapter 3 Pricing and Valuation of Forward Commitments 111Learning Outcomes 1111. Introduction 1112. Principles of Arbitrage-Free Pricing and Valuation of Forward Commitments 1123. Pricing and Valuing Forward and Futures Contracts 1133.1. Our Notation 1133.2. No-Arbitrage Forward Contracts 1153.3. Equity Forward and Futures Contracts 1263.4. Interest Rate Forward and Futures Contracts 1293.5. Fixed-Income Forward and Futures Contracts 1383.6. Currency Forward and Futures Contracts 1443.7. Comparing Forward and Futures Contracts 1484. Pricing and Valuing Swap Contracts 1494.1. Interest Rate Swap Contracts 1514.2. Currency Swap Contracts 1564.3. Equity Swap Contracts 1645. Summary 169Problems 170Chapter 4 Valuation of Contingent Claims 177Learning Outcomes 1771. Introduction 1782. Principles of a No-Arbitrage Approach to Valuation 1783. Binomial Option Valuation Model 1803.1. One-Period Binomial Model 1813.2. Two-Period Binomial Model 1893.3. Interest Rate Options 2023.4. Multiperiod Model 2044. Black-Scholes-Merton Option Valuation Model 2054.1. Introductory material 2054.2. Assumptions of the BSM model 2054.3. BSM model 2085. Black Option Valuation Model 2155.1. European Options on Futures 2155.2. Interest Rate Options 2175.3. Swaptions 2216. Option Greeks and Implied Volatility 2246.1. Delta 2246.2. Gamma 2286.3. Theta 2306.4. Vega 2316.5. Rho 2326.6. Implied Volatility 2337. Summary 237Problems 239Chapter 5 Derivatives Strategies 245Learning Outcomes 2451. Introduction 2462. Changing Risk Exposures with Swaps, Futures, and Forwards 2462.1. Interest Rate Swap/Futures Examples 2462.2. Currency Swap/Futures Examples 2482.3. Equity Swap/Futures Examples 2503. Position Equivalencies 2523.1. Synthetic Long Asset 2533.2. Synthetic Short Asset 2533.3. Synthetic Assets with Futures/Forwards 2543.4. Synthetic Put 2543.5. Synthetic Call 2553.6. Foreign Currency Options 2554. Covered Calls and Protective Puts 2574.1. Investment Objectives of Covered Calls 2584.2. Investment Objective of Protective Puts 2624.3. Equivalence to Long Asset/Short Forward Position 2664.4. Writing Cash-Secured Puts 2664.5. The Risk of Covered Calls and Protective Puts 2674.6. Collars 2685. Spreads and Combinations 2705.1. Bull Spreads and Bear Spreads 2715.2. Calendar Spread 2785.3. Straddle 2795.4. Consequences of Exercise 2806. Investment Objectives and Strategy Selection 2816.1. The Necessity of Setting an Objective 2816.2. Spectrum of Market Risk 2826.3. Analytics of the Breakeven Price 2826.4. Applications 2857. Summary 291Problems 292Chapter 6 Risk Management 295Learning Outcomes 2951. Introduction 2962. Risk Management as a Process 2973. Risk Governance 3004. Identifying Risks 3034.1. Market Risk 3054.2. Credit Risk 3064.3. Liquidity Risk 3074.4 Operational Risk 3084.5. Model Risk 3094.6. Settlement (Herstatt) Risk 3094.7. Regulatory Risk 3104.8. Legal/Contract Risk 3114.9. Tax Risk 3114.10. Accounting Risk 3124.11. Sovereign and Political Risks 3134.12. Other Risks 3145. Measuring Risk 3155.1. Measuring Market Risk 3155.2. Value at Risk 3175.3. The Advantages and Limitations of VaR 3335.4. Extensions and Supplements to VaR 3355.5. Stress Testing 3355.6. Measuring Credit Risk 3375.7. Liquidity Risk 3455.8. Measuring Nonfinancial Risks 3456. Managing Risk 3476.1. Managing Market Risk 3476.2. Managing Credit Risk 3516.3. Performance Evaluation 3546.4. Capital Allocation 3566.5. Psychological and Behavioral Considerations 3587. Summary 358Problems 361Chapter 7 Risk Management Applications of Forward and Futures Strategies 369Learning Outcomes 3691. Introduction 3702. Strategies and Applications for Managing Interest Rate Risk 3712.1. Managing the Interest Rate Risk of a Loan Using an FRA 3712.2. Strategies and Applications for Managing Bond Portfolio Risk 3753. Strategies and Applications for Managing Equity Market Risk 3853.1. Measuring and Managing the Risk of Equities 3853.2. Managing the Risk of an Equity Portfolio 3873.3. Creating Equity out of Cash 3903.4. Creating Cash out of Equity 3954. Asset Allocation with Futures 3994.1. Adjusting the Allocation among Asset Classes 3994.2. Pre-Investing in an Asset Class 4065. Strategies and Applications for Managing Foreign Currency Risk 4095.1. Managing the Risk of a Foreign Currency Receipt 4105.2. Managing the Risk of a Foreign Currency Payment 4115.3. Managing the Risk of a Foreign-Market Asset Portfolio 4136. Futures or Forwards? 4177. Final Comments 4198. Summary 420Problems 422Chapter 8 Risk Management Applications of Option Strategies 425Learning Outcomes 4251. Introduction 4262. Option Strategies for Equity Portfolios 4272.1. Standard Long and Short Positions 4292.2. Risk Management Strategies with Options and the Underlying 4372.3. Money Spreads 4442.4. Combinations of Calls and Puts 4563. Interest Rate Option Strategies 4653.1. Using Interest Rate Calls with Borrowing 4663.2. Using Interest Rate Puts with Lending 4713.3. Using an Interest Rate Cap with a Floating-Rate Loan 4773.4. Using an Interest Rate Floor with a Floating-Rate Loan 4813.5. Using an Interest Rate Collar with a Floating-Rate Loan 4844. Option Portfolio Risk Management Strategies 4884.1. Delta Hedging an Option over Time 4904.2. Gamma and the Risk of Delta 4984.3. Vega and Volatility Risk 4995. Final Comments 5006. Summary 501Problems 503

Product details

• Authors: CFA Institute, Pinto, Wendy L. Pirie, Wl Pirie
• Assisted by: Wendy L Pirie (Editor), Pirie (Editor), Wendy L. Pirie (Editor)
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 30.04.2017
• EAN: 9781119381815
• ISBN: 978-1-119-38181-5
• No. of pages: 624
• Series: The CFA Institute Series; Cfa Institute Investment; CFA Institute Investment Series; The CFA Institute Series; Cfa Institute Investment
• Subjects: Social sciences, law, business > Business > Business administration; Finanzwesen, Finance & Investments, Finanz- u. Anlagewesen, Spezialthemen Finanz- u. Anlagewesen, Finance & Investments Special Topics, Derivat (Wertpapier)