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Derivatives de Cfa Institute

Derivatives: CFA Institute Investment Series

Autor Cfa Institute
en Limba Engleză Hardback – 24 noi 2021
The complete guide to derivatives, from experts working with CFA Institute Derivatives is the definitive guide to derivatives and derivative markets. Written by experts working with CFA Institute, this book is an authoritative reference for students and investment professionals interested in the role of derivatives within 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 derivative markets and their instruments. 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 for effective financial risk management and for creating synthetic exposure to asset classes. This book builds a conceptual framework for grasping derivative fundamentals, with systematic coverage and thorough explanations. Readers will: * Understand the different types of derivatives and their characteristics * Delve into the various markets and their associated contracts * Examine the role of derivatives in portfolio management * Learn why derivatives are increasingly fundamental to risk management CFA Institute is the world's premier association for investment professionals, and the governing body for CFA(r) Program, CIPM(r) Program, CFA Institute ESG Investing Certificate, and Investment Foundations(r) Program. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA Institute brings 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 use in investment management.
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Specificații

ISBN-13: 9781119850571
ISBN-10: 1119850576
Pagini: 896
Dimensiuni: 184 x 260 x 50 mm
Greutate: 1.47 kg
Ediția:1st Edition
Editura: Wiley
Seria CFA Institute Investment Series

Locul publicării:Hoboken, United States

Notă biografică

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.

Cuprins

Foreword Preface Acknowledgments About the CFA Institute Investment Series Chapter 1: Derivative Markets and Instruments Learning 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 Pricing Chapter 2: Basics of Derivative Pricing and Valuation Learning 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 Pricing Summary Problems Chapter 3: Pricing and Valuation of Forward Commitments Learning 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 Contracts Summary Problems Chapter 4: Valuation of Contingent Claims Learning 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 Volatility Summary Problems Chapter 5: Credit Default Swaps Learning 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 Trading Summary Problems Chapter 6: Introduction to Commodities and Commodity Derivatives Learning 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 Indexes Summary References Problems Chapter 7: Currency Management: An Introduction Learning 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 Currencies Summary References Problems Chapter 8: Options Strategies Learning 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 Volatility Summary Problems Chapter 9: Swaps, Forwards, and Futures Strategies Learning 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 Expectations Summary Problems Chapter 10: Introduction to Risk Management Learning 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 Modifying Summary Problems Chapter 11: Measuring and Managing Market Risk Learning 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 Insurers Summary References Problems Chapter 12: Risk Management for Individuals Learning 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 Reduction Summary References Problems Chapter 13: Case Study in Risk Management: Private Wealth Learning 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 Stage Summary Problems Chapter 14: Integrated Cases in Risk Management: Institutional Learning Outcomes * Introduction * Financial Risks Faced by Institutional Investors * Environmental and Social Risks Faced by Institutional Investors References Glossary About the Editors and Authors Index