Efnisyfirlit

• Cover
• Title Page
• Copyright
• Foreword
• Preface
• Acknowledgments
• About the CFA Institute Investment Series
• Chapter 1: Derivative Markets and Instruments
  • Learning Outcomes
  • 1. Introduction
  • 2. Derivatives: Definitions and Uses
  • 3. The Structure of Derivative Markets
    • 3.1. Exchange-Traded Derivatives Markets
    • 3.2. Over-the-Counter Derivatives Markets
  • 4. Types of Derivatives
    • 4.1. Forward Commitments
    • 4.2. Contingent Claims
    • 4.3. Hybrids
    • 4.4. Derivatives Underlyings
  • 5. The Purposes and Benefits of Derivatives
    • 5.1. Risk Allocation, Transfer, and Management
    • 5.2. Information Discovery
    • 5.3. Operational Advantages
    • 5.4. Market Efficiency
  • 6. Criticisms and Misuses of Derivatives
    • 6.1. Speculation and Gambling
    • 6.2. Destabilization and Systemic Risk
  • 7. Elementary Principles of Derivative Pricing
    • 7.1. Storage
    • 7.2. Arbitrage
  • 8. Summary
  • Problems
• Chapter 2: Basics of Derivative Pricing and Valuation
  • Learning Outcomes
  • 1. Introduction
  • 2. Fundamental Concepts of Derivative Pricing
    • 2.1. Basic Derivative Concepts
    • 2.2. Pricing the Underlying
    • 2.3. The Principle of Arbitrage
    • 2.4. The Concept of Pricing versus Valuation
  • 3. Pricing and Valuation of Forward Commitments
    • 3.1. Pricing and Valuation of Forward Contracts
    • 3.2. Pricing and Valuation of Futures Contracts
    • 3.3. Pricing and Valuation of Swap Contracts
  • 4. Pricing and Valuation of Options
    • 4.1. European Option Pricing
    • 4.2. Binomial Valuation of Options
    • 4.3. American Option Pricing
  • 5. Summary
  • Problems
• Chapter 3: Pricing and Valuation of Forward Commitments
  • Learning Outcomes
  • 1. Introduction
  • 2. Principles of Arbitrage-Free Pricing and Valuation of Forward Commitments
  • 3. Pricing and Valuing Forward and Futures Contracts
    • 3.1. Our Notation
    • 3.2. No-Arbitrage Forward Contracts
    • 3.3. Equity Forward and Futures Contracts
    • 3.4. Interest Rate Forward and Futures Contracts
    • 3.5. Fixed-Income Forward and Futures Contracts
    • 3.6. Currency Forward and Futures Contracts
    • 3.7. Comparing Forward and Futures Contracts
  • 4. Pricing and Valuing Swap Contracts
    • 4.1. Interest Rate Swap Contracts
    • 4.2. Currency Swap Contracts
    • 4.3. Equity Swap Contracts
  • 5. Summary
  • Problems
• Chapter 4: Valuation of Contingent Claims
  • Learning Outcomes
  • 1. Introduction
  • 2. Principles of a No-Arbitrage Approach to Valuation
  • 3. Binomial Option Valuation Model
    • 3.1. One-Period Binomial Model
    • 3.2. Two-Period Binomial Model
    • 3.3. Interest Rate Options
    • 3.4. Multiperiod Model
  • 4. Black–Scholes–Merton Option Valuation Model
    • 4.1. Introductory Material
    • 4.2. Assumptions of the BSM Model
    • 4.3. BSM Model
  • 5. Black Option Valuation Model
    • 5.1. European Options on Futures
    • 5.2. Interest Rate Options
    • 5.3. Swaptions
  • 6. Option Greeks and Implied Volatility
    • 6.1. Delta
    • 6.2. Gamma
    • 6.3. Theta
    • 6.4. Vega
    • 6.5. Rho
    • 6.6. Implied Volatility
  • 7. Summary
  • Problems
• Chapter 5: Derivatives Strategies
  • Learning Outcomes
  • 1. Introduction
  • 2. Changing Risk Exposures with Swaps, Futures, and Forwards
    • 2.1. Interest Rate Swap/Futures Examples
    • 2.2. Currency Swap/Futures Examples
    • 2.3. Equity Swap/Futures Examples
  • 3. Position Equivalencies
    • 3.1. Synthetic Long Asset
    • 3.2. Synthetic Short Asset
    • 3.3. Synthetic Assets with Futures/Forwards
    • 3.4. Synthetic Put
    • 3.5. Synthetic Call
    • 3.6. Foreign Currency Options
  • 4. Covered Calls and Protective Puts
    • 4.1. Investment Objectives of Covered Calls
    • 4.2. Investment Objective of Protective Puts
    • 4.3. Equivalence to Long Asset/Short Forward Position
    • 4.4. Writing Cash-Secured Puts
    • 4.5. The Risk of Covered Calls and Protective Puts
    • 4.6. Collars
  • 5. Spreads and Combinations
    • 5.1. Bull Spreads and Bear Spreads
    • 5.2. Calendar Spread
    • 5.3. Straddle
    • 5.4. Consequences of Exercise
  • 6. Investment Objectives and Strategy Selection
    • 6.1. The Necessity of Setting an Objective
    • 6.2. Spectrum of Market Risk
    • 6.3. Analytics of the Breakeven Price
    • 6.4. Applications
  • 7. Summary
  • Problems
• Chapter 6: Risk Management
  • Learning Outcomes
  • 1. Introduction
  • 2. Risk Management as a Process
  • 3. Risk Governance
  • 4. Identifying Risks
    • 4.1. Market Risk
    • 4.2. Credit Risk
    • 4.3. Liquidity Risk
    • 4.4 Operational Risk
    • 4.5. Model Risk
    • 4.6. Settlement (Herstatt) Risk
    • 4.7. Regulatory Risk
    • 4.8. Legal/Contract Risk
    • 4.9. Tax Risk
    • 4.10. Accounting Risk
    • 4.11. Sovereign and Political Risks
    • 4.12. Other Risks
  • 5. Measuring Risk
    • 5.1. Measuring Market Risk
    • 5.2. Value at Risk
    • 5.3. The Advantages and Limitations of VaR
    • 5.4. Extensions and Supplements to VaR
    • 5.5. Stress Testing
    • 5.6. Measuring Credit Risk
    • 5.7. Liquidity Risk
    • 5.8. Measuring Nonfinancial Risks
  • 6. Managing Risk
    • 6.1. Managing Market Risk
    • 6.2. Managing Credit Risk
    • 6.3. Performance Evaluation
    • 6.4. Capital Allocation
    • 6.5. Psychological and Behavioral Considerations
  • 7. Summary
  • Problems
  • References
• Chapter 7: Risk Management Applications of Forward and Futures Strategies
  • Learning Outcomes
  • 1. Introduction
  • 2. Strategies and Applications for Managing Interest Rate Risk
    • 2.1. Managing the Interest Rate Risk of a Loan Using an FRA
    • 2.2. Strategies and Applications for Managing Bond Portfolio Risk
  • 3. Strategies and Applications for Managing Equity Market Risk
    • 3.1. Measuring and Managing the Risk of Equities
    • 3.2. Managing the Risk of an Equity Portfolio
    • 3.3. Creating Equity out of Cash
    • 3.4. Creating Cash out of Equity
  • 4. Asset Allocation with Futures
    • 4.1. Adjusting the Allocation among Asset Classes
    • 4.2. Pre-Investing in an Asset Class
  • 5. Strategies and Applications for Managing Foreign Currency Risk
    • 5.1. Managing the Risk of a Foreign Currency Receipt
    • 5.2. Managing the Risk of a Foreign Currency Payment
    • 5.3. Managing the Risk of a Foreign-Market Asset Portfolio
  • 6. Futures or Forwards?
  • 7. Final Comments
  • 8. Summary
  • Problems
• Chapter 8: Risk Management Applications of Option Strategies
  • Learning Outcomes
  • 1. Introduction
  • 2. Option Strategies for Equity Portfolios
    • 2.1. Standard Long and Short Positions
    • 2.2. Risk Management Strategies with Options and the Underlying
    • 2.3. Money Spreads
    • 2.4. Combinations of Calls and Puts
  • 3. Interest Rate Option Strategies
    • 3.1. Using Interest Rate Calls with Borrowing
    • 3.2. Using Interest Rate Puts with Lending
    • 3.3. Using an Interest Rate Cap with a Floating-Rate Loan
    • 3.4. Using an Interest Rate Floor with a Floating-Rate Loan
    • 3.5. Using an Interest Rate Collar with a Floating-Rate Loan
  • 4. Option Portfolio Risk Management Strategies
    • 4.1. Delta Hedging an Option over Time
    • 4.2. Gamma and the Risk of Delta
    • 4.3. Vega and Volatility Risk
  • 5. Final Comments
  • 6. Summary
  • Problems
• Chapter 9: Risk Management Applications of Swap Strategies
  • Learning Outcomes
  • 1. Introduction
  • 2. Strategies and Applications for Managing Interest Rate Risk
    • 2.1. Using Interest Rate Swaps to Convert a Floating-Rate Loan to a Fixed-Rate Loan (and Vice Versa)
    • 2.2. Using Swaps to Adjust the Duration of a Fixed-Income Portfolio
    • 2.3. Using Swaps to Create and Manage the Risk of Structured Notes
  • 3. Strategies and Applications for Managing Exchange Rate Risk
    • 3.1. Converting a Loan in One Currency into a Loan in Another Currency
    • 3.2. Converting Foreign Cash Receipts into Domestic Currency
    • 3.3. Using Currency Swaps to Create and Manage the Risk of a Dual-Currency Bond
  • 4. Strategies and Applications for Managing Equity Market Risk
    • 4.1. Diversifying a Concentrated Portfolio
    • 4.2. Achieving International Diversification
    • 4.3. Changing an Asset Allocation between Stocks and Bonds
    • 4.4. Reducing Insider Exposure
  • 5. Strategies and Applications Using Swaptions
    • 5.1. Using an Interest Rate Swaption in Anticipation of a Future Borrowing
    • 5.2. Using an Interest Rate Swaption to Terminate a Swap
    • 5.3. Synthetically Removing (Adding) a Call Feature in Callable (Noncallable) Debt
    • 5.4. A Note on Forward Swaps
  • 6. Conclusions
  • 7. Summary
  • Problems
• Glossary
• About the Editors and Authors
• Index
• EULA

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