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作者 Pirie, Wendy L
書名 Derivatives
出版項 Newark : John Wiley & Sons, Incorporated, 2017
©2017
國際標準書號 9781119381747 (electronic bk.)
9781119381815
book jacket
說明 1 online resource (624 pages)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
系列 CFA Institute Investment Ser
CFA Institute Investment Ser
附註 Cover -- Title Page -- Copyright -- Contents -- 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
Description based on publisher supplied metadata and other sources
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
鏈接 Print version: Pirie, Wendy L. Derivatives Newark : John Wiley & Sons, Incorporated,c2017 9781119381815
主題 Derivative securities
Electronic books
Alt Author Kritzman, Mark P
Pirie, Wendy L
Kritzman, Mark P
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