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By displaying examples of derivatives applications in a series of investment settings, this book aims to educate readers on the use of these instruments. It helps readers to bridge the gap between the theory and practice of derivative instruments. It provides real-world applications of derivatives demonstrating how they can be used to achieve specific investment purposes, and will be of interest to investment management professionals including portfolio managers, risk managers, and trustees, alongside professors teaching and students studying asset management.
Frank J. Fabozzi has authored and edited many books on asset management. He received the CFA Institute Research Foundation's James R. Vertin Award in 2015 and the C. Stewart Sheppard Award in 2007. In 2002, Frank was inducted into the Fixed Income Society's Hall of Fame. From 1988-2023, he served on the board of directors of the BlackRock fixed income complex. Frank earned an MA and a BA in economics in 1970 from the City College of New York and was elected to Phi Beta Kappa in 1969. He earned a PhD in economics in 1972 from the Graduate Center of the City University of New York and was awarded an honorary doctorate of humane letters (LHD) in 1994 from Nova Southeastern University, He holds two professional designations: Chartered Financial Analyst (1977) and Certified Public Accountant (1982).
Marielle de Jong is an associate professor in finance at the Grenoble Ecole de Management, Paris, France (GEM) since 2020. She teaches portfolio management, fixed income, and sustainable investing. She holds an MSc in econometrics from Rotterdam Erasmus University, an MSc in operational research from Cambridge University, and a PhD in finance from Aix-Marseille University. She is editor-in-chief of the Journal of Asset Management, academic director of the US doctoral program (DBA) at GEM, and research fellow of the Louis Bachelier Institute. Prior to becoming a professor, Marielle worked in the investment management industry for 25 years, in the City of London and in Paris. From 2011 to 2020, she headed the fixed-income quant research team at Amundi.
Part 1: Derivatives Fundamentals for Asset Managers.- Chapter 1: Introduction.- Chapter 2: Equity Derivatives.- Chapter 3: Bond-Related Derivatives.- Chapter 4: Foreign Exchange Derivatives.- Chapter 5: Volatility Derivatives.- Chapter 6: Managing Volatility and Capturing Returns Through Derivatives.- Chapter 7: Using Derivatives to Rebalance A Multi-Asset Portfolio with Private Investments.- Chapter 8: Option Income Strategies Design.- Chapter 9: Liquidity Management with Stock-Index Futures.- Chapter 10: Performance Attribution Analysis for Derivatives.- Chapter 11: Extracting Market Views from Derivative Prices.- Part 2: Case Studies in Managing Risk and Capital Protection.- Chapter 12: Risk Management with Stock Index Futures and Put Options.- Chapter 13: Using Options for Tail Risk Hedging.- Chapter 14: Bond Portfolio Hedging with U.S. Treasury Futures.- Chapter 15: Consumer Mortgage Portfolio Hedging with Interest Rate Swaps.- Chapter 16: Hedging Interest Rate Risk in Life Insurance Using Interest Rate Derivatives.- Chapter 17: Hedging Systematic Risk in High Yield with Equity Derivatives.- Chapter 18: Hedging the Mortgage Pipeline with To-Be-Announced (TBA) Securities.- Chapter 19: Application of FX Options in Portfolio Management.- Chapter 20: FX Forward Contracts for Portfolio Management Applications.- Part 3: Case Studies in Leverage and Exposure Management.- Chapter 21: Exploring the Mechanics and Applications of Equity Swaps in Investment Portfolios.- Chapter 22: Cash Equitization in Global Equity and Multi-Asset Portfolios.- Chapter 23: Quantifying Event Risk with Equity Options.- Chapter 24: Hedging Interest-Rate in High-Yield Bonds.- Chapter 25: The Role of Futures in Tactical Asset Allocation: Managing Market Exposure.- Chapter 26: Use of Derivatives in Overlays: Downside Protection and Upside Capture.- Chapter 27: Currency Hedging with a Derivatives Overlay.- Part 4: Case Studies in Income Enhancement Strategies.- Chapter 28: Managing Path Dependency and Balancing Yield in Option Income Strategies.- Chapter 29: Harvesting Volatility Risk Premium with Equity Index Options.- Chapter 30: Augmenting Covered Call Returns with Stock Index Options.- Chapter 31: Targeting Options-Based Income with Puts and Calls.- Chapter 32: Efficiently Replicating Corporate Bond Returns with CDS Indices.- Chapter 33: Using Credit Default Swaps to Enhance the Return-to-Risk Profile of Buy-and-Hold Bond Portfolios.
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