Derivatives Workbook
Published on 9. June 2017
Book
Paperback/Softback
128 pages
978-1-119-38183-9 (ISBN)
Description
Apply practical derivatives knowledge to truly test your understanding
Derivatives Workbook offers practical instruction for students and professionals seeking additional guidance on working with derivatives instruments. Created by CFA Institute as a companion to the comprehensive Derivatives text, this book helps you practice using what you've learned through problems that mimic real-world scenarios. Working with different derivatives instruments helps you gauge how well you understand the instruments' characteristics, both shared and unique; this intimate knowledge is essential to effective portfolio management, and this book provides an expertly-designed, low-stakes environment ideal for self-assessment.
Derivatives--financial instruments that derive their value from the value of some underlying asset--have become increasingly important for effective risk management, and fundamental for creating synthetic exposures to asset classes. Whether you're a student aspiring to a career in finance, or a professional seeking a stronger skill set, this workbook is an invaluable tool for simulating the use of derivatives in everyday practice.
* Work more effectively with different types of derivative instruments
* Master the valuation of forward, future, options, and swap contracts
* Utilize options for risk management and portfolio optimization
* Explore the practical aspects of working within the derivatives markets
As in other security markets, arbitrage and market efficiency play a critical role in derivative pricing. The experts at CFA Institute recognize the need for realistic, practical derivatives training that translates well into real-world practice; this workbook fills the gap with a wealth of practice problems that have value to both aspiring and practicing investment professionals. Derivatives Workbook provides authoritative training and comprehensive practical instruction on derivative instruments, their markets, and valuation.
Derivatives Workbook offers practical instruction for students and professionals seeking additional guidance on working with derivatives instruments. Created by CFA Institute as a companion to the comprehensive Derivatives text, this book helps you practice using what you've learned through problems that mimic real-world scenarios. Working with different derivatives instruments helps you gauge how well you understand the instruments' characteristics, both shared and unique; this intimate knowledge is essential to effective portfolio management, and this book provides an expertly-designed, low-stakes environment ideal for self-assessment.
Derivatives--financial instruments that derive their value from the value of some underlying asset--have become increasingly important for effective risk management, and fundamental for creating synthetic exposures to asset classes. Whether you're a student aspiring to a career in finance, or a professional seeking a stronger skill set, this workbook is an invaluable tool for simulating the use of derivatives in everyday practice.
* Work more effectively with different types of derivative instruments
* Master the valuation of forward, future, options, and swap contracts
* Utilize options for risk management and portfolio optimization
* Explore the practical aspects of working within the derivatives markets
As in other security markets, arbitrage and market efficiency play a critical role in derivative pricing. The experts at CFA Institute recognize the need for realistic, practical derivatives training that translates well into real-world practice; this workbook fills the gap with a wealth of practice problems that have value to both aspiring and practicing investment professionals. Derivatives Workbook provides authoritative training and comprehensive practical instruction on derivative instruments, their markets, and valuation.
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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.
Content
PART I
Learning Objectives, Summary Overview, and Problems
CHAPTER 1
Derivative Markets and Instruments 3
Learning Outcomes 3
Summary Overview 3
Problems 5
CHAPTER 2
Basics of Derivatives Pricing and Valuation 7
Learning Outcomes 7
Summary Overview 8
Problems 9
CHAPTER 3
Pricing and Valuation of Forward Commitments 13
Learning Outcomes 13
Summary Overview 13
Problems 14
CHAPTER 4
Valuation of Contingent Claims 21
Learning Outcomes 21
Summary Overview 22
Problems 24
CHAPTER 5
Derivatives Strategies 31
Learning Outcomes 31
Summary Overview 31
Problems 32
CHAPTER 6
Risk Management 35
Learning Outcomes 35
Summary Overview 36
Problems 38
CHAPTER 7
Risk Management Applications of Forward and Futures Strategies 47
Learning Outcomes 47
Summary Overview 47
Problems 49
CHAPTER 8
Risk Management Applications of Option Strategies 53
Learning Outcomes 53
Summary Overview 53
Problems 56
CHAPTER 9
Risk Management Applications of Swap Strategies 61
Learning Outcomes 61
Summary Overview 61
Problems 64
PART II
Solutions
CHAPTER 1
Derivative Markets and Instruments 75
Solutions 75
CHAPTER 2
Basics of Derivatives Pricing and Valuation 79
Solutions 79
CHAPTER 3
Pricing and Valuation of Forward Commitments 83
Solutions 83
CHAPTER 4
Valuation of Contingent Claims 89
Solutions 89
CHAPTER 5
Derivatives Strategies 93
Solutions 93
CHAPTER 6
Risk Management 95
Solutions 95
CHAPTER 7
Risk Management Applications of Forward and Futures Strategies 101
Solutions 101
CHAPTER 8
Risk Management Applications of Option Strategies 105
Solutions 105
CHAPTER 9
Risk Management Applications of Swap Strategies 111
Solutions 111
Learning Objectives, Summary Overview, and Problems
CHAPTER 1
Derivative Markets and Instruments 3
Learning Outcomes 3
Summary Overview 3
Problems 5
CHAPTER 2
Basics of Derivatives Pricing and Valuation 7
Learning Outcomes 7
Summary Overview 8
Problems 9
CHAPTER 3
Pricing and Valuation of Forward Commitments 13
Learning Outcomes 13
Summary Overview 13
Problems 14
CHAPTER 4
Valuation of Contingent Claims 21
Learning Outcomes 21
Summary Overview 22
Problems 24
CHAPTER 5
Derivatives Strategies 31
Learning Outcomes 31
Summary Overview 31
Problems 32
CHAPTER 6
Risk Management 35
Learning Outcomes 35
Summary Overview 36
Problems 38
CHAPTER 7
Risk Management Applications of Forward and Futures Strategies 47
Learning Outcomes 47
Summary Overview 47
Problems 49
CHAPTER 8
Risk Management Applications of Option Strategies 53
Learning Outcomes 53
Summary Overview 53
Problems 56
CHAPTER 9
Risk Management Applications of Swap Strategies 61
Learning Outcomes 61
Summary Overview 61
Problems 64
PART II
Solutions
CHAPTER 1
Derivative Markets and Instruments 75
Solutions 75
CHAPTER 2
Basics of Derivatives Pricing and Valuation 79
Solutions 79
CHAPTER 3
Pricing and Valuation of Forward Commitments 83
Solutions 83
CHAPTER 4
Valuation of Contingent Claims 89
Solutions 89
CHAPTER 5
Derivatives Strategies 93
Solutions 93
CHAPTER 6
Risk Management 95
Solutions 95
CHAPTER 7
Risk Management Applications of Forward and Futures Strategies 101
Solutions 101
CHAPTER 8
Risk Management Applications of Option Strategies 105
Solutions 105
CHAPTER 9
Risk Management Applications of Swap Strategies 111
Solutions 111