Derivatives

Wendy L. Pirie , Mark P. Kritzman 지음

Wiley 2017년 03월 20일 출간

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The complete guide to derivatives, from the experts at the CFA Derivatives is the definitive guide to derivatives, derivative markets, and the use of options in risk management. Written by the experts at the CFA Institute, this book provides authoritative reference for students and investment professionals seeking a deeper understanding for more 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 derivatives markets and their instruments. Included lecture slides help bring this book directly into the classroom, while 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 to effective financial risk management, and create synthetic exposure to asset classes. This book builds a conceptual framework for understanding derivative fundamentals, with systematic coverage and detailed explanations. Understand the different types of derivatives and their characteristics Delve into the various markets and their associated contracts Examine the use of derivatives in portfolio management Learn why derivatives are increasingly fundamental to risk management The CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA, CIPM, and Investment Foundations Programs. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA lends to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Derivatives offer

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Foreword xi Preface xv Acknowledgments xvii About the CFA Investment Series xix Chapter 1 Derivative Markets and Instruments 1 Learning Outcomes 1 1. Introduction 1 2. Derivatives: Definitions and Uses 2 3. The Structure of Derivative Markets 5 3.1. Exchange-Traded Derivatives Markets 6 3.2. Over-the-Counter Derivatives Markets 8 4. Types of Derivatives 10 4.1. Forward Commitments 10 4.2. Contingent Claims 21 4.3. Hybrids 32 4.4. Derivatives Underlyings 33 5. The Purposes and Benefits of Derivatives 37 5.1. Risk Allocation, Transfer, and Management 38 5.2. Information Discovery 38 5.3. Operational Advantages 39 5.4. Market Efficiency 39 6. Criticisms and Misuses of Derivatives 40 6.1. Speculation and Gambling 40 6.2. Destabilization and Systemic Risk 41 7. Elementary Principles of Derivative Pricing 43 7.1. Storage 44 7.2. Arbitrage 45 8. Summary 50 Problems 51 Chapter 2 Basics of Derivative Pricing and Valuation 55 Learning Outcomes 55 1. Introduction 56 2. Fundamental Concepts of Derivative Pricing 56 2.1. Basic Derivative Concepts 56 2.2. Pricing the Underlying 58 2.3. The Principle of Arbitrage 62 2.4. The Concept of Pricing versus Valuation 68 3. Pricing and Valuation of Forward Commitments 69 3.1. Pricing and Valuation of Forward Contracts 69 3.2. Pricing and Valuation of Futures Contracts 76 3.3. Pricing and Valuation of Swap Contracts 78 4. Pricing and Valuation of Options 81 4.1. European Option Pricing 82 4.2. Binomial Valuation of Options 97 4.3. American Option Pricing 101 5. Summary 104 Problems 106 Chapter 3 Pricing and Valuation of Forward Commitments 111 Learning Outcomes 111<

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저자(글) Wendy L. Pirie

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.

저자(글) Mark P. Kritzman