Analysis of Derivatives for the CFA ProgramAnalysis of Derivatives for the CFA? Program introduces students and practitioners to a practical risk management approach to derivatives. The textbook captures current practice and reflects what the general investment practitioner needs to know about derivatives. It does not simply deliver an explanation of various derivatives instruments and positions but provides motivation for every derivatives position by explaining what the manager wants to accomplish prior to addressing the details of the position. |
Contents
DERIVATIVE MARKETS AND INSTRUMENTS | 1 |
FORWARD MARKETS AND CONTRACTS | 25 |
FUTURES MARKETS AND CONTRACTS | 81 |
Copyright | |
17 other sections not shown
Common terms and phrases
amount arbitrage assume basis points beta bond futures borrow buyer Calculate call option caplet cash flows Chapter costs counterparty coupon credit risk currency swap dealer default delta delta hedge derivatives Determine discount dividends dollars effective equity swap Eurodollar euros example exchange rate exercise price exercise rate Exhibit fixed payment fixed rate fixed-rate floating payments floating rate floorlet fo(T forward contract forward price futures contract futures markets futures price hedge holder instruments interest payments interest rate swap invested investor LIBOR long position marked to market market value maximum loss maximum profit million notional principal offset option expires option price payoff percent premium present value price at expiration put option put-call parity risk management risk-free rate sell seller short position spot price stock index futures stock price strategy swaption synthetic T-bill trading transaction underlying asset underlying price value at expiration volatility X₁ zero