Derivatives Workbook

129 Pages·2017·4.61 MB·English

by  Wendy L. Pirie

Derivatives
Workbook
CFA Institute is the premier association for investment professionals around the world, with
over 142,000 members in 159 countries. since 1963 the organization has developed and ad-
ministered the renowned Chartered Financial analyst® Program. With a rich history of leading
the investment profession, CFa institute has set the highest standards in ethics, education, and
professional excellence within the global investment community, and is the foremost authority
on investment profession conduct and practice. each book in the CFa institute investment
series is geared toward industry practitioners along with graduate-level finance students and
covers the most important topics in the industry. The authors of these cutting-edge books are
themselves industry professionals and academics and bring their wealth of knowledge and
expertise to this series.
Derivatives
Workbook
Wendy L. Pirie, CFa
Cover image: © avDe/shutterstock
Cover design: Wiley
Copyright © 2017 by CFa institute. all rights reserved.
Published by John Wiley & sons, inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by
any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under
section 107 or 108 of the 1976 United states Copyright act, without either the prior written permission of
the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance
Center, inc., 222 rosewood Drive, Danvers, Ma 01923, [phone], fax [phone], or on the Web at
www.copyright.com. requests to the Publisher for permission should be addressed to the Permissions Department,
John Wiley & sons, inc., 111 river street, Hoboken, NJ 07030, [phone], fax [phone], or online at
http://www.wiley.com/go/permissions.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing
this book, they make no representations or warranties with respect to the accuracy or completeness of the contents
of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose.
No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies
contained herein may not be suitable for your situation. You should consult with a professional where appropriate.
Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including
but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services or for technical support, please contact our Customer
Care Department within the United states at [phone], outside the United states at [phone] or
fax [phone].
Wiley publishes in a variety of print and electronic formats and by print-on-demand. some material included with
standard print versions of this book may not be included in e-books or in print-on-demand. if this book refers to
media such as a CD or DvD that is not included in the version you purchased, you may download this material at
http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com.
isbN 9781119381839 (Paperback)
isbN 9781119381907 (ePDF)
isbN 9781119381785 (ePub)
Printed in the United states of america
10 9 8 7 6 5 4 3 2 1
Contents
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
v
vi Contents
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
Contents vii
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