Hands-on practice with derivatives and derivative markets based on real-world scenarios
Derivatives Workbook provides the key component of effective learning - practice. Designed for both students and investment professionals, this companion workbook conveniently aligns with the Derivatives text chapter-by-chapter, offers brief chapter summaries to refresh your memory on key points before you begin working, and explicitly lays out the learning objectives so you understand the “why” of each problem. This workbook helps you:
- Synthesize essential material from the Derivatives text using real-world applications
- Understand the different types of derivatives and their characteristics
- Delve into the various markets and their associated contracts
- Examine the role of derivatives in portfolio management
- Learn why derivatives are increasingly fundamental to risk management
CFA Institute is the world's premier association for investment professionals, and the governing body for CFA® Program, CIPM® Program, CFA Institute ESG Investing Certificate, and Investment Foundations® Program. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA Institute brings to the discussion as well as the extra practice delivered in Derivatives Workbook based on real scenarios investors face every day.
Table of 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 Derivative Pricing and Valuation 11
Learning Outcomes 11
Summary Overview 12
Problems 13
Chapter 3 Pricing and Valuation of Forward Commitments 19
Learning Outcomes 19
Summary Overview 19
Problems 22
Chapter 4 Valuation of Contingent Claims 31
Learning Outcomes 31
Summary Overview 32
Problems 34
Chapter 5 Credit Default Swaps 41
Learning Outcomes 41
Summary Overview 41
Problems 42
Chapter 6 Introduction to Commodities and Commodity Derivatives 47
Learning Outcomes 47
Summary Overview 47
Problems 49
Chapter 7 Currency Management: An Introduction 55
Learning Outcomes 55
Summary Overview 55
Problems 58
Chapter 8 Options Strategies 69
Learning Outcomes 69
Summary Overview 70
Problems 71
Chapter 9 Swaps, Forwards, and Futures Strategies 79
Learning Outcomes 79
Summary Overview 79
Problems 80
Chapter 10 Introduction to Risk Management 89
Learning Outcomes 89
Summary Overview 89
Problems 91
Chapter 11 Measuring and Managing Market Risk 93
Learning Outcomes 93
Summary Overview 94
Problems 96
Chapter 12 Risk Management for Individuals 105
Learning Outcomes 105
Summary Overview 106
Problems 107
Chapter 13 Case Study in Risk Management: Private Wealth 115
Learning Outcomes 115
Summary Overview 115
Problems 116
Chapter 14 Integrated Cases in Risk Management: Institutional 119
Learning Outcomes 119
PART II SOLUTIONS
Chapter 1 Derivative Markets and Instruments 123
Solutions 123
Chapter 2 Basics of Derivative Pricing and Valuation 133
Solutions 133
Chapter 3 Pricing and Valuation of Forward Commitments 139
Solutions 139
Chapter 4 Valuation of Contingent Claims 149
Solutions 149
Chapter 5 Credit Default Swaps 153
Solutions 153
Chapter 6 Introduction to Commodities and Commodity Derivatives 157
Solutions 157
Chapter 7 Currency Management: An Introduction 161
Solutions 161
Chapter 8 Options Strategies 175
Solutions 175
Chapter 9 Swaps, Forwards, and Futures Strategies 181
Solutions 181
Chapter 10 Introduction to Risk Management 189
Solutions 189
Chapter 11 Measuring and Managing Market Risk 191
Solutions 191
Chapter 12 Risk Management for Individuals 197
Solutions 197
Chapter 13 Case Study in Risk Management: Private Wealth 203
Solutions 203
