Derivatives

Derivatives
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The essential reference for governmental GAAP application Wiley GAAP for Governments 2017 provides the latest information on GAAP, with coverage designed specifically for government entities. With a focus on the practical rather than the academic, this book provides insightful, up to date implementation information and explanations of the important developments in governmental GAAP that have occurred in the past year. Exclusive coverage includes school districts, public authorities, and individual pension plans financial statements, with a disclosure checklist that helps preparers ensure compliance. Visual aids help facilitate the reader's understanding of the material, providing a comprehensive guide to financial reporting for governments at the state and local level. This reliable guide is an industry favourite for its accessibility, completeness, and relevance, helping readers achieve and maintain compliance with minimal burden. Governmental accounting standards are continuously being released, growing in complexity with each iteration. Wiley GAAP for Governments is updated annually to provide the most up-to-date information available, with thorough explanations and expert implementation advice. Get up to speed on the newest accounting pronouncements Understand how GAAP applies to government bodies and pension plans Refer to disclosure checklists designed specifically for government entities Study flowcharts, diagrams, and charts to gain a deeper understanding This user-friendly guide is organized for easy navigation, and designed to help preparers quickly find, understand, and apply the information they need. Expert guidance through the increasing complexity of preparation and implementation of relevant changes is what makes Wiley GAAP for Governments 2017 the reference financial professionals keep on their desks rather than on their bookshelves.

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Pirie Wendy L.. Derivatives

FOREWORD

PREFACE

THE CFA PROGRAM

CFA INSTITUTE

ACKNOWLEDGMENTS

ABOUT THE CFA INSTITUTE INVESTMENT SERIES

The Texts

CHAPTER 1. DERIVATIVE MARKETS AND INSTRUMENTS

LEARNING OUTCOMES

1. INTRODUCTION

2. DERIVATIVES: DEFINITIONS AND USES

3. THE STRUCTURE OF DERIVATIVE MARKETS

3.1. Exchange-Traded Derivatives Markets

3.2. Over-the-Counter Derivatives Markets

4. TYPES OF DERIVATIVES

4.1. Forward Commitments

4.2. Contingent Claims

4.3. Hybrids

4.4. Derivatives Underlyings

5. THE PURPOSES AND BENEFITS OF DERIVATIVES

5.1. Risk Allocation, Transfer, and Management

5.2. Information Discovery

5.3. Operational Advantages

5.4. Market Efficiency

6. CRITICISMS AND MISUSES OF DERIVATIVES

6.1. Speculation and Gambling

6.2. Destabilization and Systemic Risk

7. ELEMENTARY PRINCIPLES OF DERIVATIVE PRICING

7.1. Storage

7.2. Arbitrage

8. SUMMARY

PROBLEMS

CHAPTER 2. BASICS OF DERIVATIVE PRICING AND VALUATION

LEARNING OUTCOMES

1. INTRODUCTION

2. FUNDAMENTAL CONCEPTS OF DERIVATIVE PRICING

2.1. Basic Derivative Concepts

2.2. Pricing the Underlying

2.3. The Principle of Arbitrage

2.4. The Concept of Pricing versus Valuation

3. PRICING AND VALUATION OF FORWARD COMMITMENTS

3.1. Pricing and Valuation of Forward Contracts

3.2. Pricing and Valuation of Futures Contracts

3.3. Pricing and Valuation of Swap Contracts

4. PRICING AND VALUATION OF OPTIONS

4.1. European Option Pricing

4.2. Binomial Valuation of Options

4.3. American Option Pricing

5. SUMMARY

PROBLEMS

CHAPTER 3. PRICING AND VALUATION OF FORWARD COMMITMENTS

LEARNING OUTCOMES

1. INTRODUCTION

2. PRINCIPLES OF ARBITRAGE-FREE PRICING AND VALUATION OF FORWARD COMMITMENTS

3. PRICING AND VALUING FORWARD AND FUTURES CONTRACTS

3.1. Our Notation

3.2. No-Arbitrage Forward Contracts

3.3. Equity Forward and Futures Contracts

3.4. Interest Rate Forward and Futures Contracts

3.5. Fixed-Income Forward and Futures Contracts

3.6. Currency Forward and Futures Contracts

3.7. Comparing Forward and Futures Contracts

4. PRICING AND VALUING SWAP CONTRACTS

4.1. Interest Rate Swap Contracts

4.2. Currency Swap Contracts

4.3. Equity Swap Contracts

5. SUMMARY

PROBLEMS

CHAPTER 4. Valuation of Contingent Claims

LEARNING OUTCOMES

1. INTRODUCTION

2. PRINCIPLES OF A NO-ARBITRAGE APPROACH TO VALUATION

3. BINOMIAL OPTION VALUATION MODEL

3.1. One-Period Binomial Model

3.2. Two-Period Binomial Model

3.3. Interest Rate Options

3.4. Multiperiod Model

4. BLACK–SCHOLES–MERTON OPTION VALUATION MODEL

4.1. Introductory Material

4.2. Assumptions of the BSM Model

4.3. BSM Model

5. BLACK OPTION VALUATION MODEL

5.1. European Options on Futures

5.2. Interest Rate Options

5.3. Swaptions

6. OPTION GREEKS AND IMPLIED VOLATILITY

6.1. Delta

6.2. Gamma

6.3. Theta

6.4. Vega

6.5. Rho

6.6. Implied Volatility

7. SUMMARY

PROBLEMS

CHAPTER 5. DERIVATIVES STRATEGIES

LEARNING OUTCOMES

1. INTRODUCTION

2. CHANGING RISK EXPOSURES WITH SWAPS, FUTURES, AND FORWARDS

2.1. Interest Rate Swap/Futures Examples

2.2. Currency Swap/Futures Examples

2.3. Equity Swap/Futures Examples

3. POSITION EQUIVALENCIES

3.1. Synthetic Long Asset

3.2. Synthetic Short Asset

3.3. Synthetic Assets with Futures/Forwards

3.4. Synthetic Put

3.5. Synthetic Call

3.6. Foreign Currency Options

4. COVERED CALLS AND PROTECTIVE PUTS

4.1. Investment Objectives of Covered Calls

4.2. Investment Objective of Protective Puts

4.3. Equivalence to Long Asset/Short Forward Position

4.4. Writing Cash-Secured Puts

4.5. The Risk of Covered Calls and Protective Puts

4.6. Collars

5. SPREADS AND COMBINATIONS

5.1. Bull Spreads and Bear Spreads

5.2. Calendar Spread

5.3. Straddle

5.4. Consequences of Exercise

6. INVESTMENT OBJECTIVES AND STRATEGY SELECTION

6.1. The Necessity of Setting an Objective

6.2. Spectrum of Market Risk

6.3. Analytics of the Breakeven Price

6.4. Applications

7. SUMMARY

PROBLEMS

CHAPTER 6. RISK MANAGEMENT

LEARNING OUTCOMES

1. INTRODUCTION

2. RISK MANAGEMENT AS A PROCESS

3. RISK GOVERNANCE

4. IDENTIFYING RISKS

4.1. Market Risk

4.2. Credit Risk

4.3. Liquidity Risk

4.4 Operational Risk

4.5. Model Risk

4.6. Settlement (Herstatt) Risk

4.7. Regulatory Risk

4.8. Legal/Contract Risk

4.9. Tax Risk

4.10. Accounting Risk

4.11. Sovereign and Political Risks

4.12. Other Risks

5. MEASURING RISK

5.1. Measuring Market Risk

5.2. Value at Risk

5.3. The Advantages and Limitations of VaR

5.4. Extensions and Supplements to VaR

5.5. Stress Testing

5.6. Measuring Credit Risk

5.7. Liquidity Risk

5.8. Measuring Nonfinancial Risks

6. MANAGING RISK

6.1. Managing Market Risk

6.2. Managing Credit Risk

6.3. Performance Evaluation

6.4. Capital Allocation

6.5. Psychological and Behavioral Considerations

7. SUMMARY

PROBLEMS

REFERENCES

CHAPTER 7. Risk Management Applications of Forward and Futures Strategies

LEARNING OUTCOMES

1. INTRODUCTION

2. STRATEGIES AND APPLICATIONS FOR MANAGING INTEREST RATE RISK

2.1. Managing the Interest Rate Risk of a Loan Using an FRA

2.2. Strategies and Applications for Managing Bond Portfolio Risk

3. STRATEGIES AND APPLICATIONS FOR MANAGING EQUITY MARKET RISK

3.1. Measuring and Managing the Risk of Equities

3.2. Managing the Risk of an Equity Portfolio

3.3. Creating Equity out of Cash

3.4. Creating Cash out of Equity

4. ASSET ALLOCATION WITH FUTURES

4.1. Adjusting the Allocation among Asset Classes

4.2. Pre-Investing in an Asset Class

5. STRATEGIES AND APPLICATIONS FOR MANAGING FOREIGN CURRENCY RISK

5.1. Managing the Risk of a Foreign Currency Receipt

5.2. Managing the Risk of a Foreign Currency Payment

5.3. Managing the Risk of a Foreign-Market Asset Portfolio

6. FUTURES OR FORWARDS?

7. FINAL COMMENTS

8. SUMMARY

PROBLEMS

CHAPTER 8. RISK MANAGEMENT APPLICATIONS OF OPTION STRATEGIES

LEARNING OUTCOMES

1. INTRODUCTION

2. OPTION STRATEGIES FOR EQUITY PORTFOLIOS

2.1. Standard Long and Short Positions

2.2. Risk Management Strategies with Options and the Underlying

2.3. Money Spreads

2.4. Combinations of Calls and Puts

3. INTEREST RATE OPTION STRATEGIES

3.1. Using Interest Rate Calls with Borrowing

3.2. Using Interest Rate Puts with Lending

3.3. Using an Interest Rate Cap with a Floating-Rate Loan

3.4. Using an Interest Rate Floor with a Floating-Rate Loan

3.5. Using an Interest Rate Collar with a Floating-Rate Loan

4. OPTION PORTFOLIO RISK MANAGEMENT STRATEGIES

4.1. Delta Hedging an Option over Time

4.2. Gamma and the Risk of Delta

4.3. Vega and Volatility Risk

5. FINAL COMMENTS

6. SUMMARY

PROBLEMS

CHAPTER 9. RISK MANAGEMENT APPLICATIONS OF SWAP STRATEGIES

LEARNING OUTCOMES

1. INTRODUCTION

2. STRATEGIES AND APPLICATIONS FOR MANAGING NTEREST RATE RISK

2.1. Using Interest Rate Swaps to Convert a Floating-Rate Loan to a Fixed-Rate Loan (and Vice Versa)

2.2. Using Swaps to Adjust the Duration of a Fixed-Income Portfolio

2.3. Using Swaps to Create and Manage the Risk of Structured Notes

3. STRATEGIES AND APPLICATIONS FOR MANAGING EXCHANGE RATE RISK

3.1. Converting a Loan in One Currency into a Loan in Another Currency

3.2. Converting Foreign Cash Receipts into Domestic Currency

3.3. Using Currency Swaps to Create and Manage the Risk of a Dual-Currency Bond

4. STRATEGIES AND APPLICATIONS FOR MANAGING EQUITY MARKET RISK

4.1. Diversifying a Concentrated Portfolio

4.2. Achieving International Diversification

4.3. Changing an Asset Allocation between Stocks and Bonds

4.4. Reducing Insider Exposure

5. STRATEGIES AND APPLICATIONS USING SWAPTIONS

5.1. Using an Interest Rate Swaption in Anticipation of a Future Borrowing

5.2. Using an Interest Rate Swaption to Terminate a Swap

5.3. Synthetically Removing (Adding) a Call Feature in Callable (Noncallable) Debt

5.4. A Note on Forward Swaps

6. CONCLUSIONS

7. SUMMARY

PROBLEMS

GLOSSARY

About the Editors and Authors

WILEY END USER LICENSE AGREEMENT

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Since the breakthrough introduction of the Black–Scholes–Merton options pricing model in 1973, the field of financial derivatives has evolved into an extensive and highly scientific body of theoretical knowledge alongside a vast and vibrant market where economic producers, investors, finance professionals, and government regulators all interact to seek financial gains, manage risk, or promote price discovery. It is hard to imagine how even the most thoughtful and diligent practitioners can come to terms with such a broad and complex topic – until they read this book.

CFA Institute has compiled into a single book those parts of its curriculum that address this critically important topic. And it is apparent from reading this book that CFA Institute attracted preeminent scholars to develop its derivatives curriculum.

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The fixed price at which the underlying asset can be purchased is called the exercise price (also called the “strike price,” the “strike,” or the “striking price”). This price is somewhat analogous to the forward price because it represents the price at which the underlying will be purchased or sold if the option is exercised. The forward price, however, is set in the pricing of the contract such that the contract value at the start is zero. The strike price of the option is chosen by the participants. The actual price or value of the option is an altogether different concept.

As noted, the buyer pays the writer a sum of money called the option premium, or just the “premium.” It represents a fair price of the option, and in a well-functioning market, it would be the value of the option. Consistent with everything we know about finance, it is the present value of the cash flows that are expected to be received by the holder of the option during the life of the option. At this point, we will not get into how this price is determined, but you will learn that later. For now, there are some fundamental concepts you need to understand, which form a basis for understanding how options are priced and why anyone would use an option.

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