Derivatives Workbook: CFA Institute Investment Series

CFA Institute is the global association of investment professionals that sets the standard for professional excellence and credentials. The organization is a champion for ethical behavior in investment markets and a respected source of knowledge in the global financial community. The end goal: to create an environment where investors' interests come first, markets function at their best, and economies grow. CFA Institute has more than 170,000 members in 160+ countries and territories, including 163,000 CFA(r); charterholders, and 150+ member societies. For more information, visit www.cfainstitute.org.

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