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首页 Analysis Of Derivatives-Chance.pdf

Analysis Of Derivatives-Chance.pdf

Analysis Of Derivatives-Chance.…

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Analysis Of Derivatives-Chancepdf》,可适用于经济金融领域,主题内容包含FORTHEDonMChance,PhD,CFAAsnovialionforlnvrslmmtManagemenandHcsrarch'DonMCh符等。

FORTHEDonMChance,PhD,CFAAsnovialionforlnvrslmmtManagemenandHcsrarch'DonMChance,PhD,CFALouisianaStateUniversityToobtaintheAIMRProductCatalog,contact:AIMR,POBox,Charlottesville,Virginia,USAPhone()orFax()EmailInfoaimrorgorvisitAIMR'sWorldWideWebsiteatwwwairnrorgtoviewtheAIMRpublicationslistCFA,CharteredFinancial~nalyst,AIMR,andtheAIMRLogoarejustafewofthetrademarksownedbytheAssociationforInvestmentManagementand~esearch~ToviewalistoftheAssociationforInvestmentManagementandResearch'strademarksandtheGuideforUseofAIMR'sMarks,pleasevisitourWebsiteatwwwaimrorgbyAssociationforInvestmentManagementandResearchAllrightsreservedNopartofthispublicationmaybereproducedortransmittedinanyformorbyanymeans,electronicormechanical,includingphotocopy,recording,oranyinformationstorageandretrievalsystem,withoutpermissionofthecopyrightholderRequestsforpermissiontomakecopiesofanypartoftheworkshouldbemailedto:AIMR,PermissionsDepartment,POBox,Charlottesville,VA,USAThispublicationisdesignedtoprovideaccurateandauthoritativeinformationinregardtothesubjectmattercoveredItissoldwiththeunderstandingthatthepublisherisnotengagedinrenderinglegal,accounting,orotherprofessionalserviceIflegaladviceorotherexpertassistanceisrequired,theservicesofacompetentprofessionalshouldbesoughtISBNCoverdesignbyLisaSmithPrintedintheUnitedStatesofAmericabyUnitedBookPress,Inc,Baltimore,MDAugustiiAAnalysisofDerivativesforthe~FAProgramrepresentsthefourthstepinanongoingeffortbytheAssociationforInvestmentManagementand~esearch(AIMR)toproduceasetofcoordinated,comprehensive,andpractitionerorientedtextbookreadingsspecificallydesignedforthethreelevelsoftheCharteredFinancial~nal~stProgramThefirststepwastheJunepublicationoftwovolumesonfixedincomeanalysisandportfoliomanagement:FixedIncomeAnalysisfortheCharteredFinancialAnalystProgramandFixedIncomeReadingsfortheCharteredFinancialAnalystProgramThesecondstepwastheAugustpublicationofQuantitativeMethodsforInvestmentAnalysisThethirdstepwastheAugustpublicationofAnalysisofEquityInvestments:ValuationGiventhefavorablereceptionofthesebooksandtheexpectedfavorablereceptionofthecurrentbook,similartextbooksinothertopicareasareplannedforthefutureThisbookusesablendoftheoryandpracticetodeliverthederivativesanalysisportionoftheCFACandidateBodyofKnowledge(CBOKTM)curriculumTheCBOKistheresultofanextensivejobanalysisconductedperiodically,mostrecentlyduringRegionaljobanalysispanelsofCFApractitionersconvenedincitiesaroundtheworld:Boston,Chicago,HongKong,London,LosAngeles,NewYork,Toronto,Seattle,Tokyo,andZurichTheseandotherpractitionerpanelsspecifiedtheGlobalBodyofKnowledgewhattheinvestmentexpertneedstoknowFromthis,theyderivedtheCBOKtoencompasswhattheinvestmentgeneralistneedstoknowtobeeffectiveonthejobAnalysisofDerivativesfortheCFAProgramisabookreflectingtheworkoftheseexpertpanelsThereadercanthusbeassuredthatthebookcapturescurrentpracticeandreflectswhatthegeneralinvestmentpractitionerneedstoknowaboutderivativesInproducingthisbook,AIMRdrewoninputfromnumerousCFAcharterholderreviewers,derivativesconsultants,andAIMRprofessionalstaffmembersThechaptersweredesignedtoincludedetailedlearningoutcomestatementsattheoutset,illustrativeinchapterproblemswithsolutions,andextensiveendofchapterquestionsandproblemswithcompletesolutions,allpreparedwithCFAcandidatedistancelearninginmindInaddition,theexamplesandproblemsreflecttheglobalinvestmentcommunityStartingfromaUSbasedprogramofapproximately,examineeseachyearduringthesands,theCFAProgramhasevolvedintoapervasiveglobalcertificationprogramthatcurrentlyinvolvesmorethan,candidatesannuallyfrommorethancountriesThroughcurriculumimprovementssuchasthisbook,theCFAProgramshouldcontinuetoappealtonewcandidatesaroundtheglobeinfutureyearsThetreatmentinthisvolumeisintendedtocommunicateapracticalriskmanagementapproachtoderivativesfortheinvestmentgeneralistAdvancedconceptsareincludedifneededbythegeneralist,butspecialisttopicsareintentionallyexcludedThebookprovidesabaseforfurtherspecialistworkifdesiredUnlikemanyalternativeworks,thebookdoesnotsimplydeliveranexplanationofvariousderivativesinstrumentsandpositionsbutprovidesmotivationforeveryderivativespositionbyexplainingwhatthemanagerwantstoaccomplishpriortoaddressingthedetailsofthepositionIbelieveCFAcandidateswillfindthistextsuperiortootherderivativestextsforuseinadistanceivPrefacelearningframeworkThetextpresentsdifficultconceptsefficientlyandwithaminimumofmathematicalnotationThepresentationisacademicallyrigorousyetbasedonpracticeandintuitionFinally,inkeepingwiththetraditionoftheCFAProgram,thetextproceedsfromtoolstoanalysistosynthesis,withthelastfourchaptersfocusingonriskmanagementAlthoughdesignedwiththeCFAcandidateinmind,thebookshouldhavebroadappealinthepractitionerandothermarketplacesAIMRVicePresidentDennisMcLeavey,CFA,spearheadedtheefforttodevelopthisbookandtheotherCFAProgrambookprojectsHavingsomeoneinvolvedintheeditorialroleofalltheprojectsresultsinmoreconsistentpedagogyandmoreevencoverageacrossthesevariousworksthanwouldbepossibleotherwiseAlloftheauthorswhohaveworkedwithDennisremarkonhisthoroughness,attentiontodetail,andcommitmenttotheprojectsDennishasalonganddistinguishedhistoryofinvolvementwiththeCFAProgramBeforejoiningAIMRfulltime,heservedonvariousAIMRcommitteesOnmanylevels,DonChance,CFA,wastheperfectindividualtoauthorthisworkFirst,DonisaCFAcharterholderandiscommittedtothemissionoftheCFAProgramSecond,heisoneoftheleadingderivativesexpertsintheworldandisoftenquotedonderivativestopicsinthemediaThird,andextremelyvaluableforthisproject,DonhasmanyyearsofexperienceinpreparingcandidatesfortheCFAexaminationsandhasfirsthandinsightintotheuniqueproblemsencounteredbycandidatesinadistancelearningenvironmentFourth,andmostimportant,heisanexperiencedauthor,havingwrittennumerousjournalarticlesandtextbooksThestrongsupportoftwogroupsshouldbeacknowledgedPeterMackey,CFA,ChairoftheCandidateCurriculumCommittee,andtheothermembersoftheExecutiveAdvisoryBoardoftheCandidateCurriculumCommittee(AlanMeder,CFA,JamesBronson,CFA,andMattScanlan,CFA)identifiedtheareaofderivativesasoneworthyofpriorityattentionFinally,withouttheencouragementandsupportofAIMRCEOTomBowmanandtheAIMRBoardofGovernors,thisproject,intendedtomateriallyenhancetheCFAProgram,wouldnothavebeenpossibleRobertRJohnson,PhD,CFASeniorVicePresidentAssociationforInvestmentManagementandResearchJulyWhenDennisMcLeaveyandBobJohnsonapproachedmeaboutwritingaderivativesbookforuseintheCFABProgram,IwashonoredandexcitedHavingbeeninvolvedintheCFAProgramforaboutyears,Iwouldnow'havethechancetobedirectlyinvolvedindeterminingwhatCFAcharterholdersshouldknowaboutderivativesandhowtheyshouldgoaboutlearningthematerialBeingtheriskmanagementtype,however,myfirstinclinationistoseethedownside,soIapproachedtheprojectwithsometrepidationHavingwrittenotherbooksandnumerous(sometimes)highlytechnicalarticlesonderivatives,IwonderedifanintroductorylevelbookonderivativesgearednottowardthederivativesspecialistbuttowardfinancialanalystsprimarilythosestudyingfortheCFAexaminationwouldbewellreceivedbyfellowderivativesspecialistsVisionsofbookreviewsbyderivativesprofessionalsassertingthatthebookistoobasicandwouldnotservetheneedsofatraderorquantworriedmeButtheirobservationswouldbecorrectTheCFAexaminationisdesignedtotrainfinancialanalysts,nottradersorquantsWhatCFAcharterholdersneedtoknowaboutderivativesisnotthesameaswhatderivativesspecialistsneedtoknowAndwhenthesegroupsdoneedtoknowthesamematerial,theapproachtolearningitisnecessarilydifferentAlso,CFAcharterholderscomefromdifferentbackgrounds,havedifferenttechnicalskills,andthinkdifferentlyaboutfinancialproblemsthandotradersandquantsAdifferentapproachisthereforeneededThisbookispartofaformalintegratedpackageofmaterialsthatpreparestheCFAcandidatefortheexaminationThisconsiderationisthedrivingforcebehindhowthematerialispresentedDerivativesisonlyonepartofthecurriculum,butanimportantpartMyexperiencewithCFAcandidatesovertheyearstellsmethatthisisanareatheyfind'amongthemostchallenginghurdlesinpassingtheexaminationAccordingly,wehavegonetogreatlengthstoelevatethequalityandpedagogicalfeaturesofthisbookAsanyCFAcandidateknows,theLearningOutcomeStatements(LOSS)identifyinaconcisemannertheconceptsthatthecandidatemustlearnEachLOSisthencoveredwithinthechapterThechapterendswithasetofitemscalled"KeyPoints"ThereisaonetoonecorrespondencebetweeneachLOSandeachKeyPointAlthoughthecandidateshouldnotrelyexclusivelyontheKeyPoints,theyshouldbeveryusefulasaconcisereviewoftheimportantconceptsWhenitcomestolearningderivatives,thereisnosubstituteforworkingproblemsAccordingly,thematerialisliberallysupportedwithnumericalexamplesEachconceptisillustratednotonlywithanumericalexamplebutalsobyasubsequentdetailedpracticeproblemAttheendofthechapterareapproximatelymorestudyproblemswithcompletesolutionsItwouldbevirtuallyimpossibleforthecandidatetosay"Ineedmoreproblemstowork"Theorganizationalstructureofthebookisalsoconducivetofindingone'swayaroundeasilyEachsectionofthebookisnumberedForexample,considerthematerialinChapteronfuturesmarketsSectioniscalledTypesofFuturesContractsWithinviForewardSectionaresubsectionscalled:ShortTermInterestRateFuturesContracts,:IntermediateandLongTermInterestRateFuturesContracts,:StockIndexFuturesContracts,and:CurrencyFuturesContractsNumberingsectionsprovidesadefinitivelinkageamongsubtopicsandbetweensubtopicsandthemastertopicThebookcontainsboldedterms,whicharedefinedinaglossaryattheendofthebookKeyequationsarenumbered,andalistoftheseequationsalsoappearsattheendofthebookAlthoughtheauthorgetsmostofthecredit,manypeopleparticipatedinthisproject:RichardApplebach,CFACarlBang,CFAPierreBouvier,CFARobertEmst,CFADarleneHalwas,CFAWalterHaslett,CFAStanleyJacobs,CFASandraKrueger,CFARobertLamy,CFAErinLorenzen,CFABarbaraMacLeod,CFAJohnPiccione,CFAJeraldPinto,CFACraigRuff,CFAandDavidSmith,CFA,providedreviewsoftheindividualchaptersMurliRajan,CFA,andSanjivSabherwalcreatedtheendofchapterproblemsandsolutions,andbothLouisJames,CFA,andGregNoronha,CFAperformeddetailedproofreadingAspecialnoteofthanksgoestoFionaRussellandJerryPintoFionadidthecopyeditingThishasbeenthefirsttimeIhaveeverhadacopyeditorwhounderstoodthesubject,anditwasarefreshingexperienceJerryPintowentoverthebookwithafinetoothedcomb,catchingitemsthatwouldhaverequiredamicroscopeformostpeopleIcannotimaginethequalityofthebookcomingclosetoourobjectiveswithouttheirinputDennisMcLeaveyofAIMRservedasthesenioreditorandworkedcloselyenoughwithmetodeservehisnameonthebook,buthemodestlyletmetakeallofthecreditDennisreadeverywordmanytimesandshapedthebookintotheCFAframework,makingsurethattheconceptsdiscussedinthisbookwereconsistentwithtreatmentselsewhereinthecurriculumIfIlistedeverythingWandaLauzieredidonthisbook,IwouldquicklyrunoutofspaceLet'sjustsayshedideverythingelsenotcoveredintheaboveparagraphsIfyoueverwriteabook,youwillknowtheenormousamountofworkthatmustgetdonebutisneverobvioustothereaderWandagotthingsdoneandkeptusallonschedule,whileinjectingenoughhumortoremindmethatwecouldalldothisprojectandhavefunatthesametimeIjokinglytellWandathatshecouldnowprobablypassthederivativespartoftheexamBecauseIamnowaffiliatedwithLouisianaStateUniversity,thenameofmyformeremployer,VirginiaPolytechnicInstitute,doesnotappearformallyinconnectionwiththisbookTheentirebookwaswrittenduringmytimeatVirginiaTech,soIwanttoespeciallythankthePamplinCollegeofBusinessofVirginiaTechforitssupportandencouragementofmyeffortstolearnmoreandteachmoreaboutderivativesFinally,IwouldliketothankmyfamilyMywife,Jan,andmydaughtersKimandAshleyhavealwaysbeentherewithgreatloveandhumorWhiletheycannotimagineIcouldpossiblyknowenoughaboutasubjecttowritethismuch,theyknowIenjoytryingtoconvincepeoplethatIdoDonMChanceJulyDonMChance,CFA,holdstheWilliamHWright,JrEndowedChairforFinancialServicesatLouisianaStateUniversityHeearnedhisCFAcharterinHehasextensiveexperienceasaconsultantandiswidelyquotedinthelocal,regional,andnationalmediaonmattersrelatedtoderivatives,riskmanagement,andfinancialmarketsingeneralDrChancehasservedasaninstructorinprofessionaltrainingprogramsHeisaconsultantandadvisortoAIMRinmanycapacities,includingauthorshipofmonographsonmanagedfuturesandrealoptions,andhehasspokenatmanyconferencesofAIMRandotherorganizationsHeistheauthoroftheuniversitytextAnIntroductiontoDerivativesandRiskManagement,thedition(forthcoming),EssaysinDerivatives(),andmanyacademicandpractitionerarticlesDrChancewasformerlyFirstUnionProfessorofFinancialRiskManagementatVirginiaPolytechnicInstitute,wherehefoundeditsstudentmanagedinvestmentfundHeholdsaPhDinfinancefromLouisianaStateUniversityPrefaceForewordAbouttheAuthorviiCHAPTERDERIVATIVEMARKETSANDINSTRUMENTSINTRODUCTIONTYPESOFDERIVATIVESForwardCommitmentsContingentClaimsDERIVATIVEMARKETS:PASTANDPRESENTHOWBIGISTHEDERIVATIVESMARKETTHEPURPOSESOFDERIVATIVEMARKETSCRITICISMSOFDERIVATIVEMARKETSELEMENTARYPRINCIPLESOFDERIVATIVEPRICINGKEYPOINTSPROBLEMSSOLUTIONSCHAPTERFORWARDMARKETSANDCONTRACTSINTRODUCTIONDeliveryandSettlementofaForwardContractDefaultRiskandForwardContractsTerminationofaForwardContractTHESTRUCTUREOFGLOBALFORWARDMARKETSTYPESOFFORWARDCONTRACTSEquityForwardsBondandInterestRateForwardContractsCurrencyForwardContractsOtherTypesofForwardContractsPRICINGANDVALUATIONOFFORWARDCONTRACTSGenericPricingandValuationofaForwardContractPricingandValuationofEquityForwardContractsPricingandValuationofFixedIncomeandInterestRateForwardContractsPricingandValuationofCurrencyForwardContractsCREDITRISKANDFORWARDCONTRACTSTHEROLEOFFORWARDMARKETSKEYPOINTSPROBLEMSSOLUTIONSINTRODUCTIONxContentsCHAPTERABriefHistoryofFuturesMarketsPublicStandardizedTransactionsHomogenizationandLiquidityTheClearinghouse,DailySettlement,andPerformanceGuaranteeRegulationFUTURESTRADINGTHECLEARINGHOUSE,MARGINS,ANDPRICELIMITSDELIVERYANDCASHSETTLEMENTFUTURESEXCHANGESTYPESOFFUTURESCONTRACTSShortTermlnterestRateFuturesContractsIntermediateandLongTermlnterestRateFuturesContractsStocklndexFuturesContractsCurrencyFuturesContractsPRICINGANDVALUATIONOFFUTURESCONTRACTSGenericPricingandValuationofaFuturesContractPricinglnterestRateFuturesPricingStocklndexFuturesPricingCurrencyFuturesFuturesPricing:ARecapTHEROLEOFFUTURESMARKETSANDEXCHANGESKEYPOINTSPROBLEMSSOLUTIONSOPTIONMARKETSANDCONTRACTSINTRODUCTIONBASICDEFINITIONSANDILLUSTRATIONSOFOPTIONSCONTRACTSBasicCharacteristicsofOptionsSomeExamplesofOptionsTheConceptofMoneynessofanOptionTHESTRUCTUREOFGLOBALOPTIONSMARKETSOverthecounterOptionsMarketsExchangeListedOptionsMarketsTYPESOFOPTIONSFinancialOptionsOptionsonFuturesCommodityOptionsOtherTypesofOptionsPRINCIPLESOFOPTIONPRICINGPayoffValuesBoundaryConditionsTheEffectofaDifferenceinExercisePriceTheEffectofaDifferenceinTimetoExpirationPutCallParityAmericanOptions,LowerBounds,andEarlyExerciseTheEffectofCashFlowsontheUnderlyingAssetTheEffectoflnterestRatesandVolatilityOptionPriceSensitivitiesDISCRETETIMEOPTIONPRICING:THEBINOMIALMODELTheOnePeriodBinomialModelTheTwoPeriodBinomialModelBinomialPutOptionPricingBinomiallnterestRateOptionPricingContentsxiAmericanOptionsExtendingtheBinomialModelCONTINUOUSTIMEOPTIONPRICING:THEBLACKSCHOLESMERTONMODELAssumptionsoftheModelTheBlackScholesMertonFormulaInputstotheBlackScholesMertonModelTheEffectofCashFlowsontheUnderlyingTheCriticalRoleofVolatilityPRICINGOPTIONSONFORWARDANDFUTURESCONTRACTSANDANAPPLICATIONTOINTERESTRATEOPTIONPRICINGPutCallParityforOptionsonForwardsEarlyExerciseofAmericanOptionsonForwardandFuturesContractsTheBlackModelApplicationoftheBlackModeltolnterestRateOptionsTHEROLEOFOPTIONSMARKETSKEYPOINTSAPPENDIXAPROBLEMSSOLUTIONSCHAPTERSWAPMARKETSANDCONTRACTSINTRODUCTIONCharacteristicsofSwapContractsTerminationofaSwapTHESTRUCTUREOFGLOBALSWAPMARKETSTYPESOFSWAPSCurrencySwapslnterestRateSwapsEquitySwapsCommodityandOtherTypesofSwapsPRICINGANDVALUATIONOFSWAPSEquivalenceofSwapsandOtherInstrumentsPricingandValuationSomeConcludingCommentsonSwapValuationVARIATIONSOFSWAPSSWAPTIONSBasicCharacteristicsofSwaptionsUsesofSwaptionsSwaptionPayoffsPricingandValuationofSwaptionsForwardSwa

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