Derivatives Workbook

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• PART I Learning Objectives, Summary Overview, and ProblemsChapter 1 Derivative Markets and Instruments 3Learning Outcomes 3Summary Overview 3Problems 5Chapter 2 Basics of Derivative Pricing and Valuation 11Learning Outcomes 11Summary Overview 12Problems 13Chapter 3 Pricing and Valuation of Forward Commitments 19Learning Outcomes 19Summary Overview 19Problems 22Chapter 4 Valuation of Contingent Claims 31Learning Outcomes 31Summary Overview 32Problems 34Chapter 5 Credit Default Swaps 41Learning Outcomes 41Summary Overview 41Problems 42Chapter 6 Introduction to Commodities and Commodity Derivatives 47Learning Outcomes 47Summary Overview 47Problems 49Chapter 7 Currency Management: An Introduction 55Learning Outcomes 55Summary Overview 55Problems 58Chapter 8 Options Strategies 69Learning Outcomes 69Summary Overview 70Problems 71Chapter 9 Swaps, Forwards, and Futures Strategies 79Learning Outcomes 79Summary Overview 79Problems 80Chapter 10 Introduction to Risk Management 89Learning Outcomes 89Summary Overview 89Problems 91Chapter 11 Measuring and Managing Market Risk 93Learning Outcomes 93Summary Overview 94Problems 96Chapter 12 Risk Management for Individuals 105Learning Outcomes 105Summary Overview 106Problems 107Chapter 13 Case Study in Risk Management: Private Wealth 115Learning Outcomes 115Summary Overview 115Problems 116Chapter 14 Integrated Cases in Risk Management: Institutional 119Learning Outcomes 119PART II SOLUTIONSChapter 1 Derivative Markets and Instruments 123Solutions 123Chapter 2 Basics of Derivative Pricing and Valuation 133Solutions 133Chapter 3 Pricing and Valuation of Forward Commitments 139Solutions 139Chapter 4 Valuation of Contingent Claims 149Solutions 149Chapter 5 Credit Default Swaps 153Solutions 153Chapter 6 Introduction to Commodities and Commodity Derivatives 157Solutions 157Chapter 7 Currency Management: An Introduction 161Solutions 161Chapter 8 Options Strategies 175Solutions 175Chapter 9 Swaps, Forwards, and Futures Strategies 181Solutions 181Chapter 10 Introduction to Risk Management 189Solutions 189Chapter 11 Measuring and Managing Market Risk 191Solutions 191Chapter 12 Risk Management for Individuals 197Solutions 197Chapter 13 Case Study in Risk Management: Private Wealth 203Solutions 203