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1、ILPIPMembersCourseManualCourseManualCourseManualDerivativeDerivativeDerivativeValuationandAnalysisValuationandAnalysisValuationandAnalysisCopyright©200Copyright©2008Copyright©200888,,,,AZEKAZEKAZEK/ILPIPAZEK/ILPIP/ILPIP,Geneva/ILPIP,Geneva,Geneva(,Geneva(((Switzerland)Switzerland)Switzerland)
2、Switzerland)DERIVATIVEVALUATIONANDANALYSISCOURSEMANUALCopyright©2008,AZEK/ILPIPDERIVATIVEVALUATIONANDANALYSISCopyrightÓ2008,AZEK/ILPIPAllrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,electronic,mechanical,photocopying,record
3、ing,orotherwise,withoutthepriorwrittenpermissionofAZEK/ILPIP.1.)FinancialMarketsandInstruments2.)FuturesValuationandAnalysis3.)OptionValuationandAnalysis4.)Asset-BackedSecurities5.)Appendix6.)Exercises:Questions7.)Exercises:SolutionsIntroductionA.GoalofthemoduleThegoalofthismoduleistopresentt
4、hebasictechniquesforderivativeanalysis,derivativepricingandderivativeriskmanagement.Aderivativeisasecuritywhosevaluedependsonthevalueofother(generallymorebasic)underlyingvariables.Wehavealreadystudiedaderivativesecurity:asbondpricesdependoninterestrates,wecouldhaveconsideredinterestratesasthe
5、underlyingvariableandthebondasaderivativesecurity.Thisshowsthatderivativesecuritycanbecontingentonalmostanyvariable.Inthismodulewewillfocusmainlyonfuturesandoptions.Wewillexploretheirpropertiesandprovideatheoreticalframeworkfortheirvaluation.Theuseofderivativesinportfoliomanagementwillbedevel
6、oped,butitwillbeconsideredmoredeeplyinthemoduledealingwithportfoliomanagement.B.StructureThismoduleisdividedinfourchapters:·Chapter1overviewsthebasicconceptsoffuturesandoptionmarketspresentingthecharacteristicsandthemechanicsoftradingofthesecontractsforthemostimportantunderlyingslikestocks,in
7、dices,interestrates,currenciesandcommodities.Asectionpresentssomemarketsrelatedtooptionsandfutures,thatareswaps,caps,floorsandcollars.·Chapter2describespreciselythemannerofvaluingfuturescontractsondifferentunderlyingsusingthecost-of-carrymode
