Description

Book Synopsis

Part 1: Derivatives Fundamentals for Asset Managers.- Chapter 1: Introduction.- Chapter 2: Equity Derivatives.- Chapter 3: Bond-Related Derivatives.- Chapter 4: Foreign Exchange Derivatives.- Chapter 5: Volatility Derivatives.- Chapter 6: Managing Volatility and Capturing Returns Through Derivatives.- Chapter 7: Using Derivatives to Rebalance A Multi-Asset Portfolio with Private Investments.- Chapter 8: Option Income Strategies Design.- Chapter 9: Liquidity Management with Stock-Index Futures.- Chapter 10: Performance Attribution Analysis for Derivatives.- Chapter 11: Extracting Market Views from Derivative Prices.- Part 2: Case Studies in  Managing Risk and Capital Protection.- Chapter 12: Risk Management with Stock Index Futures and Put Options.- Chapter 13: Using Options for Tail Risk Hedging.- Chapter 14: Bond Portfolio Hedging with U.S. Treasury Futures.- Chapter 15: Consumer Mortgage Portfolio Hedging with Interest Rate Swaps.- Chapter 16: Hedging Interest Rate Risk in Life Insurance Using Interest Rate Derivatives.- Chapter 17: Hedging Systematic Risk in High Yield with Equity Derivatives.- Chapter 18: Hedging the Mortgage Pipeline with To-Be-Announced (TBA) Securities.- Chapter 19: Application of FX Options in Portfolio Management.- Chapter 20: FX Forward Contracts for Portfolio Management Applications.- Part 3: Case Studies in Leverage and Exposure Management.- Chapter 21: Exploring the Mechanics and Applications of Equity Swaps in Investment Portfolios.- Chapter 22: Cash Equitization in Global Equity and Multi-Asset Portfolios.- Chapter 23: Quantifying Event Risk with Equity Options.- Chapter 24: Hedging Interest-Rate in High-Yield Bonds.- Chapter 25: The Role of Futures in Tactical Asset Allocation: Managing Market Exposure.- Chapter 26: Use of Derivatives in Overlays: Downside Protection and Upside Capture.- Chapter 27: Currency Hedging with a Derivatives Overlay.- Part 4: Case Studies in Income Enhancement Strategies.- Chapter 28: Managing Path Dependency and Balancing Yield in Option Income Strategies.- Chapter 29: Harvesting Volatility Risk Premium with Equity Index Options.- Chapter 30: Augmenting Covered Call Returns with Stock Index Options.- Chapter 31: Targeting Options-Based Income with Puts and Calls.- Chapter 32: Efficiently Replicating Corporate Bond Returns with CDS Indices.- Chapter 33: Using Credit Default Swaps to Enhance the Return-to-Risk Profile of Buy-and-Hold Bond Portfolios.

Derivatives Applications in Asset Management

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    A Hardback by Frank J Fabozzi

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      Publisher: Palgrave Macmillan
      Publication Date: Publication Date: 6/1/2025
      ISBN13: 9783031863530, 978-3031863530
      ISBN10: 3031863534
      Also in:
      Investment and securities

      Description

      Book Synopsis

      Part 1: Derivatives Fundamentals for Asset Managers.- Chapter 1: Introduction.- Chapter 2: Equity Derivatives.- Chapter 3: Bond-Related Derivatives.- Chapter 4: Foreign Exchange Derivatives.- Chapter 5: Volatility Derivatives.- Chapter 6: Managing Volatility and Capturing Returns Through Derivatives.- Chapter 7: Using Derivatives to Rebalance A Multi-Asset Portfolio with Private Investments.- Chapter 8: Option Income Strategies Design.- Chapter 9: Liquidity Management with Stock-Index Futures.- Chapter 10: Performance Attribution Analysis for Derivatives.- Chapter 11: Extracting Market Views from Derivative Prices.- Part 2: Case Studies in  Managing Risk and Capital Protection.- Chapter 12: Risk Management with Stock Index Futures and Put Options.- Chapter 13: Using Options for Tail Risk Hedging.- Chapter 14: Bond Portfolio Hedging with U.S. Treasury Futures.- Chapter 15: Consumer Mortgage Portfolio Hedging with Interest Rate Swaps.- Chapter 16: Hedging Interest Rate Risk in Life Insurance Using Interest Rate Derivatives.- Chapter 17: Hedging Systematic Risk in High Yield with Equity Derivatives.- Chapter 18: Hedging the Mortgage Pipeline with To-Be-Announced (TBA) Securities.- Chapter 19: Application of FX Options in Portfolio Management.- Chapter 20: FX Forward Contracts for Portfolio Management Applications.- Part 3: Case Studies in Leverage and Exposure Management.- Chapter 21: Exploring the Mechanics and Applications of Equity Swaps in Investment Portfolios.- Chapter 22: Cash Equitization in Global Equity and Multi-Asset Portfolios.- Chapter 23: Quantifying Event Risk with Equity Options.- Chapter 24: Hedging Interest-Rate in High-Yield Bonds.- Chapter 25: The Role of Futures in Tactical Asset Allocation: Managing Market Exposure.- Chapter 26: Use of Derivatives in Overlays: Downside Protection and Upside Capture.- Chapter 27: Currency Hedging with a Derivatives Overlay.- Part 4: Case Studies in Income Enhancement Strategies.- Chapter 28: Managing Path Dependency and Balancing Yield in Option Income Strategies.- Chapter 29: Harvesting Volatility Risk Premium with Equity Index Options.- Chapter 30: Augmenting Covered Call Returns with Stock Index Options.- Chapter 31: Targeting Options-Based Income with Puts and Calls.- Chapter 32: Efficiently Replicating Corporate Bond Returns with CDS Indices.- Chapter 33: Using Credit Default Swaps to Enhance the Return-to-Risk Profile of Buy-and-Hold Bond Portfolios.

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