Derivatives Markets and Analysis

Preface Acknowledgments About the Author Part I: Futures and Forward Contracts Chapter 1: Futures Markets The Nature of Futures Trading and the Role of the Clearinghouse Types of Futures Contracts The Organized Markets and Characteristics of Futures Trading Commodity Futures Hedging Commodity Speculating with Futures Pricing Futures and Forward Contracts: Carrying-Cost Model Conclusion Bloomberg: Commodity Futures and Related Screens Selected References Problems and Questions Bloomberg Exercises Chapter 2: Currency Futures and Forward Contracts Hedging with Foreign Currency Futures and Forward Contracts Speculating with Foreign Currency Futures and Forward Contracts Hedging and Speculating with Equivalent Money Market Positions Carrying-Cost Model for a Currency Conclusion Bloomberg: Currency Futures and Related Screens Selected References Problems and Questions Bloomberg Exercises Chapter 3: Equity Index Futures Speculative Strategies Hedging Equity Positions Carrying-Cost Model for an Equity Index Non-Equity Indexes Conclusion Bloomberg: Equity Index Futures and Related Screens Selected References Problems and Questions Bloomberg Exercises Chapter 4: Interest Rate and Bond Futures and Forward Contracts Speculating with Interest Rate and Bond Futures Contracts Hedging with Interest Rate and Bond Futures Contracts Pricing Interest Rate and Bond Futures Conclusion Selected References Problems and Questions Bloomberg Exercises Bloomberg: Bond and Interest Rate Futures and Related Screens Appendix 4A: T-Bond and T-Note Delivery Procedures Part II: Options Markets and Strategies Chapter 5: Fundamentals of Options Trading Option Terminology Fundamental Option Strategies Other Option Strategies Option Price Relations Put-Call Parity Option Exchanges Conclusion Bloomberg: Options Screens Selected References Problems and Questions Bloomberg Exercises Chapter 6: Non-Stock Options: Equity Index, Futures, OTC, and Embedded Options Equity-Index Options Futures Options Over-the-Counter Options Convertible Securities Embedded Options Conclusion Bloomberg: Options Screens Selected References Problems and Questions Bloomberg Exercises Chapter 7: Option Strategies Call Purchase Call Purchases in Conjunction with Other Positions Naked Call Write Covered Call Write Ratio Call Write Put Purchase Naked Put Write Covered Put Write Ratio Put Write Call Spreads Put Spreads Combinations Condors Simulated Stock Positions Conclusion Bloomberg: Option Scenario Analysis Screen--OSA Selected References Problems and Questions Bloomberg Exercises Chapter 8: Option Hedging Hedging Stock Portfolio Positions Hedging Currency and Commodity Positions Hedging Fixed-Income Positions with Options Conclusion Bloomberg Hedging Screens Selected References Problems and Questions Bloomberg Exercises Part III: Option Pricing Chapter 9: Option Boundary Conditions and Fundamental Price Relations Call Boundary Conditions Put Boundary Conditions Put and Call Boundary Conditions Boundary Conditions Governing Non-Stock Options Conclusion Bloomberg: Chart Screen, OMON, Call, and PUT Selected References Problems and Questions Bloomberg Exercises Chapter 10: The Binomial Option Pricing Model Single-Period BOPM Multiple-Period BOPM Estimating the BOPM Features of the BOPM Conclusion Bloomberg: Screens for Applying the BOPM Selected References Problems and Questions Bloomberg Exercises Appendix 10A: Risk-Neutral Pricing Appendix 10B: Discrete Dividend-Payment Approach Chapter 11: The Black-Scholes Option Pricing Model The Black-Scholes Call Model The Black-Scholes Put Model Estimating the B-S OPM Applications of the OPM Empirical Studies Conclusion Bloomberg Option Valuation Screen, OVME Selected References Problems and Questions Bloomberg Exercises Chapter 12: Pricing Non-Stock Options and Futures Options Pricing of Spot Index and Currency Options Binomial Pricing of Futures Options Pricing Equity Convertibles with the B-S OPM Greeks Conclusion Bloomberg Option Valuation Screens for Indexes and Futures Options, OVME Selected References Problems and Questions Bloomberg Exercises Chapter 13: Pricing Bond and Interest Rate Options The Binomial Interest Rate Model Estimating the Binomial Interest Rate Tree Pricing Bond and Interest Rate Options with the B-S and Black OPMs Conclusion Bloomberg Option Valuation Screens for Bond and Interest Rate Options, OVME Selected References Problems and Questions Bloomberg Exercises Part IV: Financial Swaps Chapter 14: Interest Rate Swaps Generic Interest Rate Swaps Swap Market Swap Valuation Comparative Advantage Swap Applications Forward Swaps Swaptions Non-Generic Swaps Conclusion Bloomberg Screens for Swaps Appendix 14A: Valuation of Forward Swaps and Swaptions Selected References Problems and Questions Bloomberg Exercises Chapter 15: Credit Default and Currency Swaps Generic Credit Default Swap Currency Swaps Conclusion Bloomberg CDS and Currency Swap Screens Selected References Problems and Questions Bloomberg Exercises Supplemental Appendices Appendix A: Overview and Guide to the Bloomberg System Bloomberg System--Bloomberg Keyboard The Bloomberg keyboard allows one to access information within the "Bloomberg Accessing Security Information Indexes Economic, Industry, Law, and Municipal Information Screens Monitor and Portal Screens Portfolios and Baskets Screening and Search Functions The Bloomberg Excel Add-In: Importing Bloomberg into Excel Launchpad Bloomberg Exercises Appendix B: Directory Listing of Bloomberg Screens by Menu and Function Appendix C: Uses of Exponents and Logarithms Exponential Functions Logarithms Rules of Logarithms Uses of Logarithm Index