Understanding Futures Markets

Preface. Acknowledgements. Part I: Futures Markets: Introduction: 1. Overview: Origins of Forward Contracting. 2. Forward versus Futures Markets. 3. Exchanges and Types of Futures. 4. Purposes of Futures Markets. 5. Regulation of Futures Markets. 6. Taxation of Futures Trading. 7. Conclusion. Questions and Problems. Notes. Part II: Futures Markets: Refinements: 8. Overview. 9. Margins: A Closer Look. 10. Contract Innovation and Contract Success. 11. Brokers, Advisors, and Commodity Fund Managers. 12. The Internationalization of Futures Markets. 13. Electronic Futures Trading. 14. Current Issues in Regulation. 15. Conclusion. 16. Questions and Problems. Notes. Part III: Futures Prices: 17. Overview. 18. Reading Futures Prices. 19. The Basis and Spreads. 20. Models of Futures Prices. 21. Futures Prices and Expectations. 22. Futures Prices and Risk Aversion. 23. Characteristics of Futures Prices. 24. Conclusion. Questions and Problems. Notes. Part IV: Using Futures Markets: 25. Overview. 26. Price Discovery. 27. Speculation. 28. Speculative Profits. 29. Hedging. 30. Conclusion. 31. Questions and Problems. 32. Notes. Part VI: Bond Primer: 33. Overview. 34. Yield Concepts. 35. Bond Price Changes. 36. The Term Structure of Interest Rates. 37. Theories of the Term Structure. 38. Bond Portfolio Maturity Strategies. 39. Portfolio Immunization Techniques. Conclusion. Questions and Problems. Notes. Part VII: Interest Rate Futures: Introduction: 40. Overview. 41. Interest Rate Futures Contracts. 42. Pricing Interest Rate Futures Contracts. 43. Speculating with Interest Rate Futures. 44. Hedging with Interest Rate Futures. 45. Conclusion. Questions and Problems. Notes. Part VIII: Interest Rate Futures: Refinements: 46. Overview. 47. The T-Bond Futures Contract in Detail. 48. Seller's Options in T-Bond Futures. 49. Interest Rate Futures Market Efficiency. 50. Applications: Eurodollar and T-Bill Futures. 51. Hedging with T-Bond Futures. Conclusion. Questions and Problems. Notes. Part IX: Stock Index Futures: Introduction: 52. Overview. 53. The Four Indexes. 54. Stock Index Futures Contracts. 55. Stock Index Futures Prices. 56. Index Arbitrage and Program Trading. 57. Speculating with Stock Index Futures. 58. The Demise of Barings Bank. 59. Risk Management with Stock Index Futures. Conclusion. Questions and Problems. Notes. Part X: Stock Index Futures: Refinements: 60. Overview. 61. Stock Index Futures Prices. 62. Real World Program Trading. 63. Hedging with Stock Index Futures. 64. Asset Allocation. 65. Portfolio Insurance. 66. Index Futures and Stock Market Volatility. 67. Index Futures and Stock Market Crashes. Conclusion. Questions and Problems. Notes. Part XI: Foreign Exchange Futures: 68. Overview. 69. Price Quotations. 70. Geographical and Cross-Rate Arbitrage. 71. Forward and Futures Market Characteristics. 72. Determinants of Foreign Exchange Rates. 73. Forward and Futures Prices for Foreign Exchange. 74. More Futures Price Parity Relationships. 75. Foreign Exchange Forecasting Accuracy. 76. The Efficiency of Foreign Exchange Futures Markets. 77. Speculation in Foreign Exchange Futures. 78. Hedging with Foreign Exchange Futures. 79. Conclusion Questions and Problems. Notes. Part XII: An Options Primer: 80. Overview. 81. Options and Options Markets. 82. Option Pricing. 83. The Option Pricing Model. 84. Speculating with Options. 85. Hedging with Options. Conclusion. Questions and Problems. Notes. Part XIII: Options on Futures: 86. Overview. 87. Characteristics of Options on Physicals and Options on Futures. 88. The Market for Options on Futures. 89. Pricing of Futures Options. 90. Price Relationships Between Options on Physicals and Options on Futures. 91. Put-Call Parity for Futures Options. 92. Options on Futures and Synthetic Futures. 93. Risk Management with Options on Futures. 94. Why Futures Options? Conclusion. Questions and Problems. Notes. Appendix. References. Index.