The CME Group Risk Management Handbook
Products and Applications
Published on 1. June 2010
606 pages
978-0-470-63488-2 (ISBN)
Description
Praise for The CME Group Risk Management Handbook
"Wow! The CME Group Risk Management Handbook is a 'tenstrike' and long overdue. A must-read and reference for the riskmanagement industry!"
--Jack Sandner, retired chairman of CME Group, memberof the Executive Committee
"This is a powerful book for its integration of futures andoptions markets with an understanding of the whole economy. It isan eye-opener to see how central these markets are to our economiclives."
--Robert J. Shiller, Okun Professor of Economics, YaleUniversity; Chief Economist, MacroMarkets LLC
"Risk management is essential to successful investing, andThe CME Group Risk Management Handbook provides theessentials for understanding risk management. In the wake of thefinancial turmoil of the last few years, managing risk should bepart of any investment program. Among the key elements of riskmanagement are stock index, bond, currency, and commodity futuresas well as a growing number of futures, options, swaps, and otherfinancial instruments built on indices tracking housing prices,weather conditions, and the economy. The CME Group RiskManagement Handbook offers a comprehensive guide for using allof these to better manage financial risks."
--David M. Blitzer, PhD, Managing Director andChairman of the Index Committee, S&P Indices
"Dare we ignore the advice of a financial institution, thelargest of its kind in the world, that navigated the recentfinancial crisis without the aid of a single TARP dollar or accessto the Fed's cheap loans? For CME Group, risk management has meantrisk minimization as it enters its 151st year of life and its 85thyear of central counterparty clearing without a single trading debtunpaid. It has been, and continues to be, a leader byexample."
--Philip McBride Johnson, former CFTC chairman
"For the first time, a comprehensive handbook outlining thefutures market in today's world is available. The CME Group RiskManagement Handbook covers futures basics for the novicetrader, while the veterans will benefit from an in-depth look atoptions and hedging. This handbook is a necessity for anyprofessional, investor, or other market participant seeking tomanage risk in the perpetually changing futures market."
--H. Jack Bouroudjian, CEO, Index Futures Group
More details
Other editions
Additional editions
Book
07/2010
Wiley
€88.00
Shipment within 10-20 days
Persons
JOHN W. LABUSZEWSKI is Managing Director of Research andProduct Development at CME Group. Labuszewski came to CME fromNikko Securities International, where he was general manager of theasset management division. He had previously worked for FenchurchCapital Management, Refco, and the Chicago Board of Trade.Labuszewski is coauthor of four previous industry-related texts. Heearned an MBA from the University of Illinois.
JOHN E. NYHOFF is Director of Financial Research andProduct Development at CME Group. He has lectured extensively inthe interest rate derivative product area, and has taught financialfutures and options and related courses at DePaul University andseveral other Chicago-area colleges. Nyhoff is coauthor of twoindustry-related texts: Trading Options on Futures andTrading Financial Futures (both from Wiley). He holds amaster's in financial economics from the University of Rochester, amaster's in economics from Northern Illinois University, and abachelor's degree in economics from DePaul University.
RICHARD CO is Director of Financial Research and ProductDevelopment at CME Group. He joined CME in 1999. Dr. Co received aPhD in economics from the University of Chicago in 2000 and is aChartered Financial Analyst.
PAUL E. PETERSON is Director of Commodity Research andProduct Development at CME Group. He joined CME in 1989. Beforethat, Peterson served as vice president, research, for BrockAssociates from 1988 -1989; manager, education and marketingservices, for the Chicago Board of Trade from 1986-1988; andmanager, market analysis, for the American Farm Bureau Federationfrom 1983-1986. Peterson holds a PhD in agricultural economics fromthe University of Illinois and has authored a number of articles inprofessional journals and business/trade publications.
CME Group is an international marketplace that bringstogether buyers and sellers on its trading floors and CME Globexaround-the-clock electronic trading platform. CME Group operatesleading derivatives exchanges including CME, Chicago Board ofTrade, and NYMEX, offering futures contracts and options onfutures, in diverse product areas including interest rates, stockindexes, foreign exchange, agricultural, energy, and metals.
Content
Foreword by Leo Melamed.
Prologue by Terry Duffy.
Acknowledgments.
Introduction by Craig S. Donohue.
Chapter 1 Futures Market Fundamentals.
What Is a Futures Contract?
Overview of Popular Financial Futures Contracts.
Anatomy of a Futures Transaction.
Conclusion.
Notes.
Chapter 2 Order Entry and Execution Methodologies.
Open Outcry or Pit Trading.
Introduction of the CME Globex Platform.
Trade Matching Algorithms.
About Options Markets.
Ex-Pit Trading.
Conclusion.
Notes.
Chapter 3 Role of the Clearinghouse.
Financial Safeguards.
Financial Surveillance.
Default by a Clearing Member.
Resources Backing CME Group Clearing System.
Customer Protection.
Disaster Recovery and Business Continuity.
Rule Enforcement.
Financial and Regulatory Information Sharing.
Conclusion.
Chapter 4 Currency Futures: The First Financial Futures.
Evolution of Foreign Exchange Marketplace.
Over-the-Counter Currency Trading Vehicles.
Exchange-Traded Currency Futures and Options.
Foreign Exchange Market Growth and Trends.
Conclusion.
Notes.
Chapter 5 Stock Index Futures: The First Financial Futures.
Mechanics of Stock Index Futures.
E-Minis versus Exchange-Traded-Funds.
Pricing Stock Index Futures.
Spreading Stock Index Futures.
Hedging with Stock Index Futures.
Portable Alpha Strategies.
Conclusion.
Notes.
Chapter 6 Eurodollar Futures: Interest Rate Market Building Blocks.
Eurodollar Futures Market.
Speculating on Shape of Yield Curve.
Term Treasury/Eurodollar (TED) Spreads with Futures and Options.
Interest Rate Swap Market.
Growing Up Together.
Pricing Relationship.
Hedging Techniques.
Conclusion.
Technical Appendix: Complications and Shortcuts for Pricing and Hedging Swaps.
Notes.
Chapter 7 Understanding U.S. Treasury Futures.
Coupon-Bearing Treasury Securities.
Treasury Futures Delivery Practices.
Measuring Risk of Coupon-Bearing Securities.
Risk Management with Treasury Futures.
Macro Hedging with Treasury Futures.
Trading the Yield Curve with Treasury Futures.
Conclusion.
Notes.
Chapter 8 Commodities: Backbone of the Futures Industry.
What Are Commodities?
Grain Markets.
Livestock Markets.
Energy Products.
Precious Metals.
The Forward Curve.
Intermarket Commodity Spreading.
ClearPort Over-the-Counter Clearing Facility.
Conclusion.
Appendix: Major Commodity Market Specifications.
Chapter 9 Alternative Investment Market fundamentals.
Weather.
Residential Housing Futures.
Economic Indicators.
Conclusion.
Notes.
Chapter 10 Fundamental Market Indicators.
Why These Indicators?
Trading Volumes.
Volatility: Daily Net Change.
Volitility: Daily High-Low Range.
Conclusions.
Appendix: Economic Indicator Descriptions.
Notes.
Chapter 11 Technical Analysis Primer.
Why Technical Analysis?
Interpreting Charts.
Elliot Wave Theory.
Intraday Trading Techniques.
Trend-Following Systems.
Conclusion.
Chapter 12 Fundamentals of Option Markets.
What is an Option?
Mathematical Option Pricing Models.
Historic and Implied Volatilities.
Measuring Option Performance.
Conclusion.
Chapter 13 Option Trading Strategies.
Option Spreads.
Horizontal Spreads.
Diagonal Spreads.
Comparing Verticals, Horizontals, and Diagonals.
Weighted Spreads.
Volatility-Driven Strategies.
Specialty Option Strategies.
Matching Strategy and Forecast.
Conclusion.
Chapter 14 Hedging with Options.
Baseline Futures Hedge.
Buying Protection with Puts.
Yield Enhancement with Calls.
In- and Out-of-the-Money Options.
Matching Strategy with Forecast.
Collar Strategy.
Delta-Neutral Hedge.
Conclusion.
About the Authors and Contributors.
Index.
