Derivatives Markets and Analysis
Published on 29. August 2017
784 pages
978-1-118-22828-9 (ISBN)
Description
A practical, informative guide to derivatives in the realworld
Derivatives is an exposition on investments, guiding youfrom the basic concepts, strategies, and fundamentals to a moredetailed understanding of the advanced strategies and models. Aspart of Bloomberg Financial's three part series on securities,Derivatives focuses on derivative securities and thefunctionality of the Bloomberg system with regards to derivatives.You'll develop a tighter grasp of the more subtle complexitiesinvolved in the evaluation, selection, and management ofderivatives, and gain the practical skillset necessary to applyyour knowledge to real-world investment situations using the toolsand techniques that dominate the industry. Instructions for usingthe widespread Bloomberg system are interwoven throughout, allowingyou to directly apply the techniques and processes discussed usingyour own data. You'll learn the many analytical functions used toevaluate derivatives, and how these functions are applied withinthe context of each investment topic covered. All Bloomberginformation appears in specified boxes embedded throughout thetext, making it easy for you to find it quickly when you need or,or easily skip it in favor of the theory-based text.
Managing securities in today's dynamic and innovative investmentenvironment requires a strong understanding of how the increasingvariety of securities, markets, strategies, and methodologies areused. This book gives you a more thorough understanding, and apractical skillset that investment managers need.
* Understand derivatives strategies and models from basic toadvanced
* Apply Bloomberg information and analytical functions
* Learn how investment decisions are made in the real world
* Grasp the complexities of securities evaluation, selection, andmanagement
The financial and academic developments of the past twenty yearshave highlighted the challenge in acquiring a comprehensiveunderstanding of investments and financial markets.Derivatives provides the detailed explanations you've beenseeking, and the hands-on training the real world demands.
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R. Stafford Johnson
Derivatives Markets and Analysis
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11/2017
Bloomberg Press
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Person
R. STAFFORD JOHNSON is director for the Smith Center at Xavier University. He is also a professor of finance at the university's Williams College of Business. He is the author of five monographs and six books, including Options and Futures; Introduction to Derivatives; Bond Evaluation, Selection, and Management, Second Edition; Debt Markets and Analysis; and Equity Markets and Portfolio Analysis. He has authored or co-authored over 50 academic journal articles.
Content
1 - Cover???????????????????????? [Seite 1]
2 - Title Page?????????????????????????????????? [Seite 5]
3 - Copyright???????????????????????????????? [Seite 6]
4 - Contents?????????????????????????????? [Seite 9]
5 - Preface???????????????????????????? [Seite 11]
6 - Acknowledgments???????????????????????????????????????????? [Seite 15]
7 - About the Author?????????????????????????????????????????????? [Seite 16]
8 - Part 1: Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????? [Seite 17]
8.1 - Chapter 1: Futures Markets?????????????????????????????????????????????????????????????????? [Seite 19]
8.1.1 - Introduction to Futures and Options Markets???????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 20]
8.1.2 - The Nature of Futures Trading and the Role of the Clearinghouse???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 23]
8.1.3 - Types of Futures Contracts?????????????????????????????????????????????????????????????????? [Seite 27]
8.1.4 - The Organized Markets and Characteristics of Futures Trading?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 31]
8.1.5 - Commodity Futures Hedging???????????????????????????????????????????????????????????????? [Seite 35]
8.1.6 - Commodity Speculating with Futures?????????????????????????????????????????????????????????????????????????????????? [Seite 41]
8.1.7 - Pricing Futures and Forward Contracts: Carrying-Cost Model?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 48]
8.1.8 - Conclusion?????????????????????????????????? [Seite 53]
8.1.9 - Selected References???????????????????????????????????????????????????? [Seite 56]
8.1.10 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 56]
8.2 - Chapter 2: Currency Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 63]
8.2.1 - Hedging with Foreign Currency Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 64]
8.2.2 - Speculating with Foreign Currency Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 71]
8.2.3 - Hedging and Speculating with Equivalent Money Market Positions?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 77]
8.2.4 - Carrying-Cost Model for a Currency?????????????????????????????????????????????????????????????????????????????????? [Seite 81]
8.2.5 - Conclusion?????????????????????????????????? [Seite 86]
8.2.6 - Selected References???????????????????????????????????????????????????? [Seite 88]
8.2.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 88]
8.3 - Chapter 3: Equity Index Futures???????????????????????????????????????????????????????????????????????????? [Seite 94]
8.3.1 - Speculative Strategies?????????????????????????????????????????????????????????? [Seite 99]
8.3.2 - Hedging Equity Positions?????????????????????????????????????????????????????????????? [Seite 103]
8.3.3 - Carrying-Cost Model for an Equity Index???????????????????????????????????????????????????????????????????????????????????????????? [Seite 114]
8.3.4 - Non-Equity Indexes?????????????????????????????????????????????????? [Seite 120]
8.3.5 - Conclusion?????????????????????????????????? [Seite 122]
8.3.6 - Selected References???????????????????????????????????????????????????? [Seite 128]
8.3.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 128]
8.4 - Chapter 4: Interest Rate and Bond Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 137]
8.4.1 - Types of Interest Rate Futures and Forward Contracts?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 137]
8.4.2 - Speculating with Interest Rate and Bond Futures Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 145]
8.4.3 - Hedging with Interest Rate and Bond Futures Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 154]
8.4.4 - Pricing Interest Rate and Bond Futures?????????????????????????????????????????????????????????????????????????????????????????? [Seite 176]
8.4.5 - Conclusion?????????????????????????????????? [Seite 187]
8.4.6 - Selected References???????????????????????????????????????????????????? [Seite 191]
8.4.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 191]
9 - Part 2: Options Markets and Strategies?????????????????????????????????????????????????????????????????????????????????????????? [Seite 201]
9.1 - Chapter 5: Fundamentals of Options Trading?????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 203]
9.1.1 - Option Terminology?????????????????????????????????????????????????? [Seite 204]
9.1.2 - Fundamental Option Strategies???????????????????????????????????????????????????????????????????????? [Seite 206]
9.1.3 - Other Option Strategies???????????????????????????????????????????????????????????? [Seite 214]
9.1.4 - Option Price Relations?????????????????????????????????????????????????????????? [Seite 219]
9.1.5 - Put-Call Parity???????????????????????????????????????????? [Seite 227]
9.1.6 - Option Exchanges?????????????????????????????????????????????? [Seite 228]
9.1.7 - Conclusion?????????????????????????????????? [Seite 234]
9.1.8 - Selected References???????????????????????????????????????????????????? [Seite 237]
9.1.9 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 237]
9.2 - Chapter 6: Non-Stock Options: Equity Index, Futures, OTC, and Embedded Options [Seite 240]
9.2.1 - Equity-Index Options?????????????????????????????????????????????????????? [Seite 241]
9.2.2 - Futures Options???????????????????????????????????????????? [Seite 246]
9.2.3 - Over-the-Counter Options?????????????????????????????????????????????????????????????? [Seite 262]
9.2.4 - Convertible Securities?????????????????????????????????????????????????????????? [Seite 267]
9.2.5 - Embedded Options?????????????????????????????????????????????? [Seite 280]
9.2.6 - Equity and Debt as Call Option Positions?????????????????????????????????????????????????????????????????????????????????????????????? [Seite 281]
9.2.7 - Conclusion?????????????????????????????????? [Seite 283]
9.2.8 - Selected References???????????????????????????????????????????????????? [Seite 288]
9.2.9 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 288]
9.3 - Chapter 7: Option Strategies?????????????????????????????????????????????????????????????????????? [Seite 294]
9.3.1 - Call Purchases?????????????????????????????????????????? [Seite 294]
9.3.2 - Call Purchases in Conjunction with Other Positions?????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 299]
9.3.3 - Naked Call Writes???????????????????????????????????????????????? [Seite 302]
9.3.4 - Covered Call Writes???????????????????????????????????????????????????? [Seite 303]
9.3.5 - Ratio Call Writes???????????????????????????????????????????????? [Seite 305]
9.3.6 - Put Purchases???????????????????????????????????????? [Seite 306]
9.3.7 - Naked Put Writes?????????????????????????????????????????????? [Seite 313]
9.3.8 - Covered Put Writes?????????????????????????????????????????????????? [Seite 315]
9.3.9 - Ratio Put Writes?????????????????????????????????????????????? [Seite 315]
9.3.10 - Call Spreads?????????????????????????????????????? [Seite 315]
9.3.11 - Put Spreads???????????????????????????????????? [Seite 323]
9.3.12 - Straddle, Strip, and Strap Positions?????????????????????????????????????????????????????????????????????????????????????? [Seite 324]
9.3.13 - Combinations?????????????????????????????????????? [Seite 328]
9.3.14 - Condors???????????????????????????? [Seite 331]
9.3.15 - Simulated Stock Positions???????????????????????????????????????????????????????????????? [Seite 331]
9.3.16 - Conclusion?????????????????????????????????? [Seite 334]
9.3.17 - Selected References???????????????????????????????????????????????????? [Seite 339]
9.3.18 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 340]
9.4 - Chapter 8: Option Hedging???????????????????????????????????????????????????????????????? [Seite 348]
9.4.1 - Hedging Stock Portfolio Positions???????????????????????????????????????????????????????????????????????????????? [Seite 348]
9.4.2 - Hedging Currency and Commodity Positions?????????????????????????????????????????????????????????????????????????????????????????????? [Seite 360]
9.4.3 - Hedging Fixed-Income Positions with Options???????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 367]
9.4.4 - Conclusion?????????????????????????????????? [Seite 389]
9.4.5 - Selected References???????????????????????????????????????????????????? [Seite 398]
9.4.6 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 399]
10 - Part 3: Option Pricing?????????????????????????????????????????????????????????? [Seite 413]
10.1 - Chapter 9: Option Boundary Conditions and Fundamental Price Relations???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 415]
10.1.1 - Call Boundary Conditions?????????????????????????????????????????????????????????????? [Seite 416]
10.1.2 - Put Boundary Conditions???????????????????????????????????????????????????????????? [Seite 425]
10.1.3 - Put and Call Boundary Conditions?????????????????????????????????????????????????????????????????????????????? [Seite 432]
10.1.4 - Boundary Conditions Governing Non-Stock Options???????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 439]
10.1.5 - Conclusion?????????????????????????????????? [Seite 448]
10.1.6 - Selected References???????????????????????????????????????????????????? [Seite 450]
10.1.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 451]
10.2 - Chapter 10: The Binomial Option Pricing Model???????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 455]
10.2.1 - Single-Period BOPM?????????????????????????????????????????????????? [Seite 456]
10.2.2 - Multiple-Period BOPM?????????????????????????????????????????????????????? [Seite 475]
10.2.3 - Estimating the BOPM???????????????????????????????????????????????????? [Seite 488]
10.2.4 - Features of the BOPM?????????????????????????????????????????????????????? [Seite 501]
10.2.5 - Conclusion?????????????????????????????????? [Seite 503]
10.2.6 - Selected References???????????????????????????????????????????????????? [Seite 508]
10.2.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 509]
10.2.8 - Appendix 10A: Risk-Neutral Pricing?????????????????????????????????????????????????????????????????????????????????? [Seite 513]
10.2.9 - Risk-Neutral Probability Pricing-Single-Period Case???????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 513]
10.2.10 - Risk-Neutral Probability Pricing-Multiple-Period Case???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 515]
10.2.11 - Appendix 10B: Discrete Dividend-Payment Approach?????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 517]
10.2.12 - Example???????????????????????????? [Seite 518]
10.3 - Chapter 11: The Black-Scholes Option Pricing Model?????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 521]
10.3.1 - The Black-Scholes Call Model?????????????????????????????????????????????????????????????????????? [Seite 521]
10.3.2 - The Black-Scholes Put Model???????????????????????????????????????????????????????????????????? [Seite 529]
10.3.3 - Estimating the B-S OPM?????????????????????????????????????????????????????????? [Seite 533]
10.3.4 - Applications of the OPM???????????????????????????????????????????????????????????? [Seite 535]
10.3.5 - Empirical Studies???????????????????????????????????????????????? [Seite 547]
10.3.6 - Conclusion?????????????????????????????????? [Seite 549]
10.3.7 - Selected References???????????????????????????????????????????????????? [Seite 554]
10.3.8 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 556]
10.4 - Chapter 12: Pricing Non-Stock Options and Futures Options???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 560]
10.4.1 - Pricing of Spot Index and Currency Options?????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 560]
10.4.2 - Binomial Pricing of Futures Options???????????????????????????????????????????????????????????????????????????????????? [Seite 566]
10.4.3 - Pricing Equity Convertibles with the B-S OPM?????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 580]
10.4.4 - Greeks?????????????????????????? [Seite 582]
10.4.5 - Conclusion?????????????????????????????????? [Seite 582]
10.4.6 - Selected References???????????????????????????????????????????????????? [Seite 586]
10.4.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 587]
10.5 - Chapter 13: Pricing Bond and Interest Rate Options?????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 594]
10.5.1 - The Binomial Interest Rate Model?????????????????????????????????????????????????????????????????????????????? [Seite 594]
10.5.2 - Estimating the Binomial Interest Rate Tree?????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 612]
10.5.3 - Pricing Bond and Interest Rate Options with the B-S and Black OPMs?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 624]
10.5.4 - Conclusion?????????????????????????????????? [Seite 629]
10.5.5 - Selected References???????????????????????????????????????????????????? [Seite 633]
10.5.6 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 634]
11 - Part 4: Financial Swaps???????????????????????????????????????????????????????????? [Seite 641]
11.1 - Chapter 14: Interest Rate Swaps???????????????????????????????????????????????????????????????????????????? [Seite 643]
11.1.1 - Generic Interest Rate Swaps???????????????????????????????????????????????????????????????????? [Seite 643]
11.1.2 - Swap Markets?????????????????????????????????????? [Seite 648]
11.1.3 - Swap Valuation?????????????????????????????????????????? [Seite 651]
11.1.4 - Comparative Advantage???????????????????????????????????????????????????????? [Seite 653]
11.1.5 - Swap Applications???????????????????????????????????????????????? [Seite 655]
11.1.6 - Forward Swaps???????????????????????????????????????? [Seite 659]
11.1.7 - Swaptions???????????????????????????????? [Seite 662]
11.1.8 - Non-Generic Swaps???????????????????????????????????????????????? [Seite 667]
11.1.9 - Conclusion?????????????????????????????????? [Seite 668]
11.1.10 - Selected References???????????????????????????????????????????????????? [Seite 674]
11.1.11 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 675]
11.1.12 - Appendix 14A: Valuation of Forward Swaps and Swaptions?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 680]
11.2 - Chapter 15: Credit Default and Currency Swaps???????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 689]
11.2.1 - Generic Credit Default Swap???????????????????????????????????????????????????????????????????? [Seite 689]
11.2.2 - Currency Swaps?????????????????????????????????????????? [Seite 699]
11.2.3 - Conclusion?????????????????????????????????? [Seite 711]
11.2.4 - Selected References???????????????????????????????????????????????????? [Seite 716]
11.2.5 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 716]
12 - Part 5: Supplemental Appendixes???????????????????????????????????????????????????????????????????????????? [Seite 721]
12.1 - Appendix A: Overview and Guide to the Bloomberg System [Seite 723]
12.1.1 - Bloomberg System-Bloomberg Keyboard [Seite 723]
12.1.2 - Accessing Security Information [Seite 726]
12.1.3 - Indexes [Seite 731]
12.1.4 - Functionality [Seite 732]
12.1.5 - Economic, Industry, Law, and Municipal Information Screens [Seite 736]
12.1.6 - Monitor and Portal Screens [Seite 740]
12.1.7 - Portfolios and Baskets [Seite 744]
12.1.8 - Screening and Search Functions [Seite 749]
12.1.9 - The Bloomberg Excel Add-In: Importing Bloomberg into Excel [Seite 750]
12.1.10 - Launchpad [Seite 751]
12.1.11 - Conclusion [Seite 753]
12.1.12 - Bloomberg Exercises [Seite 753]
12.2 - Appendix B: Directory Listing of Bloomberg Screens by Menu and Function [Seite 758]
12.3 - Appendix C: Uses of Exponents and Logarithms [Seite 771]
12.3.1 - Exponential Functions [Seite 771]
12.3.2 - Logarithms [Seite 773]
12.3.3 - Selected Reference [Seite 776]
13 - Index???????????????????????? [Seite 777]
14 - EULA [Seite 787]
2 - Title Page?????????????????????????????????? [Seite 5]
3 - Copyright???????????????????????????????? [Seite 6]
4 - Contents?????????????????????????????? [Seite 9]
5 - Preface???????????????????????????? [Seite 11]
6 - Acknowledgments???????????????????????????????????????????? [Seite 15]
7 - About the Author?????????????????????????????????????????????? [Seite 16]
8 - Part 1: Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????? [Seite 17]
8.1 - Chapter 1: Futures Markets?????????????????????????????????????????????????????????????????? [Seite 19]
8.1.1 - Introduction to Futures and Options Markets???????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 20]
8.1.2 - The Nature of Futures Trading and the Role of the Clearinghouse???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 23]
8.1.3 - Types of Futures Contracts?????????????????????????????????????????????????????????????????? [Seite 27]
8.1.4 - The Organized Markets and Characteristics of Futures Trading?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 31]
8.1.5 - Commodity Futures Hedging???????????????????????????????????????????????????????????????? [Seite 35]
8.1.6 - Commodity Speculating with Futures?????????????????????????????????????????????????????????????????????????????????? [Seite 41]
8.1.7 - Pricing Futures and Forward Contracts: Carrying-Cost Model?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 48]
8.1.8 - Conclusion?????????????????????????????????? [Seite 53]
8.1.9 - Selected References???????????????????????????????????????????????????? [Seite 56]
8.1.10 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 56]
8.2 - Chapter 2: Currency Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 63]
8.2.1 - Hedging with Foreign Currency Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 64]
8.2.2 - Speculating with Foreign Currency Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 71]
8.2.3 - Hedging and Speculating with Equivalent Money Market Positions?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 77]
8.2.4 - Carrying-Cost Model for a Currency?????????????????????????????????????????????????????????????????????????????????? [Seite 81]
8.2.5 - Conclusion?????????????????????????????????? [Seite 86]
8.2.6 - Selected References???????????????????????????????????????????????????? [Seite 88]
8.2.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 88]
8.3 - Chapter 3: Equity Index Futures???????????????????????????????????????????????????????????????????????????? [Seite 94]
8.3.1 - Speculative Strategies?????????????????????????????????????????????????????????? [Seite 99]
8.3.2 - Hedging Equity Positions?????????????????????????????????????????????????????????????? [Seite 103]
8.3.3 - Carrying-Cost Model for an Equity Index???????????????????????????????????????????????????????????????????????????????????????????? [Seite 114]
8.3.4 - Non-Equity Indexes?????????????????????????????????????????????????? [Seite 120]
8.3.5 - Conclusion?????????????????????????????????? [Seite 122]
8.3.6 - Selected References???????????????????????????????????????????????????? [Seite 128]
8.3.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 128]
8.4 - Chapter 4: Interest Rate and Bond Futures and Forward Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 137]
8.4.1 - Types of Interest Rate Futures and Forward Contracts?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 137]
8.4.2 - Speculating with Interest Rate and Bond Futures Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 145]
8.4.3 - Hedging with Interest Rate and Bond Futures Contracts???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 154]
8.4.4 - Pricing Interest Rate and Bond Futures?????????????????????????????????????????????????????????????????????????????????????????? [Seite 176]
8.4.5 - Conclusion?????????????????????????????????? [Seite 187]
8.4.6 - Selected References???????????????????????????????????????????????????? [Seite 191]
8.4.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 191]
9 - Part 2: Options Markets and Strategies?????????????????????????????????????????????????????????????????????????????????????????? [Seite 201]
9.1 - Chapter 5: Fundamentals of Options Trading?????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 203]
9.1.1 - Option Terminology?????????????????????????????????????????????????? [Seite 204]
9.1.2 - Fundamental Option Strategies???????????????????????????????????????????????????????????????????????? [Seite 206]
9.1.3 - Other Option Strategies???????????????????????????????????????????????????????????? [Seite 214]
9.1.4 - Option Price Relations?????????????????????????????????????????????????????????? [Seite 219]
9.1.5 - Put-Call Parity???????????????????????????????????????????? [Seite 227]
9.1.6 - Option Exchanges?????????????????????????????????????????????? [Seite 228]
9.1.7 - Conclusion?????????????????????????????????? [Seite 234]
9.1.8 - Selected References???????????????????????????????????????????????????? [Seite 237]
9.1.9 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 237]
9.2 - Chapter 6: Non-Stock Options: Equity Index, Futures, OTC, and Embedded Options [Seite 240]
9.2.1 - Equity-Index Options?????????????????????????????????????????????????????? [Seite 241]
9.2.2 - Futures Options???????????????????????????????????????????? [Seite 246]
9.2.3 - Over-the-Counter Options?????????????????????????????????????????????????????????????? [Seite 262]
9.2.4 - Convertible Securities?????????????????????????????????????????????????????????? [Seite 267]
9.2.5 - Embedded Options?????????????????????????????????????????????? [Seite 280]
9.2.6 - Equity and Debt as Call Option Positions?????????????????????????????????????????????????????????????????????????????????????????????? [Seite 281]
9.2.7 - Conclusion?????????????????????????????????? [Seite 283]
9.2.8 - Selected References???????????????????????????????????????????????????? [Seite 288]
9.2.9 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 288]
9.3 - Chapter 7: Option Strategies?????????????????????????????????????????????????????????????????????? [Seite 294]
9.3.1 - Call Purchases?????????????????????????????????????????? [Seite 294]
9.3.2 - Call Purchases in Conjunction with Other Positions?????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 299]
9.3.3 - Naked Call Writes???????????????????????????????????????????????? [Seite 302]
9.3.4 - Covered Call Writes???????????????????????????????????????????????????? [Seite 303]
9.3.5 - Ratio Call Writes???????????????????????????????????????????????? [Seite 305]
9.3.6 - Put Purchases???????????????????????????????????????? [Seite 306]
9.3.7 - Naked Put Writes?????????????????????????????????????????????? [Seite 313]
9.3.8 - Covered Put Writes?????????????????????????????????????????????????? [Seite 315]
9.3.9 - Ratio Put Writes?????????????????????????????????????????????? [Seite 315]
9.3.10 - Call Spreads?????????????????????????????????????? [Seite 315]
9.3.11 - Put Spreads???????????????????????????????????? [Seite 323]
9.3.12 - Straddle, Strip, and Strap Positions?????????????????????????????????????????????????????????????????????????????????????? [Seite 324]
9.3.13 - Combinations?????????????????????????????????????? [Seite 328]
9.3.14 - Condors???????????????????????????? [Seite 331]
9.3.15 - Simulated Stock Positions???????????????????????????????????????????????????????????????? [Seite 331]
9.3.16 - Conclusion?????????????????????????????????? [Seite 334]
9.3.17 - Selected References???????????????????????????????????????????????????? [Seite 339]
9.3.18 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 340]
9.4 - Chapter 8: Option Hedging???????????????????????????????????????????????????????????????? [Seite 348]
9.4.1 - Hedging Stock Portfolio Positions???????????????????????????????????????????????????????????????????????????????? [Seite 348]
9.4.2 - Hedging Currency and Commodity Positions?????????????????????????????????????????????????????????????????????????????????????????????? [Seite 360]
9.4.3 - Hedging Fixed-Income Positions with Options???????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 367]
9.4.4 - Conclusion?????????????????????????????????? [Seite 389]
9.4.5 - Selected References???????????????????????????????????????????????????? [Seite 398]
9.4.6 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 399]
10 - Part 3: Option Pricing?????????????????????????????????????????????????????????? [Seite 413]
10.1 - Chapter 9: Option Boundary Conditions and Fundamental Price Relations???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 415]
10.1.1 - Call Boundary Conditions?????????????????????????????????????????????????????????????? [Seite 416]
10.1.2 - Put Boundary Conditions???????????????????????????????????????????????????????????? [Seite 425]
10.1.3 - Put and Call Boundary Conditions?????????????????????????????????????????????????????????????????????????????? [Seite 432]
10.1.4 - Boundary Conditions Governing Non-Stock Options???????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 439]
10.1.5 - Conclusion?????????????????????????????????? [Seite 448]
10.1.6 - Selected References???????????????????????????????????????????????????? [Seite 450]
10.1.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 451]
10.2 - Chapter 10: The Binomial Option Pricing Model???????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 455]
10.2.1 - Single-Period BOPM?????????????????????????????????????????????????? [Seite 456]
10.2.2 - Multiple-Period BOPM?????????????????????????????????????????????????????? [Seite 475]
10.2.3 - Estimating the BOPM???????????????????????????????????????????????????? [Seite 488]
10.2.4 - Features of the BOPM?????????????????????????????????????????????????????? [Seite 501]
10.2.5 - Conclusion?????????????????????????????????? [Seite 503]
10.2.6 - Selected References???????????????????????????????????????????????????? [Seite 508]
10.2.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 509]
10.2.8 - Appendix 10A: Risk-Neutral Pricing?????????????????????????????????????????????????????????????????????????????????? [Seite 513]
10.2.9 - Risk-Neutral Probability Pricing-Single-Period Case???????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 513]
10.2.10 - Risk-Neutral Probability Pricing-Multiple-Period Case???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 515]
10.2.11 - Appendix 10B: Discrete Dividend-Payment Approach?????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 517]
10.2.12 - Example???????????????????????????? [Seite 518]
10.3 - Chapter 11: The Black-Scholes Option Pricing Model?????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 521]
10.3.1 - The Black-Scholes Call Model?????????????????????????????????????????????????????????????????????? [Seite 521]
10.3.2 - The Black-Scholes Put Model???????????????????????????????????????????????????????????????????? [Seite 529]
10.3.3 - Estimating the B-S OPM?????????????????????????????????????????????????????????? [Seite 533]
10.3.4 - Applications of the OPM???????????????????????????????????????????????????????????? [Seite 535]
10.3.5 - Empirical Studies???????????????????????????????????????????????? [Seite 547]
10.3.6 - Conclusion?????????????????????????????????? [Seite 549]
10.3.7 - Selected References???????????????????????????????????????????????????? [Seite 554]
10.3.8 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 556]
10.4 - Chapter 12: Pricing Non-Stock Options and Futures Options???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 560]
10.4.1 - Pricing of Spot Index and Currency Options?????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 560]
10.4.2 - Binomial Pricing of Futures Options???????????????????????????????????????????????????????????????????????????????????? [Seite 566]
10.4.3 - Pricing Equity Convertibles with the B-S OPM?????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 580]
10.4.4 - Greeks?????????????????????????? [Seite 582]
10.4.5 - Conclusion?????????????????????????????????? [Seite 582]
10.4.6 - Selected References???????????????????????????????????????????????????? [Seite 586]
10.4.7 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 587]
10.5 - Chapter 13: Pricing Bond and Interest Rate Options?????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 594]
10.5.1 - The Binomial Interest Rate Model?????????????????????????????????????????????????????????????????????????????? [Seite 594]
10.5.2 - Estimating the Binomial Interest Rate Tree?????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 612]
10.5.3 - Pricing Bond and Interest Rate Options with the B-S and Black OPMs?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 624]
10.5.4 - Conclusion?????????????????????????????????? [Seite 629]
10.5.5 - Selected References???????????????????????????????????????????????????? [Seite 633]
10.5.6 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 634]
11 - Part 4: Financial Swaps???????????????????????????????????????????????????????????? [Seite 641]
11.1 - Chapter 14: Interest Rate Swaps???????????????????????????????????????????????????????????????????????????? [Seite 643]
11.1.1 - Generic Interest Rate Swaps???????????????????????????????????????????????????????????????????? [Seite 643]
11.1.2 - Swap Markets?????????????????????????????????????? [Seite 648]
11.1.3 - Swap Valuation?????????????????????????????????????????? [Seite 651]
11.1.4 - Comparative Advantage???????????????????????????????????????????????????????? [Seite 653]
11.1.5 - Swap Applications???????????????????????????????????????????????? [Seite 655]
11.1.6 - Forward Swaps???????????????????????????????????????? [Seite 659]
11.1.7 - Swaptions???????????????????????????????? [Seite 662]
11.1.8 - Non-Generic Swaps???????????????????????????????????????????????? [Seite 667]
11.1.9 - Conclusion?????????????????????????????????? [Seite 668]
11.1.10 - Selected References???????????????????????????????????????????????????? [Seite 674]
11.1.11 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 675]
11.1.12 - Appendix 14A: Valuation of Forward Swaps and Swaptions?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 680]
11.2 - Chapter 15: Credit Default and Currency Swaps???????????????????????????????????????????????????????????????????????????????????????????????????????? [Seite 689]
11.2.1 - Generic Credit Default Swap???????????????????????????????????????????????????????????????????? [Seite 689]
11.2.2 - Currency Swaps?????????????????????????????????????????? [Seite 699]
11.2.3 - Conclusion?????????????????????????????????? [Seite 711]
11.2.4 - Selected References???????????????????????????????????????????????????? [Seite 716]
11.2.5 - Problems and Questions?????????????????????????????????????????????????????????? [Seite 716]
12 - Part 5: Supplemental Appendixes???????????????????????????????????????????????????????????????????????????? [Seite 721]
12.1 - Appendix A: Overview and Guide to the Bloomberg System [Seite 723]
12.1.1 - Bloomberg System-Bloomberg Keyboard [Seite 723]
12.1.2 - Accessing Security Information [Seite 726]
12.1.3 - Indexes [Seite 731]
12.1.4 - Functionality [Seite 732]
12.1.5 - Economic, Industry, Law, and Municipal Information Screens [Seite 736]
12.1.6 - Monitor and Portal Screens [Seite 740]
12.1.7 - Portfolios and Baskets [Seite 744]
12.1.8 - Screening and Search Functions [Seite 749]
12.1.9 - The Bloomberg Excel Add-In: Importing Bloomberg into Excel [Seite 750]
12.1.10 - Launchpad [Seite 751]
12.1.11 - Conclusion [Seite 753]
12.1.12 - Bloomberg Exercises [Seite 753]
12.2 - Appendix B: Directory Listing of Bloomberg Screens by Menu and Function [Seite 758]
12.3 - Appendix C: Uses of Exponents and Logarithms [Seite 771]
12.3.1 - Exponential Functions [Seite 771]
12.3.2 - Logarithms [Seite 773]
12.3.3 - Selected Reference [Seite 776]
13 - Index???????????????????????? [Seite 777]
14 - EULA [Seite 787]
