Derivatives Markets and Analysis.

Cover -- Title Page -- Copyright -- Contents -- Preface -- Acknowledgments -- About the Author -- Part 1: Futures and Forward Contracts -- Chapter 1: Futures Markets -- Introduction to Futures and Options 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 -- Selected References -- Problems and Questions -- 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 -- Selected References -- Problems and Questions -- Chapter 3: Equity Index Futures -- Speculative Strategies -- Hedging Equity Positions -- Carrying-Cost Model for an Equity Index -- Non-Equity Indexes -- Conclusion -- Selected References -- Problems and Questions -- Chapter 4: Interest Rate and Bond Futures and Forward Contracts -- Types of Interest Rate 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 -- Part 2: 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 -- Selected References -- Problems and Questions -- 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 -- Equity and Debt as Call Option Positions -- Conclusion -- Selected References -- Problems and Questions -- Chapter 7: Option Strategies -- Call Purchases -- Call Purchases in Conjunction with Other Positions -- Naked Call Writes -- Covered Call Writes -- Ratio Call Writes -- Put Purchases -- Naked Put Writes -- Covered Put Writes -- Ratio Put Writes -- Call Spreads -- Put Spreads -- Straddle, Strip, and Strap Positions -- Combinations -- Condors -- Simulated Stock Positions -- Conclusion -- Selected References -- Problems and Questions -- Chapter 8: Option Hedging -- Hedging Stock Portfolio Positions -- Hedging Currency and Commodity Positions -- Hedging Fixed-Income Positions with Options -- Conclusion -- Selected References -- Problems and Questions -- Part 3: 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 -- Selected References -- Problems and Questions -- Chapter 10: The Binomial Option Pricing Model -- Single-Period BOPM -- Multiple-Period BOPM -- Estimating the BOPM -- Features of the BOPM -- Conclusion -- Selected References -- Problems and Questions -- Appendix 10A: Risk-Neutral Pricing -- Risk-Neutral Probability Pricing-Single-Period Case -- Risk-Neutral Probability Pricing-Multiple-Period Case -- Appendix 10B: Discrete Dividend-Payment Approach -- Example -- 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 -- Selected References -- Problems and Questions.

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 -- Selected References -- Problems and Questions -- 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 -- Selected References -- Problems and Questions -- Part 4: Financial Swaps -- Chapter 14: Interest Rate Swaps -- Generic Interest Rate Swaps -- Swap Markets -- Swap Valuation -- Comparative Advantage -- Swap Applications -- Forward Swaps -- Swaptions -- Non-Generic Swaps -- Conclusion -- Selected References -- Problems and Questions -- Appendix 14A: Valuation of Forward Swaps and Swaptions -- Chapter 15: Credit Default and Currency Swaps -- Generic Credit Default Swap -- Currency Swaps -- Conclusion -- Selected References -- Problems and Questions -- Part 5: Supplemental Appendixes -- Appendix A: Overview and Guide to the Bloomberg System -- Bloomberg System-Bloomberg Keyboard -- Accessing Security Information -- Indexes -- Functionality -- 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 -- Conclusion -- Bloomberg Exercises -- Appendix B: Directory Listing of Bloomberg Screens by Menu and Function -- Appendix C: Uses of Exponents and Logarithms -- Exponential Functions -- Logarithms -- Selected Reference -- Index -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2019. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.