Derivatives Markets and Analysis by Johnson, R. Stafford -- Read -- Imperial Library of Trantor

Index

Cover Title Page Table of Contents Preface

Content

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 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 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 Selected References Problems and Questions Bloomberg Exercises

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 Bloomberg Exercises

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 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 Equity and Debt as Call Option Positions Conclusion Selected References Problems and Questions Bloomberg Exercises

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 Bloomberg Exercises

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 Bloomberg Exercises

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 Bloomberg Exercises

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 Bloomberg Exercises 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 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 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 Selected References Problems and Questions Bloomberg Exercises

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 Bloomberg Exercises 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 Bloomberg Exercises

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 End User License Agreement