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Index
PREFACE
CORE OBJECTIVES
PART 1 FORWARDS, FUTURES & SWAPS
1 Evolution of Trade: From Physical to Derivative
2 Introduction to Futures
3 Commodity Futures Pricing
4 Hedging Basics
5 Hedge Patterns with Futures
6 Commodity Futures Spreads
7 Basis Controversy
8 Commodity Swaps
PART 2 BASIC FEATURES AND STRATEGIES OF OPTIONS
9 Introduction to Options
10 Basic Directional Strategies Using Options
11 Hedge Patterns with Options
12 Typical Equity Hedging Strategies
PART 3 OPTIONS PRICING MODELS
13 Determinants of Options Value
14 European Call & Put Pricing Bounds
15 Black-Scholes Pricing Model
16 Binomial Options Pricing Model
17 Parity Relations
PART 4 ADVANCED HEDGING STRATEGIES
18 Hedging Long Underlying with a Bear Call Spread
19 Hedging Short Underlying with a Bull Call Spread
20 Collars and Fences
21 Conversions and Reversals
22 Covered Short Straddles & Strangles
23 Accrued Profits Protection
PART 5 OPTION SPREADS & COMBINATIONS
24 Options Spread Strategies
25 Call Ratio Spreads
26 Put Ratio Spreads
27 Options Combinations
28 Synthetic Instruments
INDEX
Evolution of Trade: From Physical to Derivative
Forwards Overview
Principles for Calculating a Forward Price
Summary
Futures Overview
Commodity Market Participants
Futures Trade Illustration
Definition & Futures Building Blocks
Building Block No.4 Maturity
Building Block No. 6 Daily Settlements
Building Block No. 7 Leverage
Building Block No. 8 The Clearing House
Cost of Carry Concept
Cash and Carry Arbitrage
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