Fundamentals of Futures and Options Markets
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| Autor principal: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Harlow :
Pearson Education, Limited
2022.
Harlow, England : 2022. |
| Edición: | 9th ed |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009771837106719 |
Tabla de Contenidos:
- Cover
- Title Page
- Copyright
- Dedication
- Contents In Brief
- Business Snapshots
- Contents
- Preface
- Chapter 1: Introduction
- 1.1 Futures Contracts
- 1.2 History of Futures Markets
- 1.3 The Over-the-Counter Market
- 1.4 Forward Contracts
- 1.5 Options
- 1.6 History of Options Markets
- 1.7 Types of Trader
- 1.8 Hedgers
- 1.9 Speculators
- 1.10 Arbitrageurs
- 1.11 Dangers
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 2: Futures Markets and Central Counterparties
- 2.1 Opening and Closing Futures Positions
- 2.2 Specification of a Futures Contract
- 2.3 Convergence of Futures Price to Spot Price
- 2.4 The Operation of Margin Accounts
- 2.5 OTC Markets
- 2.6 Market Quotes
- 2.7 Delivery
- 2.8 Types of Trader and Types of Order
- 2.9 Regulation
- 2.10 Accounting and Tax
- 2.11 Forward vs. Futures Contracts
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 3: Hedging Strategies Using Futures
- 3.1 Basic Principles
- 3.2 Arguments for and Against Hedging
- 3.3 Basis Risk
- 3.4 Cross Hedging
- 3.5 Stock Index Futures
- 3.6 Stack and Roll
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Appendix: Review of Key Concepts in Statistics and the CAPM
- Chapter 4: Interest Rates
- 4.1 Types of Rates
- 4.2 Swap Rates
- 4.3 The Risk-Free Rate
- 4.4 Measuring Interest Rates
- 4.5 Zero Rates
- 4.6 Bond Pricing
- 4.7 Determining Zero Rates
- 4.8 Forward Rates
- 4.9 Forward Rate Agreements
- 4.10 Theories of the Term Structure of Interest Rates
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Appendix: Exponential and Logarithmic Functions
- Chapter 5: Determination of Forward and Futures Prices
- 5.1 Investment Assets vs. Consumption Assets.
- 5.2 Short Selling
- 5.3 Assumptions and Notation
- 5.4 Forward Price for an Investment Asset
- 5.5 Known Income
- 5.6 Known Yield
- 5.7 Valuing Forward Contracts
- 5.8 Are Forward Prices and Futures Prices Equal?
- 5.9 Futures Prices of Stock Indices
- 5.10 Forward and Futures Contracts on Currencies
- 5.11 Futures on Commodities
- 5.12 The Cost of Carry
- 5.13 Delivery Options
- 5.14 Futures Prices and Expected Spot Prices
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 6: Interest Rates Futures
- 6.1 Day Count and Quotation Conventions
- 6.2 Treasury Bond Futures
- 6.3 Eurodollar Futures
- 6.4 Duration
- 6.5 Duration-Based Hedging Strategies Using Futures
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 7: Swaps
- 7.1 Mechanics of Interest Rate Swaps
- 7.2 Day Count Issues
- 7.3 Confirmations
- 7.4 The Comparative-Advantage Argument
- 7.5 Valuation of Interest Rate Swaps
- 7.6 How the Value Changes through Time
- 7.7 Fixed-for-Fixed Currency Swaps
- 7.8 Valuation of Fixed-for-Fixed Currency Swaps
- 7.9 Other Currency Swaps
- 7.10 Credit Risk
- 7.11 Credit Default Swaps
- 7.12 Other Types of Swaps
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 8: Securitization and the Credit Crisis of 2007
- 8.1 Securitization
- 8.2 The U.S. Housing Market
- 8.3 What Went Wrong?
- 8.4 The Aftermath
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 9: Mechanics of Options Markets
- 9.1 Types of Option
- 9.2 Option Positions
- 9.3 Underlying Assets
- 9.4 Specification of Stock Options
- 9.5 Trading
- 9.6 Commissions
- 9.7 Margin Requirements
- 9.8 The Options Clearing Corporation
- 9.9 Regulation
- 9.10 Taxation.
- 9.11 Warrants, Employee Stock Options, and Convertibles
- 9.12 Over-the-Counter Options Markets
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 10: Properties of Stock Options
- 10.1 Factors Affecting Option Prices
- 10.2 Assumptions and Notation
- 10.3 Upper and Lower Bounds for Option Prices
- 10.4 Put-Call Parity
- 10.5 Calls on a Non-Dividend-Paying Stock
- 10.6 Puts on a Non-Dividend-Paying Stock
- 10.7 Effect of Dividends
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 11: Trading Strategies Involving Options
- 11.1 Principal-Protected Notes
- 11.2 Strategies Involving a Single Option and a Stock
- 11.3 Spreads
- 11.4 Combinations
- 11.5 Other Payoffs
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 12: Introduction to Binomial Trees
- 12.1 A One-Step Binomial Model and a No-Arbitrage Argument
- 12.2 Risk-Neutral Valuation
- 12.3 Two-Step Binomial Trees
- 12.4 A Put Example
- 12.5 American Options
- 12.6 Delta
- 12.7 Determining u and d
- 12.8 Increasing the Number of Time Steps
- 12.9 Using DerivaGem
- 12.10 Options on Other Assets
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Appendix: Derivation of Black-Scholes-Merton Option Pricing Formula from Binomial Tree
- Chapter 13: Valuing Stock Options: The Black-Scholes-Merton Model
- 13.1 Assumptions about How Stock Prices Evolve
- 13.2 Expected Return
- 13.3 Volatility
- 13.4 Estimating Volatility from Historical Data
- 13.5 Assumptions Underlying Black-Scholes-Merton
- 13.6 The Key No-Arbitrage Argument
- 13.7 The Black-Scholes-Merton Pricing Formulas
- 13.8 Risk-Neutral Valuation
- 13.9 Implied Volatilities
- 13.10 Dividends
- Summary
- Further Reading
- Quiz
- Practice Questions.
- Further Questions
- Appendix: The Early Exercise of American Call Options on Dividend-Paying Stocks
- Chapter 14: Employee Stock Options
- 14.1 Contractual Arrangements
- 14.2 Do Options Align the Interests of Shareholders and Managers?
- 14.3 Accounting Issues
- 14.4 Valuation
- 14.5 Backdating Scandals
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 15: Options on Stock Indices and Currencies
- 15.1 Options on Stock Indices
- 15.2 Currency Options
- 15.3 Options on Stocks Paying Known Dividend Yields
- 15.4 Valuation of European Stock Index Options
- 15.5 Valuation of European Currency Options
- 15.6 American Options
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 16: Futures Options and Black's Model
- 16.1 Nature of Futures Options
- 16.2 Reasons for the Popularity of Futures Options
- 16.3 European Spot and Futures Options
- 16.4 Put-Call Parity
- 16.5 Bounds for Futures Options
- 16.6 A Futures Price as an Asset Providing a Yield
- 16.7 Black's Model for Valuing Futures Options
- 16.8 Using Black's Model Instead of Black-Scholes-Merton
- 16.9 Valuation of Futures Options Using Binomial Trees
- 16.10 American Futures Options vs. American Spot Options
- 16.11 Futures-Style Options
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 17: The Greek Letters
- 17.1 Illustration
- 17.2 Naked and Covered Positions
- 17.3 Greek Letter Calculation
- 17.4 Delta
- 17.5 Theta
- 17.6 Gamma
- 17.7 Relationship Between Delta, Theta, and Gamma
- 17.8 Vega
- 17.9 Rho
- 17.10 The Realities of Hedging
- 17.11 Scenario Analysis
- 17.12 Extension of Formulas
- 17.13 Creating Options Synthetically for Portfolio Insurance
- 17.14 Stock Market Volatility
- Summary
- Further Reading
- Quiz.
- Practice Questions
- Further Questions
- Chapter 18: Binomial Trees in Practice
- 18.1 The Binomial Model for a Non-Dividend-Paying Stock
- 18.2 Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts
- 18.3 The Binomial Model for a Dividend-Paying Stock
- 18.4 Extensions of the Basic Tree Approach
- 18.5 Alternative Procedure for Constructing Trees
- 18.6 Monte Carlo Simulation
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 19: Volatility Smiles
- 19.1 Foreign Currency Options
- 19.2 Equity Options
- 19.3 The Volatility Term Structure and Volatility Surfaces
- 19.4 When a Single Large Jump Is Anticipated
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Appendix: Why the Put Volatility Smile Is the Same As the Call Volatility Smile
- Chapter 20: Value at Risk and Expected Shortfall
- 20.1 The VaR and ES Measures
- 20.2 Historical Simulation
- 20.3 Model-Building Approach
- 20.4 Generalization of Linear Model
- 20.5 Quadratic Model
- 20.6 Estimating Volatilities and Correlations
- 20.7 Comparison of Approaches
- 20.8 Back Testing
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 21: Interest Rate Options
- 21.1 Exchange-Traded Interest Rate Options
- 21.2 Embedded Bond Options
- 21.3 Black's Model
- 21.4 European Bond Options
- 21.5 Interest Rate Caps
- 21.6 European Swap Options
- 21.7 Term Structure Models
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 22: Exotic Options and Other Nonstandard Products
- 22.1 Exotic Options
- 22.2 Agency Mortgage-Backed Securities
- 22.3 Nonstandard Swaps
- Summary
- Further Reading
- Quiz
- Practice Questions
- Further Questions
- Chapter 23: Credit Derivatives
- 23.1 Credit Default Swaps.
- 23.2 Valuation of Credit Default Swaps.
