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Futures, options and swaps

Author: Kolb, Robert W. Publisher: Blackwell, 2003.Edition: 4th ed.Language: EnglishDescription: 887 p. ; 26 cm. includes CD-ROM / DVDISBN: 0631232400Type of document: BookNote: CD available inside back coverBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Notes Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG6024 .A3 K653 2003
(Browse shelf)
001119449
Available CD available inside back cover 001119449
Total holds: 0

CD available inside back cover

Includes bibliographical references and index

Digitized

Futures, Options, and Swaps Contents Preface xv 1 Introduction Overview Financial Derivatives Applications of Financial Derivatives The Concept of Arbitrage Organization of the Text Questions and Problems Notes 1 1 1 5 7 8 10 12 2 Futures Markets Overview Futures Markets Exchanges and Types of Futures Purposes of Futures Markets Regulation of Futures Markets Taxation of Futures Trading Brokers, Advisors, and Commodity Fund Managers The Changing Environment of Futures Markets Electronic Futures Trading Market Corners and Squeezes Conclusion Questions and Problems Notes 13 13 13 25 29 32 37 37 39 41 42 46 47 48 3 Futures Prices Overview Reading Futures Prices The Basis and Spreads Models of Futures Prices Futures Prices and Expectations Futures Prices and Risk Aversion Characteristics of Futures Prices Conclusion 50 50 51 54 60 80 82 88 92 VIII CONTENTS Questions and Problems Notes 93 95 4 Using Futures Markets Overview Price Discovery Speculation Speculative Profits Hedging Conclusion Questions and Problems Notes 97 97 98 100 107 111 122 123 125 5 Interest Rate Futures: Introduction Overview Short-Maturity Interest Rate Futures Contracts Longer-Maturity Interest Rate Futures Pricing Interest Rate Futures Contracts Speculating with Interest Rate Futures Hedging with Interest Rate Futures Conclusion Questions and Problems Notes 128 128 128 133 139 147 152 160 160 163 6 Interest Rate Futures: Refinements Overview The T-Bond Futures Contract in Detail Seller's Options in T-Bond Futures Interest Rate Futures Market Efficiency Applications: Eurodollar and T-Bill Futures Hedging with T-Bond Futures Conclusion Questions and Problems Notes 164 164 165 175 180 187 198 214 214 217 7 Stock Index Futures: Introduction Overview The Indexes Stock Index Futures Contracts Stock Index Futures Prices Index Arbitrage and Program Trading Speculating with Stock Index Futures Risk Management with Stock Index Futures Conclusion 219 219 220 224 225 228 233 236 239 CONTENTS IX Questions and Problems Notes 239 242 8 Stock Index Futures: Refinements Overview Stock Index Futures Prices Real-World Program Trading Hedging with Stock Index Futures Asset Allocation Portfolio Insurance Index Futures and Stock Market Volatility Index Futures and Stock Market Crashes Conclusion Questions and Problems Notes 243 243 243 248 251 258 260 262 265 270 271 272 9 Foreign Currency Futures Overview Price Quotations Geographical and Cross-Rate Arbitrage Forward and Futures Market Characteristics European Monetary Union Determinants of Foreign Exchange Rates Forward and Futures Prices for Foreign Exchange More Futures Price Parity Relationships Foreign Exchange Forecasting Accuracy The Efficiency of Foreign Exchange Futures Markets Speculation in Foreign Exchange Futures Hedging with Foreign Exchange Futures Conclusion Questions and Problems Notes 275 275 276 276 279 282 283 286 287 294 295 297 300 304 305 308 10 The Options Market Overview An Option Example Moneyness American and European Options Why Trade Options? The Option Contract The Options Market Option Trading Procedures The Clearinghouse Margins Commissions 309 309 309 310 311 311 312 312 320 325 325 327 X CONTENTS Taxation Conclusion Questions and Problems Notes 328 330 330 333 11 Option Payoffs and Option Strategies Overview Stocks and Bonds Option Notation European and American Option Values at Expiration Buy or Sell a Call Option Call Options at Expiration and Arbitrage Buy or Sell a Put Option Moneyness Option Combinations Combining Options with Bonds and Stocks Conclusion Questions and Problems Notes 335 335 336 338 339 339 343 345 348 348 368 382 383 387 12 Bounds on Option Prices Overview The Boundary Space for Call and Put Options Relationships Between Call Option Prices Relationships Between Put Option Prices Option Prices and the Interest Rate Option Prices and Stock Price Movements Option Prices and the Riskiness of Stocks Conclusion Questions and Problems Notes 389 389 389 392 400 409 411 415 417 417 419 13 European Option Pricing Overview The Single-Period Binomial Model The Multi-Period Binomial Model Stock Price Movements The Binomial Approach to the Black­Scholes Model The Black­Scholes Option Pricing Model Inputs for the Black­Scholes Model European Options and Dividends Tests of the Option Pricing Model Conclusion Questions and Problems Notes 421 421 421 425 430 435 437 440 444 453 456 456 463 CONTENTS XI 14 Option Sensitivities and Option Hedging Overview Option Sensitivities in the Merton and Black­Scholes Models DELTA THETA VEGA RHO GAMMA Creating Neutral Portfolios Option Sensitivities and Option Trading Strategies Conclusion Questions and Problems Notes 467 467 467 472 476 478 479 481 485 486 498 498 506 15 American Option Pricing Overview American versus European Options American versus European Calls Psuedo-American Call Option Pricing Exact American Call Option Pricing Analytical Approximations of American Option Prices The Binomial Model and American Option Prices Conclusion Questions and Problems Notes 507 507 507 510 511 512 517 521 533 534 536 16 Options on Stock Indexes, Foreign Currency, and Futures Overview European Option Pricing Option Sensitivities Pricing American Options Conclusion Questions and Problems Notes 537 537 538 545 547 558 560 560 17 The Options Approach to Corporate Securities Overview Equity and a Pure Discount Bond Senior and Subordinated Debt Callable Bonds Convertible Bonds Warrants Conclusion Questions and Problems Notes 562 562 563 566 568 570 571 572 573 576 X11 CONTENTS 18 Exotic Options Overview Assumptions of the Analysis and the Pricing Environment Forward-Start Options Compound Options Chooser Options Barrier Options Binary Options Lookback Options Average Price Options Exchange Options Rainbow Options Conclusion Questions and Problems Notes 577 577 578 578 580 583 589 597 604 607 610 613 621 622 623 19 Interest Rate Options Overview Interest Rate Options: Markets and Instruments The Term Structure of Interest Rates Stripped Treasury Securities and Forward Rate Agreements (FRAs) The Option-Adjusted Spread (OAS) The Black Model Applications of the Black Model Forward Put-Call Parity Caps, Floors, and Collars Conclusion Questions and Problems Notes 626 626 627 631 636 639 643 645 655 659 665 666 668 20 The Swaps Market: Introduction Overview Swaps The Swaps Market Plain Vanilla Swaps Motivations for Swaps Swap Facilitators Pricing of Swaps Swap Portfolios Beyond Plain Vanilla Swaps Commodity Swaps Equity Swaps Swaptions Conclusion Questions and Problems Notes 670 670 671 671 673 680 686 689 691 697 702 703 704 708 709 712 CONTENTS XI11 21 Swaps: Economic Analysis and Pricing Overview The Economic Analysis of Swaps Interest Rate Swap Pricing Currency Swap Pricing Conclusion Questions and Problems Notes 715 715 716 741 747 752 752 761 22 Swaps: Applications Overview The Parallel Loan--How Swaps Began Creating Synthetic Securities with Swaps The All-In Cost B. F. Goodrich­Rabobank Interest Rate Swap The Duration of Interest Rate Swaps Interest Rate Immunization with Swaps Structured Notes Pricing Flavored Interest Rate and Currency Swaps Equity Swap Pricing and Applications Swaption Pricing and Applications Day Count Conventions Conclusion Questions and Problems Notes 762 762 763 764 768 771 774 776 783 795 807 812 821 824 825 835 OPTION! Installation and Tutorial Installation Tutorial: Introduction Entering Data and Calculating a Solution OPTION! Hot Buttons and Menu Commands Creating Graphs in OPTION! Moving and Zooming Graphs Printing Graphs Saving a Graph to a File 837 837 837 838 840 843 844 845 846 Exercises for OPTION! Appendix A Summary of Accounting Rules for Derivative Instruments Appendix B Cumulative Distribution Function for the Standard Normal Random Variable Answers to Selected End-of-Chapter Problems Index 848 864 870 871 879

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