## Futures, options and swaps

Author: Kolb, Robert W. Publisher: Blackwell, 2007.Edition: 5th ed.Language: EnglishDescription: 819 p. : Graphs ; 25 cm.ISBN: 9781405150491Type of document: BookBibliography/Index: Includes indexItem type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|

Asia Campus Textbook Collection |
HG6024 .A3 K653 2007
(Browse shelf) 900179942 |
Available | 900179942 |

Includes index

Digitized

Options, futures and swaps Options, futures and swaps Contents Preface Acknowledgments xiv xvii 1 Introduction Overview Derivatives defined Applications of financial derivatives The concept of arbitrage The organization of the text Exercises Notes 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 Market manipulation Conclusion Exercises Notes 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 Exercises Notes viii Contents 4 Using futures markets Overview Price discovery Speculation Speculative profits Hedging Conclusion Exercises Notes 5 Interest rate futures: an introduction Overview Short-maturity interest rate futures contracts Longer-maturity interest rate futures The pricing of interest rate futures contracts Speculating with interest rate futures Hedging with interest rate futures Conclusion Exercises Notes 6 Interest rate futures: refinements Overview The T-bond futures contract in detail Seller's options in T-bond futures The efficiency of the interest rate futures market Applications: Eurodollar and T-bill futures Hedging with T-bond futures Conclusion Exercises Notes 7 Security futures products: an introduction Overview The indexes Stock index futures contracts Stock index futures prices Index arbitrage and program trading Speculating with stock index futures Single stock futures Risk management with security futures products Conclusion Exercises Notes Contents ix 8 Security futures products: refinements Overview Stock index futures prices Real-world program trading Hedging with stock index futures Asset allocation Hedge fund uses of stock index futures Portfolio insurance Index futures and stock market volatility Index futures and stock market crashes Conclusion Exercises Notes 9 Foreign exchange futures Overview Price quotations Geographic and cross-rate arbitrage Forward and futures market characteristics The 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 Exercises Notes 10 The options market Overview An option example Moneyness American and European options Why trade options? The option contract The options marketplace Option trading procedures The clearinghouse Margins Commissions Taxation Conclusion Exercises Notes x Contents 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 Exercises Notes 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 Exercises Notes 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 Black-Scholes model European options and dividends Tests of the option pricing model Conclusion Exercises Notes 14 Option sensitivities and option hedging Overview Option sensitivities in the Merton and Black-Scholes models DELTA THETA Contents xi VEGA RHO GAMMA Creating neutral portfolios Option sensitivities and option trading strategies Conclusion Exercises Note 15 American option pricing Overview American versus European options American versus European calls Dividend capture strategies Pseudo-American call option pricing Exact American call option pricing Analytic approximations of American option prices The binomial model and American option prices Conclusion Exercises Notes 16 Options on stock indexes, foreign currency, and futures Overview European option pricing Option sensitivities Pricing American options Conclusion Exercises Notes 17 The options approach to corporate securities Overview Equity and a pure discount bond Senior and subordinated debt Callable bonds Convertible bonds Warrants Conclusion Exercises Notes 18 Exotic options Overview Assumptions of the analysis and the pricing environment Forward-start options Compound options xii Contents Chooser options Banier options Binary options Lookback options Average price options Exchange options Rainbow options Conclusion Exercises Notes 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 Exercises Notes 20 The swaps market: an 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 Credit swaps Swaptions Conclusion Exercises Notes 21 Swaps: economic analysis and pricing Overview The economic analysis of swaps Interest rate swap pricing Contents xiii Currency swap pricing Swap counterparty credit risk Conclusion Exercises Notes 22 Swaps: applications Overview The parallel loan-how swaps began Creating synthetic securities with swaps The all-in cost The B. F. Goodrich - Rabobank 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 Exercises Notes Appendix A A summary of accounting rules for derivative instruments Appendix B The cumulative distribution function for the standard normal random variable Index

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