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内容简介
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 Contracts
1.6 History of Options Markets
1.7 Types of Traders
1.8 Hedgers
1.9 Speculators
1.10 Arbitrageurs
1.11 Dangers
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 2:Mechanics of Futures Markets
2.1 Opening and Closing Futures Positions
2.2 The Specification of a Futures Contract
2.3 Convergence of Futures Price to Spot Price
2.4 The Operation of Margins
2.5 Newspaper Quotes
2.6 Delivery
2.7 Types of Traders and Types of Orders
2.8 Regulation
2.9 Accounting and Tax
2.10 Forward vs. Futures Contracts
Summary
Further Reading
Quiz
Questions and Problems
Assignment 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 Rolling the Hedge Forward
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Appendix:Proof of the Minimum Variance Hedge Ratio Formula
Chapter 4:Interest Rates
4.1 Types of Rates
4.2 Measuring Interest Rates
4.3 Zero Rates
4.4 Bond Pricing
4.5 Determining Treasury Zero Rates
4.6 Forward Rates
4.7 Forward-Rate Agreements
4.8 Theories of the Term Structure
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Appendix:Exponential and Logarithm 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 the Expected Spot Prices
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Appendix:Proof that Forward and Futures Prices Are Equal When Interest Rates Are Constant
Chapter 6:Interest Rate Futures
6.1 Day Count Conventions
6.2 Quotations for Treasury Bonds and Bills
6.3 Treasury Bond Futures
6.4 Eurodollar Futures
6.5 Duration
6.6 Duration-Based Hedging Strategies
Summary
Further Reading
Quiz
Questions and Problems
Assignment 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 The Nature of Swap Rates
7.6 Determining LIBOR/Swap Zero Rates
7.7 Valuation of Interest Rate Swaps
7.8 Currency Swaps
7.9 Valuation of Currency Swaps
7.10 Credit Risk
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 8:Mechanics of Options Markets
8.1 Types of Options
8.2 Option Positions
8.3 The Underlying Assets
8.4 Specification of Stock Options
8.5 Newspaper Quotes
8.6 Trading
8.7 Commissions
8.8 Margins
8.9 The Options Clearing Corporation
8.10 Regulation
8.11 Taxation
8.12Warrants,Executive Stock Options,and Convertibles
8.13 Over-the-Counter Markets
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 9:Properties of Stock Options
9.1 Factors Affecting Option Prices
9.2 Assumptions and Notation
9.3 Upper and Lower Bounds for Option Prices
9.4 Put-Call Parity
9.5 Early Exercise:Calls on a Non-Dividend-Paying Stock
9.6 Early Exercise:Puts on a Non-Dividend-Paying Stock
9.7 Effect of Dividends
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 10:Trading Strategies Involving Options
10.1 Strategies Involving a Single Option and a Stock
10.2 Spreads
10.3 Combinations
10.4 Other Payoffs
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 11:Introduction to Binomial Trees
11.1 A One-Step Binomial Model
11.2 Risk-Neutral Valuation
11.3 Two-Step Binomial Trees
11.4 A Put Example
11.5 American Options
11.6 Delta
11.7 Determining u and d
11.8 Increasing the Number of Time Steps
11.9 Options on Other Assets
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 12:Valuing Stock Options:The Black-Scholes Model
12.1Assumptions about How Stock Prices Evolve
12.2 Expected Return
12.3 Volatility
12.4 Estimating Volatility from Historical Data
12.5 Assumptions Underlying Black-Scholes
12.6 The Black-Scholes/Merton Analysis
12.7 Risk-Neutral Valuation
12.8 Implied Volatilities
12.9 Dividends
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Appendix:The Early Exercise of American Call Options on Dividend-Paying Stocks
Chapter 13:Options on Stock Indices and Currencies
13.1 A Simple Rule
13.2 Pricing Formulas
13.3 Binomial Trees
13.4 Options on Stock Indices
13.5 Currency Options
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 14:Futures Options
14.1 Nature of Futures Options
14.2 Quotes
14.3 Reasons for the Popularity of Futures Options
14.4 Put-Call Parity
14.5 Bounds for Futures Options
14.6 Valuation of Futures Options Using Binomial Trees
14.7 A Futures Price as an Asset Providing a Yield
14.8 Black's Model for Valuing Futures Options
14.9 Futures Options vs.Spot Options
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 15:The Greek Letters
15.1 Illustration
15.2 Naked and Covered Positions
15.3 A Stop-Loss Strategy
15.4 Delta Hedging
15.5 Theta
15.6 Gamma
15.7 Relationship between Delta,Theta,and Gamma
15.8 Vega
15.9 Rho
15.10 The Realities of Hedging
15.11 Scenario Analysis
15.12Creating Options Synthetically for Portfolio Insurance
15.13 Stock Market Volatility
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 16:Valuation Using Binomial Trees
16.1 The Binomial Model for a Non-Dividend-Paying Stock
16.2 Using the Binomial Tree for Options on Indices,Currencies,and Futures Contracts
16.3 The Binomial Model for a Dividend-Paying Stock
16.4 Extensions of the Basic Tree Approach
16.5 Alternative Procedure for Constructing Trees
16.6 Monte Carlo Simulation
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 17:Volatility Smiles
17.1 Put-Call Parity Revisited
17.2 Foreign Currency Options
17.3 Equity Options
17.4 The Volatility Term Structure and Volatility Surfaces
17.5 When a Single Large Jump Is Anticipated
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 18:Value at Risk
18.1 The VaR Measure
18.2 Historical Simulation
18.3 Model-Building Approach
18.4 Linear Model
18.5 Quadratic Model
18.6 Estimating Volatilities and Correlations
18.7 Comparison of Approaches
18.8 Stress Testing and Back Testing
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Appendix:Cash-Flow Mapping
Chapter 19: Interest Rate Options
19.1 Exchange-Traded Interest Rate Options
19.2 Embedded Bond Options
19.3 Black's Model
19.4 European Bond Options
19.5 Interest Rate Caps
19.6 European Swap Options
19.7 Term Structure Models
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 20: Exotic Options and Other Nonstandard Products
20.1 Exotic Options
20.2 Mortgage-Backed Securities
20.3 Nonstandard Swaps
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 21:Credit Derivatives
21.1 Credit Default Swaps
21.2 Total Return Swaps
21.3 CDS Forwards and Options
21.4 Collateralized Debt Obligations
Summary
Further Reading
Quiz
Questions and Problems
Assignment Questions
Chapter 22:Weather,Energy,and Insurance Derivatives
22.1 Weather Derivatives
22.2 Energy Derivatives
22.3 Insurance Derivatives
Summary
Further Reading
Quiz
Questions and Problems
Assignment Question
Chapter 23:Derivatives Mishaps and What We Can Learn from Them
23.1 Lessons for All Users of Derivatives
23.2 Lessons for Financial Institutions
23.3 Lessons for Nonfinancial Corporations
Summary
Further Reading
Answers to Quiz Questions
Chapter 1
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Chapter 8
Chapter 9
Chapter 10
Chapter 11
Chapter 12
Chapter 13
Chapter 14
Chapter 15
Chapter 16
Chapter 17
Chapter 18
Chapter 19
Chapter 20
Chapter 21
Chapter 22
Glossary of Terms
Major Exchanges Trading Futures and Options
Table for N(x)When x≤0
Table for N(x)When x≥0
