Derivatives Markets and Analysis

PART 1: FUTURES AND FORWARD CONTRACTS 1

CHAPTER 1

Futures Markets 3

CHAPTER 2

Currency Futures and Forward Contracts 47

CHAPTER 3

Equity Index Futures 78

CHAPTER 4

Interest Rate and Bond Futures and Forward Contracts 121

PART 2: OPTIONS MARKETS AND STRATEGIES 185

CHAPTER 5

Fundamentals of Options Trading 187

CHAPTER 6

Non-Stock Options: Equity Index, Futures, OTC,

and Embedded Options 224

CHAPTER 7

Option Strategies 278

CHAPTER 8

Option Hedging 332

PART 3: OPTION PRICING 397

CHAPTER 9

Option Boundary Conditions and Fundamental Price Relations 399

CHAPTER 10

The Binomial Option Pricing Model 439

CHAPTER 11

The Black-Scholes Option Pricing Model 505

CHAPTER 12

Pricing Non-Stock Options and Futures Options 544

CHAPTER 13

Pricing Bond and Interest Rate Options 578

PART 4: FINANCIAL SWAPS 625

CHAPTER 14

Interest Rate Swaps 627

CHAPTER 15

Credit Default and Currency Swaps 673

PART 5: SUPPLEMENTAL APPENDIXES 705

APPENDIX A

Overview and Guide to the Bloomberg System 707

APPENDIX B

Directory Listing of Bloomberg Screens by Menu and Function 742

APPENDIX C

Uses of Exponents and Logarithms 755

Index 761