Fundamentals of Futures and Options Markets
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Fundamentals of Futures and Options Markets presents an accessible and student-friendly overview of the topic without the use of calculus.Introduction; Mechanics of Futures and Forward Markets; Hedging Strategies Using Futures; Interest Rates; Determination of Forward and Futures Prices; Interest Rate Futures; Swaps; Securitization and the Credit Crisis of 2007; Mechanics of Options Markets; Properties of Stock Options; Trading Strategies Involving Options; Introduction to Binomial Trees; Valuing Stock Options: The Black-Scholes-Merton Model; Employee Stock Options; Options on Stock Indices and Currencies; Futures Options; The Greek Letters; Binomial Trees in Practice; Volatility Smiles; Value at Risk; Interest-Rate Options; Exotic Options and Other Non-Standard Instruments; Credit Derivatives; Insurance, Weather, Energy, and Credit Derivatives; Derivatives Disasters and What We Can Learn From Them.For practitioners who want to improve their understanding of futures and options markets.
Ch. 1Introduction1Ch. 2Mechanics of futures markets21Ch. 3Hedging strategies using futures47Ch. 4Interest rates75Ch. 5Determination of forward and futures prices97Ch. 6Interest rate futures127Ch. 7Swaps151Ch. 8Mechanics of options markets181Ch. 9Properties of stock options205Ch. 10Trading strategies involving options225Ch. 11Introduction to binomial trees243Ch. 12Valuing stock options : the black-scholes model263Ch. 13Options on stock indices and currencies287Ch. 14Futures options303Ch. 15The Greek letters317Ch. 16Valuation using binomial trees349Ch. 17Volatility smiles371Ch. 18Value at risk385Ch. 19Interest rate options411Ch. 20Exotic options and other nonstandard products431Ch. 21Credit derivatives449Ch. 22Weather, energy, and insurance derivatives465Ch. 23Derivatives mishaps and what we can learn form them473
