Futures, Options, and Swaps
A new and updated edition of the most readable, comprehensive text available on derivatives markets.\ \ \ \ \ Utilizes an even more applied approach than previous editions\ \ Provides an excellent balance between introductory and advanced topics\ \ Extensively updated to incorporate and explicate development in the field including the areas of electronic trading platforms, globalization of markets, hedge funds, financial scandals involving derivatives, and government regulation\ \ Revised to...
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Written in an accessible, non-technical style, Futures, Options, and Swaps is the most comprehensive text on derivatives markets available. As the only book to utilize such a reader-friendly, instructive approach, students will find the material readily comprehensible without a professor’s guidance, thereby freeing instructors to cover only the vital topics, or to teach a more technical course.This fifth edition has been extensively revised to address the most recent developments in this rapidly evolving field. New and updated information reflects current conditions in a variety of areas, including electronic trading platforms, globalization of markets, hedge funds, financial scandals involving derivatives, and government regulation. Also new to this edition are text boxes containing anecdotes or vignettes related to topics discussed more formally in the text, and product profiles to describe some of the more successful contracts around the world and to highlight innovative or unusual features of traded contracts. The treatment in this text emphasizes financial derivatives, but it does not neglect traditional commodity futures.An accompanying website can be found online at www.blackwellpublishing.com/kolb, containing the OPTION! program that allows the user to compute virtually every option and swap value discussed in this book, as well as many of the relationships among different option prices. The website also includes more than 80 exercises designed to enhance the understanding of option pricing principles and applications.
Preface1Introduction12Futures Markets133Futures Prices504Using Futures Markets975Interest Rate Futures: Introduction1286Interest Rate Futures: Refinements1647Stock Index Futures: Introduction2198Stock Index Futures: Refinements2439Foreign Currency Futures27510The Options Market30911Option Payoffs and Option Strategies33512Bounds on Option Prices38913European Option Pricing42114Option Sensitivities and Option Hedging46715American Option Pricing50716Options on Stock Indexes, Foreign Currency, and Futures53717The Options Approach to Corporate Securities56218Exotic Options57719Interest Rate Options62620The Swaps Market: Introduction67021Swaps: Economic Analysis and Pricing71522Swaps: Applications762OPTION! Installation and Tutorial837Exercises for OPTION!848App. ASummary of Accounting Rules for Derivative Instruments864App. BCumulative Distribution Function for the Standard Normal Random Variable870Answers to Selected End-of-Chapter Problems871Index879
