- Cover
- About the Authors
- About the Companion Site
- Preface
- CHAPTER 1: Derivative Securities
- PART I: FORWARDS AND FUTURES
- CHAPTER 2: Futures Markets
- CHAPTER 3: Forward and Futures Prices
- CHAPTER 4: Futures: Hedging and Speculation
- CHAPTER 5: Index Futures
- CHAPTER 6: Strategies: Stock Index Futures
- 6.1 UNDERPRICED STOCKS: HEDGING MARKET RISK
- 6.2 OVERPRICED STOCKS: HEDGING MARKET RISK
- 6.3 MARKET-NEUTRAL HEDGE FUND
- 6.4 LONG-SHORT HEDGE FUND
- 6.5 CHANGING STOCK MARKET EXPOSURE
- 6.6 MERGER ARBITRAGE
- 6.7 SUMMARY
- APPENDIX 6.A: STOCK PICKING AND MARKET RISK
- APPENDIX 6.B: MARKET TIMING
- APPENDIX 6.C: HEDGING: LONG-SHORT PORTFOLIO
- APPENDIX 6.D: MERGER ARBITRAGE AND HEDGING
- EXERCISES
- NOTES
- CHAPTER 7: Currency Forwards and Futures
- PART II: FIXED INCOME: CASH MARKETS
- PART III: FIXED INCOME FUTURES CONTRACTS
- CHAPTER 11: Interest Rate Futures
- 11.1 THREE-MONTH EURODOLLAR FUTURES CONTRACT
- 11.2 STERLING 3-MONTH FUTURES CONTRACT
- 11.3 T-BILL FUTURES
- 11.4 FUTURES PRICE AND FORWARD RATES
- 11.5 PRICING INTEREST RATE FUTURES
- 11.6 ARBITRAGE: IMPLIED REPO RATE
- 11.7 SPECULATION
- 11.8 SPREAD TRADES
- 11.9 SUMMARY
- APPENDIX 11.A: FUTURES PRICES AND INTEREST RATES
- EXERCISES
- NOTES
- CHAPTER 12: Hedging with Interest Rate Futures
- CHAPTER 13: T-bond Futures
- 13.1 CONTRACT SPECIFICATIONS
- 13.2 CONVERSION FACTOR AND CHEAPEST-TO-DELIVER
- 13.3 HEDGING USING T-BONDS
- 13.4 HEDGING: FURTHER ISSUES
- 13.5 MARKET TIMING
- 13.6 WILD CARD PLAY
- 13.7 PRICING T-BOND FUTURES
- 13.8 T-BOND FUTURES SPREADS
- 13.9 SUMMARY
- APPENDIX 13.A: HEDGING: DURATION AND MARKET TIMING
- APPENDIX 13.B: IMPLIED REPO RATE AND ARBITRAGE
- EXERCISES
- NOTES
- CHAPTER 11: Interest Rate Futures
- PART IV: OPTIONS
- PART V: OPTIONS PRICING
- PART VI: THE GREEKS
- PART VII: ADVANCED OPTIONS
- PART VIII: SWAPS
- PART IX: FIXED INCOME DERIVATIVES
- PART X: CREDIT DERIVATIVES
- PART XI: MARKET RISK
- PART XII: PRICE DYNAMICS
- Glossary
- Bibliography
- Author Index
- Subject Index
- End User License Agreement
About the Companion Site
This book is accompanied by a companion website:
www.wiley.com/go/derivativestheorypractice
The website includes the following materials for instructors (password protected) and students (open access):
Instructors:
- Additional exercises
- Multiple Choice Questions
- PowerPoint slides
- MATLAB and Excel files
Students:
- Answers to end of chapter exercises
- MATLAB and Excel files (interactive) to reproduce tables/graphs in the text.
-
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