Derivatives Markets and Analysis

Derivatives Markets and Analysis is designed for professors offering a one-semester derivatives course. Derivatives focuses on derivative securities and the functionality of the Bloomberg system with regards to derivatives. You’ll develop a tighter grasp of the more subtle complexities involved in the evaluation, selection, and management of derivatives, and gain the practical skillset necessary to apply your knowledge to real-world investment situations using the tools and techniques that dominate the industry.

Introduction:

The book is comprehensive, covering derivative securities and markets, the major theories and models, and the practical applications of the models. The book is divided into five parts: Part 1 deals with the markets and strategies associated with futures and forward contracts; Part 2 examines options markets and strategies; Part 3 examines the pricing of options; Part 4 examines financial swaps; and Part 5 provides supplemental appendices.

Part 1 consists of four chapters. Chapter 1 examines the markets, uses, and pricing of commodity futures contracts. Chapter 2 covers futures and forward contracts on currency. Chapter 3 focuses on equity index contracts, and Chapter 4 covers interest rate and bond contracts.

Part 2 consists of four chapters. Stock options are examined in Chapter 5 in terms of fundamental option strategies and the functions and operations of the option exchange. The markets and uses of non-stock options are explored in Chapter 6: equity-index options, futures options, over-the-counter options, convertible securities, and embedded options. In Chapter 7, option analysis is expanded with a more detailed examination of the fundamental strategies and an analysis of other strategies. Finally, in Chapter 8, the hedging uses of options are explored.

Part 3 consists of five chapters. In Chapter 9, the fundamental option pricing relationships and option boundary conditions are presented. The Binomial Option Pricing model is derived in Chapter 10, and the seminal Black-Scholes option pricing model is presented in Chapter 11. In Chapter 12, the pricing of non-stock options is examined: spot indexes, currency options, futures options, and convertibles. The pricing of bond and interest rate options is examined using the binomial interest rate model in Chapter 13.

Part 4 consists of two chapters on financial swaps. The markets, uses, and pricing of generic interest rate swaps, forward swaps, and swaptions are presented in Chapter 14, and the markets, uses, and pricing of credit default swaps and currency swaps are the focus of Chapter 15.

Contents:

• PART 1: FUTURES AND FORWARD CONTRACTS
• PART 2: OPTIONS MARKETS AND STRATEGIES
• PART 3: OPTION PRICING
• PART 4: FINANCIAL SWAPS
• PART 5: SUPPLEMENTAL APPENDIXES

Derivatives Markets and Analysis By R. Stafford Johnson pdf