The Eurodollar Futures and Options Handbook / Edition 1

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Eurodollar trading volume is exploding, with no end in sight tools phenomenal growth. The Eurodollar Futures and Options Handbook provides traders and investors with the complete range of current research on Eurodollar futures and options, now the most widely traded money market contracts in the world. The only current book on this widely-followed topic, it features chapters written by Eurodollar experts from JP Morgan, Mellon Capital, Merrill Lynch, and other global trading giants, and will quickly become a required reference for all Eurodollar F&O traders and investors.

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Product Details

  • ISBN-13: 9780071418553
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 6/23/2003
  • Series: McGraw-Hill Library of Investment and Finance Series
  • Edition description: First Edition
  • Edition number: 1
  • Pages: 350
  • Sales rank: 1,211,755
  • Product dimensions: 6.30 (w) x 9.30 (h) x 1.40 (d)

Meet the Author

Galen Burghardt, Ph.D. is senior vice president and director of research for Carr Futures, adjunct professor of finance at the University of Chicago, and an accomplished author on investing.

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Table of Contents

List of Exhibits
List of Examples
List of Equations
List of Contributors
Pt. 1 The Emergence of the Eurodollar Market
Ch. 1 The Emergence of the Eurodollar Market 3
Pt. 2 Building Blocks: Eurodollar Futures
Ch. 2 The Eurodollar Time Deposit 23
Ch. 3 The Eurodollar Futures Contract 29
Ch. 4 Forward and Futures Interest Rates 43
Ch. 5 Hedging with Eurodollar Futures 69
Ch. 6 Pricing and Hedging a Swap with Eurodollar Futures 95
Pt. 3 Eurodollar Futures Applications
Ch. 7 The Convexity Bias in Eurodollar Futures 135
Ch. 8 Convexity Bias Report Card 179
Ch. 9 New Convexity Bias Series 185
Ch. 10 Convexity Bias: An Update 189
Ch. 11 Measuring and Trading Term TED Spreads 195
Ch. 12 TED Spreads: An Update 243
Ch. 13 Hedging and Trading with Eurodollar Stacks, Packs, and Bundles 249
Ch. 14 Hedging Extension and Compression Risk in Callable Agency Notes 281
Ch. 15 Opportunities in the S&P 500 Calendar Roll 311
Ch. 16 Trading the Turn: 1993 323
Ch. 17 The Turn: An Update 343
Pt. 4 Building Blocks: Eurodollar Options
Ch. 18 The Eurodollar Option Contract 351
Ch. 19 Price, Volatility, ad Risk Parameter Conventions 363
Ch. 20 Caps, Floors, and Eurodollar Options 375
Ch. 21 Structure and Patterns of Eurodollar Rate Volatility 381
Ch. 22 Practical Considerations 399
Pt. 5 Eurodollar Option Applications
Ch. 23 Trading with Serial and Mid-curve Eurodollar Options 405
Ch. 24 Serial and Mid-curve Options: An Update 427
Ch. 25 What Happens to Eurodollar Volatility When Rates Fall? 429
Ch. 26 Eurodollar Volatility: An Update 437
Ch. 27 Hedging Convexity Bias 441
Glossary 453
Index 463
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