Futures, Options and Swaps / Edition 3

Futures, Options and Swaps / Edition 3

by Robert W. Kolb, Robert Kolb

ISBN-10: 0631214992

ISBN-13: 9780631214991

Pub. Date: 08/28/1999

Publisher: Wiley

Futures, Options and Swaps is the American Institute of Management Research's recommended text for students preparing for the Chartered Financial Analyst exam. It is an ideal text for students in finance or economics/finance programs who have completed one semester of investments at either the undergraduate or post-graduate level.


Futures, Options and Swaps is the American Institute of Management Research's recommended text for students preparing for the Chartered Financial Analyst exam. It is an ideal text for students in finance or economics/finance programs who have completed one semester of investments at either the undergraduate or post-graduate level.

Product Details

Publication date:
Edition description:
Older Edition
Product dimensions:
7.74(w) x 9.46(h) x 1.72(d)

Table of Contents


Part I: Futures Markets: An Introduction:.

1. Introduction.

2. Overview.

3. Financial Derivatives.

4. Applications of Financial Derivatives.

5. The Concept of Arbitrage.

6. Organization of the Text.

7. Questions and Problems.

8. Notes.

Part II: Futures Markets:.

9. Overview.

10. Futures Markets.

11. Exchanges and Types of Futures.

12. Purposes of Futures Markets.

13. Regulation of Futures Markets.

14. Taxation of Futures Trading.

15. Brokers, Advisors, and Commodity Fund Managers.

16. The Changing Environment of Futures Markets.

17. Electronic Futures Trading.

18. Market Corners and Squeezes.

19. Conclusion.

20. Questions and Problems.

21. Notes.

Part III: Futures Prices:.

22. Overview.

23. Reading Futures Prices.

24. The Basis and Spreads.

25. Models of Futures Prices.

26. Futures Prices and Expectations.

27. Futures Prices and Risk Aversion.

28. Characteristics of Futures Prices.

29. Conclusion.

30. Questions and Problems.

31. Notes.

Part IV: Using Futures Markets:.

32. Overview.

33. Price Discovery.

34. Speculation.

35. Speculative Profits.

36. Hedging.

37. Conclusion.

38. Questions and Problems.

39. Notes.

Part V: Interest Rate Futures:.


40. Overview.

41. Interest Rate Futures Contracts.

42. Pricing Interest Rate Futures Contracts.

43. Speculating with Interest Rate Futures.

44. Hedging with Interest Rate Futures.

45. Conclusion.

46. Questions and Problems.

47. Notes.

Part VI: Interest Rate Futures: Refinements:.

48. Overview.

49. The T-Bond Futures Contract in Detail.

50. Seller's Options in T-Bond Futures.

51. Interest Rate Futures Market Efficiency.

52. Applications: Eurodollar and T-Bill Futures.

53. Hedging with T-Bond Futures.

54. Conclusion.

55. Questions and Problems.

56. Notes.

Part VII: Stock Index Futures:.


57. Overview.

58. The Four Indexes.

59. Stock Index Futures Contracts.

60. Stock Index Futures Prices.

61. Index Arbitrage and Program Trading.

62. Speculating with Stock Index Futures.

63. Risk Management with Stock Index Futures.

64. Conclusion.

65. Questions and Problems.

66. Notes.

Part VIII: Stock Index Futures:.


67. Overview.

68. Stock Index Futures Prices.

69. Real World Program Trading.

70. Hedging with Stock Index Futures.

71. Asset Allocation.

72. Portfolio Insurance.

73. Index Futures and Stock Market Volatility.

74. Index Futures and Stock Market Crashes.

75. Conclusion.

76. Questions and Problems.

77. Notes.

Part IX: Foreign Exchange Futures:.

78. Overview.

79. Price Quotations.

80. Geographical and Cross-Rate Arbitrage.

81. Forward and Futures Market Characteristics.

82. Determinants of Foreign Exchange Rates.

83. Forward and Futures Prices for Foreign Exchange.

84. More Futures Price Parity Relationships.

85. Foreign Exchange Forecasting Accuracy.

86. The Efficiency of Foreign Exchange Futures Markets.

87. Speculation in Foreign Exchange Futures.

88. Conclusion.

89. Questions and Problems.

90. Notes.

Part X: The Options Market:.

91. Overview.

92. An Option Example.

93. Moneyness.

94. American and European Options.

95. Why Trade Options?.

96. The Option Contract.

97. The Options Market.

98. Option Trading Procedures.

99. The Clearinghouse.

100. Margins.

101. Commissions.

102. Taxation.

103. Conclusion.

104. Questions and Problems.

105. Notes.

Part XI: Option Payoffs and Option Strategies:.

106. Overview.

107. Stocks and Bonds.

108. Option Notation.

109. European and American Option Values at Expiration.

110. Buy or Sell a Call Option.

111. Call Options at Expiration and Arbitrage.

112. Buy or Sell a Put Option 347 Moneyness.

113. Option Combinations.

114. Combining Options with Bonds and Stocks.

115. Conclusion.

116. Questions and Problems.

117. Notes.

Part XII: Bounds on Option Prices:.

118. Overview.

119. The Boundary Space for Call and Put Options.

120. Relationships Between Call Option Prices.

121. Relationships Between Put Option Prices.

122. Option Prices and the Interest Rate.

123. Option Prices and Stock Price Movements.

124. Option Prices and the Riskiness of Stocks.

125. Conclusion.

126. Questions and Problems.

127. Notes.

Part XIII: European Option Pricing:.

128. Overview.

129. The Single-Period Binomial Model.

130. The Multi-Period Binomial Model.

131. Stock Price Movements.

132. The Binomial Approach to the Black-Scholes Model.

133. The Black-Scholes Option Pricing Model.

134. Inputs for the Black-Scholes Model.

135. European Options and Dividends.

136. Tests of the Option Pricing Model.

137. Conclusion.

138. Questions and Problems.

139. Notes.

Part XIV: Option Sensitivities and Option Hedging:.

140. Overview.

141. Option Sensitivities in the Merton and Black-Scholes Models.

142. DELTA.

143. THETA.

144. VEGA.

145. RHO.

146. GAMMA.

147. Creating Neutral Portfolios.

148. Option Sensitivities and Option Trading Strategies.

149. Conclusion.

150. Questions and Problems.

151. Notes.

Part XV: American Option Pricing:.

152. Overview.

153. American versus European Options.

154. Pseudo-American Call Option Pricing.

155. Exact American Call Option Pricing.

156. Analytical Approximations of American Option Prices.

157. The Binomial Model and American Option Prices.

158. Conclusion.

159. Questions and Problems.

160. Notes.

Part XVI: Options on Stock Indexes, Foreign Currency, and Futures:.

161. Overview.

162. European Option Pricing.

163. Option Sensitivities.

164. Pricing American Options.

165. Conclusion.

166. Questions and Problems.

167. Notes.

Part XVII: The Options Approach to Corporate Securities:.

168. Overview.

69. Equity and a Pure Discount Bond.

70. Senior and Subordinated Debt.

171. Callable Bonds.

172. Convertible Bonds.

173. Warrants.

174. Conclusion.

175. Questions and Problems.

176. Notes.

Part XVIII: Exotic Options:.

178. Overview.

179. Assumptions of the Analysis and the Pricing Environment.

180. Forward-Start Options.

181. Compound Options.

182. Chooser Options.

183. Barrier Options.

184. Binary Options.

185. Lookback Options.

186. Average Price Options.

187. Exchange Options.

188. Rainbow Options.

189. Conclusion.

190. Questions and Problems.

191. Notes.

Part XIX: The Swaps Market:.


192. Overview.

193. Swaps.

194. The Swaps Market.

195. Plain Vanilla Swaps.

196. Motivations for Swaps.

197. Swap Facilitators.

198. Pricing of Swaps.

199. Swap Portfolios.

200. Conclusion.

201. Questions and Problems.

202. Notes.

Part XX: The Swaps Market:.


203. Overview.

204. Beyond Plain Vanilla Swaps.

205. Commodity Swaps.

206. Equity Swaps.

207. Forward and Extension Swaps.

208. Swaptions.

209. An Interest Rate Swap as a Portfolio of Forward Contracts.

210. Creating Synthetic Securities with Swaps.

211. The All-In Cost.

212. Conclusion.

213. Questions and Problems.

214. Notes.

Part XXI: OPTION! Installation and Quick Start:.

215. Overview.

216. Features of OPTION! Software.

217. Installation.

218. Quick Start.

219. Summary and Operating Tips.

220. Exercises for OPTION!.

221. Futures Data Guide.

222. Introduction.

223. The Dataset.

224. Data Formats.



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