Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part series on securities, 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. Instructions for using the widespread Bloomberg system are interwoven throughout, allowing you to directly apply the techniques and processes discussed using your own data. You'll learn the many analytical functions used to evaluate derivatives, and how these functions are applied within the context of each investment topic covered. All Bloomberg information appears in specified boxes embedded throughout the text, making it easy for you to find it quickly when you need or, or easily skip it in favor of the theory-based text.
Managing securities in today's dynamic and innovative investment environment requires a strong understanding of how the increasing variety of securities, markets, strategies, and methodologies are used. This book gives you a more thorough understanding, and a practical skillset that investment managers need.
- Understand derivatives strategies and models from basic to advanced
- Apply Bloomberg information and analytical functions
- Learn how investment decisions are made in the real world
- Grasp the complexities of securities evaluation, selection, and management
The financial and academic developments of the past twenty years have highlighted the challenge in acquiring a comprehensive understanding of investments and financial markets. Derivatives provides the detailed explanations you've been seeking, and the hands-on training the real world demands.
Table of Contents
Preface ix
Acknowledgments xiii
About the Author xiv
PART 1: FUTURES AND FORWARD CONTRACTS 1
CHAPTER 1 Futures Markets 3
CHAPTER 2 Currency Futures and Forward Contracts 47
CHAPTER 3 Equity Index Futures 78
CHAPTER 4 Interest Rate and Bond Futures and Forward Contracts 121
PART 2: OPTIONS MARKETS AND STRATEGIES 185
CHAPTER 5 Fundamentals of Options Trading 187
CHAPTER 6 Non-Stock Options: Equity Index, Futures, OTC, and Embedded Options 224
CHAPTER 7 Option Strategies 278
CHAPTER 8 Option Hedging 332
PART 3: OPTION PRICING 397
CHAPTER 9 Option Boundary Conditions and Fundamental Price Relations 399
CHAPTER 10 The Binomial Option Pricing Model 439
CHAPTER 11 The Black-Scholes Option Pricing Model 505
CHAPTER 12 Pricing Non-Stock Options and Futures Options 544
CHAPTER 13 Pricing Bond and Interest Rate Options 578
PART 4: FINANCIAL SWAPS 625
CHAPTER 14 Interest Rate Swaps 627
CHAPTER 15 Credit Default and Currency Swaps 673
PART 5: SUPPLEMENTAL APPENDIXES 705
Appendix A Overview and Guide to the Bloomberg System 707
Appendix B Directory Listing of Bloomberg Screens by Menu and Function 742
Appendix C Uses of Exponents and Logarithms 755
Index 761
