期货与期权市场导论 第5版 英文PDF|Epub|txt|kindle电子书版本网盘下载

期货与期权市场导论 第5版 英文PDF格式电子书版下载

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Chapter 1:Introduction1

1.1 Futures Contracts1

1.2 History of Futures Markets2

1.3 The Over-the-Counter Market3

1.4 Forward Contracts5

1.5 Options Contracts6

1.6 History of Options Markets8

1.7 Types of Traders9

1.8 Hedgers9

1.9 Speculators11

1.10 Arbitrageurs14

1.11 Dangers15

Summary15

Further Reading16

Quiz16

Questions and Problems17

Assignment Questions18

Chapter 2:Mechanics of Futures Markets21

2.1 Opening and Closing Futures Positions21

2.2 The Specification of a Futures Contract22

2.3 Convergence of Futures Price to Spot Price25

2.4 The Operation of Margins26

2.5 Newspaper Quotes31

2.6 Delivery35

2.7 Types of Traders and Types of Orders36

2.8 Regulation37

2.9 Accounting and Tax38

2.10 Forward vs. Futures Contracts40

Summary42

Further Reading43

Quiz44

Questions and Problems44

Assignment Questions45

Chapter 3:Hedging Strategies Using Futures47

3.1 Basic Principles47

3.2 Arguments for and against Hedging50

3.3 Basis Risk53

3.4 Cross Hedging58

3.5 Stock Index Futures61

3.6 Rolling the Hedge Forward68

Summary69

Further Reading70

Quiz71

Questions and Problems71

Assignment Questions72

Appendix:Proof of the Minimum Variance Hedge Ratio Formula74

Chapter 4:Interest Rates75

4.1 Types of Rates75

4.2 Measuring Interest Rates77

4.3 Zero Rates80

4.4 Bond Pricing80

4.5 Determining Treasury Zero Rates82

4.6 Forward Rates84

4.7 Forward-Rate Agreements86

4.8 Theories of the Term Structure89

Summary90

Further Reading90

Quiz90

Questions and Problems91

Assignment Questions92

Appendix:Exponential and Logarithm Functions94

Chapter 5:Determination of Forward and Futures Prices97

5.1 Investment Assets vs.Consumption Assets97

5.2 Short Selling97

5.3 Assumptions and Notation99

5.4 Forward Price for an Investment Asset99

5.5 Known Income102

5.6 Known Yield105

5.7 Valuing Forward Contracts105

5.8 Are Forward Prices and Futures Prices Equal?107

5.9 Futures Prices of Stock Indices108

5.10 Forward and Futures Contracts on Currencies110

5.11 Futures on Commodities114

5.12 The Cost of Carry117

5.13 Delivery Options118

5.14 Futures Prices and the Expected Spot Prices118

Summary120

Further Reading121

Quiz122

Questions and Problems122

Assignment Questions124

Appendix:Proof that Forward and Futures Prices Are Equal When Interest Rates Are Constant125

Chapter 6:Interest Rate Futures127

6.1 Day Count Conventions127

6.2 Quotations for Treasury Bonds and Bills128

6.3 Treasury Bond Futures131

6.4 Eurodollar Futures135

6.5 Duration138

6.6 Duration-Based Hedging Strategies142

Summary146

Further Reading147

Quiz147

Questions and Problems148

Assignment Questions149

Chapter 7:Swaps151

7.1 Mechanics of Interest Rate Swaps151

7.2 Day Count Issues158

7.3 Confirmations158

7.4 The Comparative-Advantage Argument159

7.5 The Nature of Swap Rates162

7.6 Determining LIBOR/Swap Zero Rates163

7.7 Valuation of Interest Rate Swaps164

7.8 Currency Swaps168

7.9 Valuation of Currency Swaps172

7.10 Credit Risk174

Summary176

Further Reading177

Quiz177

Questions and Problems178

Assignment Questions180

Chapter 8:Mechanics of Options Markets181

8.1 Types of Options181

8.2 Option Positions184

8.3 The Underlying Assets186

8.4 Specification of Stock Options187

8.5 Newspaper Quotes191

8.6 Trading191

8.7 Commissions193

8.8 Margins194

8.9 The Options Clearing Corporation196

8.10 Regulation197

8.11 Taxation197

8.12Warrants,Executive Stock Options,and Convertibles198

8.13 Over-the-Counter Markets199

Summary201

Further Reading201

Quiz202

Questions and Problems202

Assignment Questions203

Chapter 9:Properties of Stock Options205

9.1 Factors Affecting Option Prices205

9.2 Assumptions and Notation209

9.3 Upper and Lower Bounds for Option Prices209

9.4 Put-Call Parity213

9.5 Early Exercise:Calls on a Non-Dividend-Paying Stock216

9.6 Early Exercise:Puts on a Non-Dividend-Paying Stock217

9.7 Effect of Dividends219

Summary220

Further Reading221

Quiz221

Questions and Problems222

Assignment Questions223

Chapter 10:Trading Strategies Involving Options225

10.1 Strategies Involving a Single Option and a Stock225

10.2 Spreads227

10.3 Combinations236

10.4 Other Payoffs239

Summary239

Further Reading240

Quiz240

Questions and Problems240

Assignment Questions241

Chapter 11:Introduction to Binomial Trees243

11.1 A One-Step Binomial Model243

11.2 Risk-Neutral Valuation246

11.3 Two-Step Binomial Trees249

11.4 A Put Example251

11.5 American Options252

11.6 Delta253

11.7 Determining u and d254

11.8 Increasing the Number of Time Steps255

11.9 Options on Other Assets256

Summary259

Further Reading260

Quiz260

Questions and Problems261

Assignment Questions262

Chapter 12:Valuing Stock Options:The Black-Scholes Model263

12.1Assumptions about How Stock Prices Evolve263

12.2 Expected Return266

12.3 Volatility267

12.4 Estimating Volatility from Historical Data268

12.5 Assumptions Underlying Black-Scholes271

12.6 The Black-Scholes/Merton Analysis272

12.7 Risk-Neutral Valuation275

12.8 Implied Volatilities276

12.9 Dividends277

Summary279

Further Reading280

Quiz281

Questions and Problems281

Assignment Questions283

Appendix:The Early Exercise of American Call Options on Dividend-Paying Stocks284

Chapter 13:Options on Stock Indices and Currencies287

13.1 A Simple Rule287

13.2 Pricing Formulas289

13.3 Binomial Trees289

13.4 Options on Stock Indices290

13.5 Currency Options296

Summary298

Further Reading299

Quiz299

Questions and Problems300

Assignment Questions301

Chapter 14:Futures Options303

14.1 Nature of Futures Options303

14.2 Quotes304

14.3 Reasons for the Popularity of Futures Options305

14.4 Put-Call Parity308

14.5 Bounds for Futures Options309

14.6 Valuation of Futures Options Using Binomial Trees310

14.7 A Futures Price as an Asset Providing a Yield312

14.8 Black's Model for Valuing Futures Options312

14.9 Futures Options vs.Spot Options313

Summary314

Further Reading314

Quiz315

Questions and Problems315

Assignment Questions316

Chapter 15:The Greek Letters317

15.1 Illustration317

15.2 Naked and Covered Positions318

15.3 A Stop-Loss Strategy318

15.4 Delta Hedging320

15.5 Theta329

15.6 Gamma331

15.7 Relationship between Delta,Theta,and Gamma334

15.8 Vega335

15.9 Rho337

15.10 The Realities of Hedging338

15.11 Scenario Analysis339

15.12Creating Options Synthetically for Portfolio Insurance340

15.13 Stock Market Volatility342

Summary343

Further Reading344

Quiz344

Questions and Problems345

Assignment Questions347

Chapter 16:Valuation Using Binomial Trees349

16.1 The Binomial Model for a Non-Dividend-Paying Stock349

16.2 Using the Binomial Tree for Options on Indices,Currencies,and Futures Contracts356

16.3 The Binomial Model for a Dividend-Paying Stock359

16.4 Extensions of the Basic Tree Approach362

16.5 Alternative Procedure for Constructing Trees363

16.6 Monte Carlo Simulation366

Summary367

Further Reading368

Quiz368

Questions and Problems368

Assignment Questions369

Chapter 17:Volatility Smiles371

17.1 Put-Call Parity Revisited371

17.2 Foreign Currency Options372

17.3 Equity Options376

17.4 The Volatility Term Structure and Volatility Surfaces377

17.5 When a Single Large Jump Is Anticipated379

Summary381

Further Reading381

Quiz382

Questions and Problems382

Assignment Questions383

Chapter 18:Value at Risk385

18.1 The VaR Measure385

18.2 Historical Simulation388

18.3 Model-Building Approach389

18.4 Linear Model393

18.5 Quadratic Model396

18.6 Estimating Volatilities and Correlations398

18.7 Comparison of Approaches402

18.8 Stress Testing and Back Testing403

Summary403

Further Reading404

Quiz405

Questions and Problems405

Assignment Questions407

Appendix:Cash-Flow Mapping409

Chapter 19: Interest Rate Options411

19.1 Exchange-Traded Interest Rate Options411

19.2 Embedded Bond Options413

19.3 Black's Model413

19.4 European Bond Options415

19.5 Interest Rate Caps417

19.6 European Swap Options423

19.7 Term Structure Models426

Summary427

Further Reading427

Quiz428

Questions and Problems428

Assignment Questions429

Chapter 20: Exotic Options and Other Nonstandard Products431

20.1 Exotic Options431

20.2 Mortgage-Backed Securities437

20.3 Nonstandard Swaps438

Summary444

Further Reading445

Quiz446

Questions and Problems447

Assignment Questions448

Chapter 21:Credit Derivatives449

21.1 Credit Default Swaps449

21.2 Total Return Swaps456

21.3 CDS Forwards and Options458

21.4 Collateralized Debt Obligations459

Summary460

Further Reading461

Quiz461

Questions and Problems461

Assignment Questions462

Chapter 22:Weather,Energy,and Insurance Derivatives465

22.1 Weather Derivatives465

22.2 Energy Derivatives466

22.3 Insurance Derivatives469

Summary470

Further Reading471

Quiz471

Questions and Problems472

Assignment Question472

Chapter 23:Derivatives Mishaps and What We Can Learn from Them473

23.1 Lessons for All Users of Derivatives473

23.2 Lessons for Financial Institutions477

23.3 Lessons for Nonfinancial Corporations481

Summary482

Further Reading482

Answers to Quiz Questions485

Chapter 1485

Chapter 2486

Chapter 3486

Chapter 4487

Chapter 5489

Chapter 6489

Chapter 7490

Chapter 8492

Chapter 9494

Chapter 10494

Chapter 11495

Chapter 12497

Chapter 13498

Chapter 14500

Chapter 15500

Chapter 16501

Chapter 17503

Chapter 18503

Chapter 19505

Chapter 20505

Chapter 21506

Chapter 22507

Glossary of Terms509

Major Exchanges Trading Futures and Options525

Table for N(x)When x≤0526

Table for N(x)When x≥0527