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Chapter1 Introduction1

Derivative Markets and Instruments2

Options2

Forward Contracts3

Futures Contracts3

Options on futures4

Swaps and Other Derivatives4

The Underlying Asset5

Some Important Concepts in Financial and Derivative Markets5

Risk Preference5

Short Selling5

Return and Risk6

Market Efficiency and Theoretical Fair Value6

Fundamental Linkages between Spot and Derivative Markets8

Arbitrage and the Law of One Price8

The Storage Mechanism:Spreading Consumption across Time9

Delivery and Settlement10

The Role of Derivative Markets10

Risk Management10

Price Discovery11

Operational Advantages11

Market Efficiency12

Criticisms of Derivative Markets12

Misuses of Derivatives12

Derivatives and Your Career13

Sources of Information on Derivatives14

Summary14

Further Reading14

Questions and Problems15

PART ⅠOptions17

Chapter2 The Structure of Options Markets18

The Development of Options Markets19

Call Options20

Put Options21

The Over-the-Counter Options Market21

Organized Options Trading23

Listing Requirements23

Contract Size23

Exercise Prices24

Expiration Dates24

Position and Exercise Limitw25

Options Exchanges and Trading Activity26

Option Traders27

The Market Maker27

The Floor Broker28

The Order Book Official28

Other Option Trading Systems28

Off-Floor Option Traders29

The Mechanics of Trading29

Placing an Opening Order29

The Role of the Clearinghouse30

Placing an Offsetting Order31

Exercising an Option32

Option Price Quotations33

Types of Options34

Stock Options34

Index Options35

Currency Options36

Other Types of Traded Options36

Real Options37

Transaction Costs in Option Trading38

Floor Trading and Clearing Fees38

Commissions38

Bid-Ask Spread39

Other Trnsaction Costs39

The Regulation of Options Markets40

Summary41

Further Reading41

Questions and Problems41

Appendix2:Margin Requirements43

Chapter3 Prciples of Option Pricing45

Basic Notation and Terminology46

Principles of Call Option Pricing47

The Minimum Value of a Call47

The Maximum Value of a Call49

The Value of a Call at Expiration49

The Effect of Time to Expiration49

The Effect of Exercise Price52

The Lower Bound of a European Call55

American Call Versus European Call58

The Early Exercise of American Calls on Dividend-Paying Stocks59

The Effect of Inrerest Rates60

The Effect of Stock Volatility60

Principles of Put Option Pricing61

The MInimum Value of a Put61

The Maximum Value of a Put62

The Value of a Put at Expiration63

The Effect of Time to Expiration64

The Effect of Exercise Price65

The Lower Bound of a European Put67

American Put Versus European Put70

The Early Exercise of American Puts70

Put-Call Parity70

The Effect of Interest Rates73

The Effect of Stock Volatility74

Summary75

Further Reading76

Questions and Problems77

Appendix 3:The Dynamics of Option Boundary Conditions:A Learning Exercise80

Chapter4 Option Pricing Models:The Binomial Model81

The One-Period Binomial Model82

An Illustrative Example85

A Hedge Portfolio86

An Overpriced Call87

An Underpriced Call87

The Two-Period Binomial Model88

An Illustrative Example91

A Hedge Portfolio92

A Mispriced Call in the Two-Period World94

Extensions of the Binomial Model95

Pricing Put Options95

American Puts and Early Exercise97

Dividends,European Calls,American Calls,and Early Exercise98

Extending the Binomial Model to n Periods103

The Behavior of the Binomial Model for a Large n and a Fixed Option Life105

Alternative Specifications of the Binomial Model106

SOFTWARE DEMONsTRATIoN 4.1109

Calculating the Binomial Price with the Excel Spreadsheet:bsbin3.xls109

Summary109

Further Reading110

Questions and Problems110

Chapter5 Option Pricing Models:The Black-Scholes Model112

The Black-Scholes Model as the Limit of the Binomial Model113

The Assumptions of the Model114

Stock Prices Behaue Randomly and Evolve According to a Lognormal Distribution115

The Risk-Free Rate and Volatility of the Log Return on the Stock Are Constant throughout the Option's Life118

There Are No Taxes or Transaction Costs119

The Stok Pays No Dividends119

The Options Are European120

A Nobel Formula120

A Numerical Example121

SOFTWARE DEMONSTRATION 5.1122

Calculating the Black-Scholes Price with the Excel Spreadsheet:bsbin3.xls122

Characteristics of the Black-Scholes Formula122

The Variables in the Black-Scholes Model126

The Stock Price126

The Exercise Price131

The Risk-Free Rate132

The Volatility or Standard Deviation134

The Time to Expiration136

The Black-Scholes Model When the Stock Pays Dividends138

Known Discrete Dividends138

Known Continuous Dividend Yield139

The Black-Scholes Model and Some Insights into American Call Options141

Estimating the Volatility142

Historical Volatility142

SOFTWARE DEMONsTRATION 5.2143

Calculating the Historical Volatility with the Excel Spreadsheet:hisv2.xls143

Implied Volatility143

Put Option Pricing Models147

Managing the Risk of Options150

Summary155

Further Reading156

Questions and Problems157

Appendix 5:The BSBWIN2.2 Windows Software160

Chapter6 Basic Option Strategies161

Terminology and Notation162

The Profit Equations162

Different Holding Periods164

Assumptions165

Stock Transactions165

Buy Stock165

Sell Short Stock165

Call Option Transactions166

Buv a Call166

Write a Call170

Put Option Transactions173

Buy a Put173

Write a Put175

Calls and Stock:The Covered Call178

Some General Considerations with Covered Calls183

Puts and Stock:The Protective Put184

Synthetic Puts and Calls187

SOFTWARE DEMONSTRATION 6.1190

Analyzing Option Strategies with the Excel Spreadsheet:stratlyz3.xls190

Summary190

Questions and Problems191

PART ⅡForwards,Futures,and Swaps193

Chapter7 The Structure of Forward and Futures Marketa194

The Development of Forward and Futures Markets195

Chicago Futures Markets195

The Development of Financial Futures196

The Development of Options on Futures Markets197

The Parallel Development of Over-the-Counter Markets198

The Over-the-Counter Forward Market198

Organized Futures Trading199

Contract Development199

Contract Terms and Conditions200

Delivery Terms201

Daily Price Limits and Trading Halts201

Other Exchange Responsibilities202

Futures Exchanges202

Futures Traders204

General Classes of Futures Traders204

Classification by Trading Strategy204

Classification by Trading Style204

Off-Floor Futures Traders206

Forward Market Traders206

The Mechanics of Futures Trading206

Placing an Order207

The Role of the Clearinghouse207

Daily Settlement208

Delivery and Cash Settlement211

Futures Price Quotations212

Types of Futures Contracts213

Agricultural Commodities213

Natural Resources213

Miscellaneous Commodities214

Foreign Currencies214

Treasury Bills and Eurodollars214

Treasury Notes and Bouds214

Equities215

Managed Funds215

Hedge Funds217

Options on Futures218

Transaction Costs in Forward and Futures Trading218

Commissions218

Bid-Ask Spread218

Delivery Costs219

The Regulation of Futures and Forward Markets219

Summary220

Further Reading221

Questions and Problems221

Chapter8 Principles of Pricing Forwards,Futures,and Options on Futures223

Properties of Forward and Futures Prices224

The Concept of Price versus Value224

The Value of a Forward Contract224

The Value of a Futures Contract226

Forward versus Futures Prices228

A Forward and Futures Pricing Model230

SpotPrices,RiskPremiums,and the Cost of Carry for Generic Assets230

The Theoretical Fair Price232

Futures Prices and Risk Premia237

Forward and Futures Pricing When the Underlying Generates Cash Flows240

Another Look at Valuation of Forward Contracts243

Pricing Foreign Currency Forward and Futures Contracts:Interest Rate Parity244

Prices of Futures Contracts of Different Expirations246

Put-Call-Forward/Futures Parity247

Pricing Options on Futures248

The Intrinsic Value of an American Option on Futures249

The Lower Bound of a European Option on Futures249

Put-Call Parity of Options on Futures251

Early Exercise of Call and Put Options on Futures252

The Black Option on Futures Pricing Model253

Summary257

Further Reading258

Questions and Problems259

Chapter9 Forward and Futures Hedging Strategies260

Hedging Concepts261

Short Hedge and Long Hedge261

The Basis261

Some Risks of Hedging264

Contract Choice265

Margin Requirements and Marking to Market267

Determination of the Hedge Ratio269

Minimum Variance Hedge Ratio269

Price Sensitivity Hedge Ratio271

Stock Index Futures Hedging273

Tailing the Hedge274

Hedging Strategies274

Foreign Currency Hedges275

Intermediate-and Long-Term Interest Rate Hedges277

Stock Market Hedges280

Summary284

Further Reading285

Questions and Problems285

Appendix9:Derivation of the Hedge Ratio288

Minimum Variance Hedge Ratio288

Price Sensitivity Hedge Ratio288

Chapter10 Swaps290

Interest Rate Swaps292

The Structure of a Typical Interest Rate Swap292

The Pricing and Valuation of Interest Rate Swaps295

Interest Rate Swap Strategies301

Currency Swaps303

The Structure of a Typical Currency Swap303

The Pricing and Valuation of Currency Swaps305

Currency Swap Strategies309

Equity Swaps312

The Structure of a Typical Equity Swap313

Pricing and Valuation of Equity Swaps314

Equity Swap Strategies318

Some Final Words about Swaps320

Summary321

Further Reading321

Questions and Problems322

PART ⅢAdvanced Topics325

Chapter11 Interest Rate Forwards and Options326

Forward Rate Agreements327

The Structure and Use of a Typical FRA327

The Pricing and Valuation of FRAs329

Applications of FRAs331

Interest Rate Options333

The Structure and Use of a Typical Interest Rate Option334

Pricing and Valuation of Interest Rate Options335

Interest Rate Option Strategies336

Interest Rate Caps,Floors,and Collars341

Interest Rate Options,FRAs,and Swaps347

Summary348

Further Reading348

Questions and Problems349

Chapter12 Financial Risk Management Techniques and Applications352

Why Practice Risk Management?353

The Impetus for Risk Management353

The Benefits of Risk Management353

Managing Market Risk355

Delta Hedging356

Gamma Hedging358

Vega Hedging360

Value at Risk (VAR)362

Benefits and Criticisms of VAR368

Managing Credit Risk369

Option Pricing Theory and Credit Risk369

The Credit Risk of Derivatives371

Netting374

Credit Derivatives376

Other Types of Risks378

Summary382

Further Reading382

Questions and Problems383

Appendix 12:Monte Carlo Simulation385

Chapter13 Managing Risk in an Organization388

The Structure of the Risk Management Industry389

End Users389

Dealers390

Other Participants in the Risk Management Industry391

Organizing the Risk Management Function in a Company392

Risk Management Accounting395

Fair Value Hedges396

Cash Flow Hedges397

Foreign Investment Hedges399

Speculation399

Some Problems in the Application of FAS 133399

Disclosure400

Risk Management Industry Standards400

Responsibilities of Senior Management406

Summary407

Further Reading407

Questions and Problems408