Derivatives Markets and Analysis
Bloomberg Financial 1. Aufl.
A practical, informative guide to derivatives in the real world 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.
Preface Acknowledgments About the Author Part I: Futures and Forward Contracts Chapter 1: Futures Markets The Nature of Futures Trading and the Role of the Clearinghouse Types of Futures Contracts The Organized Markets and Characteristics of Futures Trading Commodity Futures Hedging Commodity Speculating with Futures Pricing Futures and Forward Contracts: Carrying-Cost Model Conclusion Bloomberg: Commodity Futures and Related Screens Selected References Problems and Questions Bloomberg Exercises Chapter 2: Currency Futures and Forward Contracts Hedging with Foreign Currency Futures and Forward Contracts Speculating with Foreign Currency Futures and Forward Contracts Hedging and Speculating with Equivalent Money Market Positions Carrying-Cost Model for a Currency Conclusion Bloomberg: Currency Futures and Related Screens Selected References Problems and Questions Bloomberg Exercises Chapter 3: Equity Index Futures Speculative Strategies Hedging Equity Positions Carrying-Cost Model for an Equity Index Non-Equity Indexes Conclusion Bloomberg: Equity Index Futures and Related Screens Selected References Problems and Questions Bloomberg Exercises Chapter 4: Interest Rate and Bond Futures and Forward Contracts Speculating with Interest Rate and Bond Futures Contracts Hedging with Interest Rate and Bond Futures Contracts Pricing Interest Rate and Bond Futures Conclusion Selected References Problems and Questions Bloomberg Exercises Bloomberg: Bond and Interest Rate Futures and Related Screens Appendix 4A: T-Bond and T-Note Delivery Procedures Part II: Options Markets and Strategies Chapter 5: Fundamentals of Options Trading Option Terminology Fundamental Option Strategies Other Option Strategies Option Price Relations Put-Call Parity Option Exchanges Conclusion Bloomberg: Options Screens Selected References Problems and Questions Bloomberg Exercises Chapter 6: Non-Stock Options: Equity Index, Futures, OTC, and Embedded Options Equity-Index Options Futures Options Over-the-Counter Options Convertible Securities Embedded Options Conclusion Bloomberg: Options Screens Selected References Problems and Questions Bloomberg Exercises Chapter 7: Option Strategies Call Purchase Call Purchases in Conjunction with Other Positions Naked Call Write Covered Call Write Ratio Call Write Put Purchase Naked Put Write Covered Put Write Ratio Put Write Call Spreads Put Spreads Combinations Condors Simulated Stock Positions Conclusion Bloomberg: Option Scenario Analysis Screen—OSA Selected References Problems and Questions Bloomberg Exercises Chapter 8: Option Hedging Hedging Stock Portfolio Positions Hedging Currency and Commodity Positions Hedging Fixed-Income Positions with Options Conclusion Bloomberg Hedging Screens Selected References Problems and Questions Bloomberg Exercises Part III: Option Pricing Chapter 9: Option Boundary Conditions and Fundamental Price Relations Call Boundary Conditions Put Boundary Conditions Put and Call Boundary Conditions Boundary Conditions Governing Non-Stock Options Conclusion Bloomberg: Chart Screen, OMON, Call, and PUT Selected References Problems and Questions Bloomberg Exercises Chapter 10: The Binomial Option Pricing Model Single-Period BOPM Multiple-Period BOPM Estimating the BOPM Features of the BOPM Conclusion Bloomberg: Screens for Applying the BOPM Selected References Problems and Questions Bloomberg Exercises Appendix 10A: Risk-Neutral Pricing Appendix 10B: Discrete Dividend-Payment Approach Chapter 11: The Black-Scholes Option Pricing Model The Black-Scholes Call Model The Black-Scholes Put Model Estimating the B-S OPM Applications of the OPM Empirical Studies Conclusion Bloomberg Option Valuation Screen, OVME Selected References Problems and Questions Bloomberg Exercises Chapter 12: Pricing Non-Stock Options and Futures Options Pricing of Spot Index and Currency Options Binomial Pricing of Futures Options Pricing Equity Convertibles with the B-S OPM Greeks Conclusion Bloomberg Option Valuation Screens for Indexes and Futures Options, OVME Selected References Problems and Questions Bloomberg Exercises Chapter 13: Pricing Bond and Interest Rate Options The Binomial Interest Rate Model Estimating the Binomial Interest Rate Tree Pricing Bond and Interest Rate Options with the B-S and Black OPMs Conclusion Bloomberg Option Valuation Screens for Bond and Interest Rate Options, OVME Selected References Problems and Questions Bloomberg Exercises Part IV: Financial Swaps Chapter 14: Interest Rate Swaps Generic Interest Rate Swaps Swap Market Swap Valuation Comparative Advantage Swap Applications Forward Swaps Swaptions Non-Generic Swaps Conclusion Bloomberg Screens for Swaps Appendix 14A: Valuation of Forward Swaps and Swaptions Selected References Problems and Questions Bloomberg Exercises Chapter 15: Credit Default and Currency Swaps Generic Credit Default Swap Currency Swaps Conclusion Bloomberg CDS and Currency Swap Screens Selected References Problems and Questions Bloomberg Exercises Supplemental Appendices Appendix A: Overview and Guide to the Bloomberg System Bloomberg System—Bloomberg Keyboard The Bloomberg keyboard allows one to access information within the “Bloomberg Accessing Security Information Indexes Economic, Industry, Law, and Municipal Information Screens Monitor and Portal Screens Portfolios and Baskets Screening and Search Functions The Bloomberg Excel Add-In: Importing Bloomberg into Excel Launchpad Bloomberg Exercises Appendix B: Directory Listing of Bloomberg Screens by Menu and Function Appendix C: Uses of Exponents and Logarithms Exponential Functions Logarithms Rules of Logarithms Uses of Logarithm Index
R. STAFFORD JOHNSON is director for the Smith Center at Xavier University. He is also a professor of finance at the university's Williams College of Business. He is the author of five monographs and six books, including Options and Futures; Introduction to Derivatives; Bond Evaluation, Selection, and Management, Second Edition; Debt Markets and Analysis; and Equity Markets and Portfolio Analysis. He has authored or co-authored over 50 academic journal articles.
Derivatives Markets and Analysis is the final edition in the three-part series on securities from Bloomberg Press's Financial Series. With a firm grasp of fixed-income securities and stock portfolios from Debt Markets and Analysis and Equity Markets and Portfolio Analysis, respectively, you can add derivatives to your skillset with the same breadth of coverage and hands-on application as the other guides in the series. The Black-Scholes Option Pricing Model, index arbitrage, financial engineering, and dynamic portfolio insurance are just a few of the contributions to come out of academia that have advanced the art and science of derivatives trading. This extensive guidebook takes you from basic concepts, theories, and strategies all the way through using advanced models in the real world. Written by an award-winning professor and former director of one of the largest Bloomberg-terminal equipped stations for students, this masterfully designed presentation covers everything you'd expect from a comprehensive resource on derivatives—including futures and forward markets, the carrying-cost model for pricing futures, option strategies, futures options, and swaps—along with explicit guidance for using Bloomberg data and analytic functions for each covered topic. Students preparing for Wall Street and professional traders alike will find the in-depth coverage and quick-reference format they need to enhance their Bloomberg terminal capabilities, including: Practical exercises specifically created for the Bloomberg terminal to both gain familiarity with the system and gain a deeper understanding of market mechanics Several appendices providing convenient, detailed descriptions of the entire Bloomberg system as well as the available analytic functions An accompanying website featuring solutions to problems, how-to videos, versatile spreadsheet programs, and more Everyone managing securities in this fast-paced, continuously evolving market environment needs to have up-to-date information on securities, markets, strategies, and methodologies at their fingertips, and now you have it with Derivatives Markets and Analysis and a Bloomberg terminal.
THE PRACTICAL ROAD MAP FROM THEORY TO PRACTICE ON THE BLOOMBERG TERMINAL Derivatives Markets and Analysis is the comprehensive, A-to-Z guidebook to derivative securities and markets specifically designed to enhance your performance "on the Street." Step-by-step it takes you through market fundamentals, futures and forward contracts, options markets, the pricing of options, and financial swaps. Along the way, it details all the major theories and models used today at state-of-the-art trading desks, complete with exercises and problem-solving exercises tailor fit to execute on your Bloomberg terminal. This dependable reference stays with you while you: Get up to speed on the latest advances in derivatives strategies and models, as well as the real-world complexities of derivative evaluation, selection, and management Develop a firm grasp on the investment decisions and technical nuances required to trade today's derivatives markets and profit Get the most out of Bloomberg information and analytic functions during your daily routine Derivatives Markets and Analysis is your turnkey solution to bring theory to the terminal in the most efficient and profitable way.
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