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Eurodollar Futures and Options Handbook

ISBN-10: 0071418555
ISBN-13: 9780071418553
Edition: 2003
Authors: Galen Burghardt
List price: $84.00 Buy it from $65.85
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Description: A Eurodollar is a dollar that is held outside the U.S., for example in a London bank. This book is about trading in Eurodollar futures. It begins with elementary material, but incorporates a broad range of recent research that has transformed  More...

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Book details

List price: $84.00
Copyright year: 2003
Publisher: McGraw-Hill Education
Publication date: 7/14/2003
Binding: Hardcover
Pages: 350
Size: 6.25" wide x 9.00" long x 1.50" tall
Weight: 1.848
Language: English

A Eurodollar is a dollar that is held outside the U.S., for example in a London bank. This book is about trading in Eurodollar futures. It begins with elementary material, but incorporates a broad range of recent research that has transformed understanding of the Eurodollar market.

Galen Burghardt, Ph.D., is senior vice president and director of research for Calyon Financial . An adjunct professor of finance at the University of Chicago Graduate School of Business, Dr. Burghardt is the former vice president of financial research for the Chicago Mercantile Exchange. He is the author of The Eurodollar Futures and Options Handbook.Terry Belton, Ph.D., is managing director, and head of U.S. fixed income strategy at JPMorgan. An adjunct professor of finance at the University of Chicago Graduate School of Business, Dr. Belton was formerly director of research for Discount Corporation of New York Futures and a senior economist at Freddie Mac.

List of Exhibits
List of Examples
List of Equations
List of Contributors
Foreword
The Emergence of the Eurodollar Market
The Emergence of the Eurodollar Market
Building Blocks: Eurodollar Futures
The Eurodollar Time Deposit
The Eurodollar Futures Contract
Forward and Futures Interest Rates
Hedging with Eurodollar Futures
Pricing and Hedging a Swap with Eurodollar Futures
Eurodollar Futures Applications
The Convexity Bias in Eurodollar Futures
Convexity Bias Report Card
New Convexity Bias Series
Convexity Bias: An Update
Measuring and Trading Term TED Spreads
TED Spreads: An Update
Hedging and Trading with Eurodollar Stacks, Packs, and Bundles
Hedging Extension and Compression Risk in Callable Agency Notes
Opportunities in the S&P 500 Calendar Roll
Trading the Turn: 1993
The Turn: An Update
Building Blocks: Eurodollar Options
The Eurodollar Option Contract
Price, Volatility, ad Risk Parameter Conventions
Caps, Floors, and Eurodollar Options
Structure and Patterns of Eurodollar Rate Volatility
Practical Considerations
Eurodollar Option Applications
Trading with Serial and Mid-curve Eurodollar Options
Serial and Mid-curve Options: An Update
What Happens to Eurodollar Volatility When Rates Fall?
Eurodollar Volatility: An Update
Hedging Convexity Bias
Glossary
Index

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