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| Author's acknowledgements | |
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| Publisher's acknowledgements | |
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| Foreword | |
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| Contributors | |
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| Background and development of the derivatives markets | |
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| Introduction | |
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| Definition and key features | |
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| Uses of derivatives | |
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| Range of derivatives | |
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| Increasing use of the Central Counterparty Model (CCP) | |
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| Risk and benchmarking | |
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| Market volumes | |
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| Users and uses of derivatives | |
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| Straight Through Processing (STP) | |
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| Market fundamentals | |
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| Introduction | |
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| How banks generate income | |
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| Three key assumptions | |
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| Role and use of LIBOR | |
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| Day counts | |
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| Financial maths | |
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| Calculating forward rates | |
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| Marking to market | |
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| Yield curves | |
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| Quiz | |
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| Derivatives fundamentals | |
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| Range of derivatives | |
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| What is a vanilla trade? | |
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| Settlement | |
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| Triggers | |
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| Liquidity and credit risk | |
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| Understanding the underlying | |
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| Benchmarks | |
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| Fair value | |
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| Dealing with derivatives | |
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| Basic option concepts | |
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| Introduction | |
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| Option pricing | |
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| Option mechanics | |
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| Interest rate derivatives - single settlement instruments | |
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| Background and development | |
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| Single settlement interest rate derivatives | |
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| Financial futures contracts | |
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| Forward rate agreements (FRAs) | |
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| Interest rate options (IROs) | |
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| Premium determinantsQuiz | |
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| Interest rate derivatives | |
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| Introduction | |
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| Interest rate caps and floors | |
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| Interest rate collars | |
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| Interest rate swapsQuiz | |
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| Benchmarking in the OTC derivatives markets | |
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| Financial benchmarking for derivatives | |
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| Operational risk measurements for derivatives | |
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| Markit Annual Scorecard | |
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| Conclusion | |
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| Credit derivatives | |
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| Introduction | |
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| What is credit risk? | |
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| Style of trading | |
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| Default data | |
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| The first deals | |
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| Range of credit derivatives | |
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| Credit default swaps | |
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| Total return swaps | |
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| Beyond a vanilla CDS | |
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| Introduction | |
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| Credit indices | |
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| CDOs | |
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| Where next? | |
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| Currency derivatives | |
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| Introduction | |
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| Over the counter currency options | |
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| Currency options: reduced premium strategies | |
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| Simple exotic structures | |
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| Currency swaps | |
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| Exchange-traded instruments | |
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| ConclusionQuiz | |
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| Equity derivatives | |
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| Introduction | |
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| Background | |
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| Single stocks or equity indices? | |
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| Stock index futures | |
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| Stock index options | |
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| Single stock options | |
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| Equity index swaps | |
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| Using equity derivatives in investment products | |
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| Equity investment | |
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| The development of the UK and European markets for equity-based retail products | |
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| Constructing a capital protected growth product with equity derivatives | |
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| Income paying capital-at-risk products | |
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| Calculation of income level | |
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| The risk to capital | |
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| The most common structural variations used in the equity derivative market | |
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| Commodity derivatives | |
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| Introduction | |
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| Exchange-traded energy derivatives | |
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| Exchange-tr | |