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| Preface | |
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| Acknowledgments | |
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| List of Abbreviations | |
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| Futures Markets: Introduction | |
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| Overview | |
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| Origins of Forward Contracting | |
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| Forward versus Futures Markets | |
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| Exchanges and Types of Futures | |
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| Purposes of Futures Markets | |
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| Regulation of Futures Markets | |
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| Commodity Futures Trading Commission (CFTC) | |
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| Recent Regulatory Initiatives | |
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| Taxation of Futures Trading | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Futures Markets: Refinements | |
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| Overview | |
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| Margins: a Closer Look | |
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| Margins for Combinations of Futures Positions | |
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| Intermarket Cross-Margining | |
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| The Span Margin System | |
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| Value-at-Risk (VAR) | |
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| Exchange Competition | |
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| Contract Innovation and Contract Success | |
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| Brokers, Advisors, and Commodity Fund Managers | |
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| The Internationalization of Futures Markets | |
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| Electronic Futures Trading | |
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| Current Futures Industry Issues | |
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| Market Manipulation | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Futures Prices | |
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| Overview | |
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| Reading Futures Prices | |
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| The Basis and Spreads | |
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| Models of Futures Prices | |
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| Futures Prices and Expectations | |
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| Futures Prices and Risk Aversion | |
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| Characteristics of Futures Prices | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Using Futures Markets | |
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| Overview | |
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| Price Discovery | |
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| Speculation | |
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| Speculative Profits | |
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| Hedging | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Agricultural, Energy, and Metallurgical Futures Contracts | |
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| Overview | |
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| Commodity Characteristics | |
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| Full Carry Markets - Precious Metals | |
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| Commodities with Seasonal Production | |
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| Commodities with Seasonal Consumption | |
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| Commodities with Poor Storability | |
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| Bull and Bear Intercommodity Spreads | |
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| Inter-Commodity Spread Relationships | |
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| Feeder Cattle and Live Cattle | |
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| Hedging | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| A Bond Primer | |
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| Overview | |
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| Yield Concepts | |
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| Bond Price Changes | |
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| Convexity | |
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| The Term Structure of Interest Rates | |
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| Theories of the Term Structure | |
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| Bond Portfolio Maturity Strategies | |
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| Portfolio Immunization Techniques | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Interest Rate Futures: Introduction | |
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| Overview | |
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| TIEE 28 Futures | |
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| Longer-Maturity Interest Rate Futures | |
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| Pricing Interest Rate Futures Contracts | |
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| Speculating with Interest Rate Futures | |
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| Hedging with Interest Rate Futures | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Interest Rate Futures: Refinements | |
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| Overview | |
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| The T-Bond Futures Contract in Detail | |
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| Seller's Options in T-Bond Futures | |
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| Interest Rate Futures Market Efficiency | |
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| Applications: Eurodollar and T-Bill Futures | |
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| Long-Term Capital Management | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Security Futures Products: Introduction | |
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| Overview | |
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| The Indexes | |
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| Stock Index Futures Contracts | |
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| Stock Index Futures Prices | |
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| Index Arbitrage and Program Trading | |
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| Speculating with Stock Index Futures | |
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| Single Stock Futures | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Security Futures Products: Refinements | |
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| Overview | |
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| Stock Index Futures Prices | |
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| Real World Program Trading | |
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| Hedging with Stock Index Futures | |
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| Asset Allocation | |
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| Hedge Fund Uses of Stock Index Futures | |
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| Portfolio Insurance | |
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| Index Futures and Stock Market Volatility | |
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| Index Futures and Stock Market Crashes | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Foreign Exchange Futures | |
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| Overview | |
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| Price Quotations | |
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| Geographical and Cross-Rate Arbitrage | |
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| Forward and Futures Market Characteristics | |
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| European Monetary Union | |
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| Determinants of Foreign Exchange Rates | |
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| Forward and Futures Prices for Foreign Exchange | |
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| More Futures Price Parity Relationships | |
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| Foreign Exchange Forecasting Accuracy | |
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| The Efficiency of Foreign Exchange Futures Markets | |
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| Speculation in Foreign Exchange Futures | |
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| Hedging with Foreign Exchange Futures | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| An Options Primer | |
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| Overview | |
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| Options and Options Markets | |
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| Option Pricing | |
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| The Option Pricing Model | |
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| Speculating with Options | |
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| Hedging with Options | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Options on Futures | |
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| Overview | |
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| Characteristics of Options on Physicals and Options on Futures | |
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| The Market for Options on Futures | |
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| Pricing of Futures Options | |
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| Price Relationships Between Options on Physicals and Options on Futures | |
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| Summary | |
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| Put-Call Parity for Futures Options | |
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| Options on Futures and Synthetic Futures | |
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| Risk Management with Options on Futures | |
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| Summary | |
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| Why Futures Options? | |
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| Conclusion | |
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| Questions and Problems | |
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| Notes | |
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| Core Principles for Futures Exchanges and Clearinghouses | |
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| Summary of Accounting Rules for Derivative Instruments | |
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| Introduction | |
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| Instruments Covered by FAS 133 | |
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| The Basic Accounting Strategy | |
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| Designation of a Derivatives Position as a Hedging Instrument | |
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| Recognized Types of Hedges | |
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| Accounting for Embedded Derivative Instruments | |
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| Special Provisions for Not-for-Profit Organizations | |
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| Disclosure Requirements | |
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| Summary | |
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| Top 40 Futures Commission Merchants in the United States by Net Capital (6/30/2004) | |
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| Cumulative Distribution Function for the Standard Normal Random Variable | |
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| Bibliography | |
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| Index | |