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Understanding Futures Markets

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ISBN-10: 1405134038

ISBN-13: 9781405134033

Edition: 6th 2006 (Revised)

Authors: Robert W. Kolb, James A. Overdahl, Giuseppe Bertola

List price: $105.00
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Description:

Featuring updated and enhanced discussions on futures markets, this edition considers topics such as the globalization of futures markets, electronic trading platforms and the rise of electronic trading and The Commodity Futures Modernization Act and its effect on market regulation.
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Book details

List price: $105.00
Edition: 6th
Copyright year: 2006
Publisher: John Wiley & Sons, Incorporated
Publication date: 4/10/2006
Binding: Paperback
Pages: 624
Size: 7.25" wide x 9.50" long x 1.50" tall
Weight: 2.684
Language: English

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