List of Exhibits
List of Figures
List of Tables
Preface
PART I: OPTION STRATEGIES AND MARKETS
1: Option Concepts and Fundamental Strategies
2: The Option Market
3: Option Strategies
PART II: OPTION PRICING
4: Fundamental Option Price Relations
5: The Binomial Option Pricing Model
6: The Binomial Pricing of Options on Dividend-Paying Stocks and Stock Indices
7: The Binomial Pricing of Options on Currencies and Bonds
8: The Black Scholes Option Pricing Model
9: Applications of the Option Pricing Model, The Greeks, and Exotic Options
PART III: FUTURES AND FUTURES OPTION CONTRACTS
10: Futures and Forward Contracts
11: Pricing Futures and Forward Contracts
12: Options on Futures Contracts
PART IV: MANAGING EQUITY, CURRENCY, AND DEBT POSITIONS WITH DERIVATIVES
13: Managing Equity Positions with Stock Index Derivatives
14: Managing Foreign Currency Positions with Derivatives
15: Managing Fixed-Income Positions with Interest-Rate Derivatives
16: Managing Fixed-Income Positions with OTC Derivatives
PART IV: SWAPS
17: Interest Rate Swaps
18: Swap Derivatives: Forward Swaps and Swaptions
19: Swap Valuation
20: Currency and Credit Swaps
PART V: EMBEDDED OPTIONS AND ASSET-BACKED SECURITIES
21: Embedded Options
22: Mortgage and Asset-Backed Securities and Their Derivatives
APPENDIX A: Exponents and Logarithms
APPENDIX B: Statistical Concepts
APPENDIX C: Bond Fundamentals
APPENDIX D: Guide to Derivative Excel Programs
APPENDIX E: Guide to Bloomberg's Derivative Information and Programs
ANSWERS TO SELECTED END-OF-THE- PROBLEMS
GLOSSERY OF TERMS
Index