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Chapter1 Introduction 1

Derivative Markets and Instruments 2

Options 2

Forward Contracts 3

Futures Contracts 3

Options on futures 4

Swaps and Other Derivatives 4

The Underlying Asset 5

Some Important Concepts in Financial and Derivative Markets 5

Risk Preference 5

Short Selling 5

Return and Risk 6

Market Efficiency and Theoretical Fair Value 6

Fundamental Linkages between Spot and Derivative Markets 8

Arbitrage and the Law of One Price 8

The Storage Mechanism:Spreading Consumption across Time 9

Delivery and Settlement 10

The Role of Derivative Markets 10

Risk Management 10

Price Discovery 11

Operational Advantages 11

Market Efficiency 12

Criticisms of Derivative Markets 12

Misuses of Derivatives 12

Derivatives and Your Career 13

Sources of Information on Derivatives 14

Summary 14

Further Reading 14

Questions and Problems 15

PART ⅠOptions 17

Chapter2 The Structure of Options Markets 18

The Development of Options Markets 19

Call Options 20

Put Options 21

The Over-the-Counter Options Market 21

Organized Options Trading 23

Listing Requirements 23

Contract Size 23

Exercise Prices 24

Expiration Dates 24

Position and Exercise Limitw 25

Options Exchanges and Trading Activity 26

Option Traders 27

The Market Maker 27

The Floor Broker 28

The Order Book Official 28

Other Option Trading Systems 28

Off-Floor Option Traders 29

The Mechanics of Trading 29

Placing an Opening Order 29

The Role of the Clearinghouse 30

Placing an Offsetting Order 31

Exercising an Option 32

Option Price Quotations 33

Types of Options 34

Stock Options 34

Index Options 35

Currency Options 36

Other Types of Traded Options 36

Real Options 37

Transaction Costs in Option Trading 38

Floor Trading and Clearing Fees 38

Commissions 38

Bid-Ask Spread 39

Other Trnsaction Costs 39

The Regulation of Options Markets 40

Summary 41

Further Reading 41

Questions and Problems 41

Appendix2:Margin Requirements 43

Chapter3 Prciples of Option Pricing 45

Basic Notation and Terminology 46

Principles of Call Option Pricing 47

The Minimum Value of a Call 47

The Maximum Value of a Call 49

The Value of a Call at Expiration 49

The Effect of Time to Expiration 49

The Effect of Exercise Price 52

The Lower Bound of a European Call 55

American Call Versus European Call 58

The Early Exercise of American Calls on Dividend-Paying Stocks 59

The Effect of Inrerest Rates 60

The Effect of Stock Volatility 60

Principles of Put Option Pricing 61

The MInimum Value of a Put 61

The Maximum Value of a Put 62

The Value of a Put at Expiration 63

The Effect of Time to Expiration 64

The Effect of Exercise Price 65

The Lower Bound of a European Put 67

American Put Versus European Put 70

The Early Exercise of American Puts 70

Put-Call Parity 70

The Effect of Interest Rates 73

The Effect of Stock Volatility 74

Summary 75

Further Reading 76

Questions and Problems 77

Appendix 3:The Dynamics of Option Boundary Conditions:A Learning Exercise 80

Chapter4 Option Pricing Models:The Binomial Model 81

The One-Period Binomial Model 82

An Illustrative Example 85

A Hedge Portfolio 86

An Overpriced Call 87

An Underpriced Call 87

The Two-Period Binomial Model 88

An Illustrative Example 91

A Hedge Portfolio 92

A Mispriced Call in the Two-Period World 94

Extensions of the Binomial Model 95

Pricing Put Options 95

American Puts and Early Exercise 97

Dividends,European Calls,American Calls,and Early Exercise 98

Extending the Binomial Model to n Periods 103

The Behavior of the Binomial Model for a Large n and a Fixed Option Life 105

Alternative Specifications of the Binomial Model 106

SOFTWARE DEMONsTRATIoN 4.1 109

Calculating the Binomial Price with the Excel Spreadsheet:bsbin3.xls 109

Summary 109

Further Reading 110

Questions and Problems 110

Chapter5 Option Pricing Models:The Black-Scholes Model 112

The Black-Scholes Model as the Limit of the Binomial Model 113

The Assumptions of the Model 114

Stock Prices Behaue Randomly and Evolve According to a Lognormal Distribution 115

The Risk-Free Rate and Volatility of the Log Return on the Stock Are Constant throughout the Option's Life 118

There Are No Taxes or Transaction Costs 119

The Stok Pays No Dividends 119

The Options Are European 120

A Nobel Formula 120

A Numerical Example 121

SOFTWARE DEMONSTRATION 5.1 122

Calculating the Black-Scholes Price with the Excel Spreadsheet:bsbin3.xls 122

Characteristics of the Black-Scholes Formula 122

The Variables in the Black-Scholes Model 126

The Stock Price 126

The Exercise Price 131

The Risk-Free Rate 132

The Volatility or Standard Deviation 134

The Time to Expiration 136

The Black-Scholes Model When the Stock Pays Dividends 138

Known Discrete Dividends 138

Known Continuous Dividend Yield 139

The Black-Scholes Model and Some Insights into American Call Options 141

Estimating the Volatility 142

Historical Volatility 142

SOFTWARE DEMONsTRATION 5.2 143

Calculating the Historical Volatility with the Excel Spreadsheet:hisv2.xls 143

Implied Volatility 143

Put Option Pricing Models 147

Managing the Risk of Options 150

Summary 155

Further Reading 156

Questions and Problems 157

Appendix 5:The BSBWIN2.2 Windows Software 160

Chapter6 Basic Option Strategies 161

Terminology and Notation 162

The Profit Equations 162

Different Holding Periods 164

Assumptions 165

Stock Transactions 165

Buy Stock 165

Sell Short Stock 165

Call Option Transactions 166

Buv a Call 166

Write a Call 170

Put Option Transactions 173

Buy a Put 173

Write a Put 175

Calls and Stock:The Covered Call 178

Some General Considerations with Covered Calls 183

Puts and Stock:The Protective Put 184

Synthetic Puts and Calls 187

SOFTWARE DEMONSTRATION 6.1 190

Analyzing Option Strategies with the Excel Spreadsheet:stratlyz3.xls 190

Summary 190

Questions and Problems 191

PART ⅡForwards,Futures,and Swaps 193

Chapter7 The Structure of Forward and Futures Marketa 194

The Development of Forward and Futures Markets 195

Chicago Futures Markets 195

The Development of Financial Futures 196

The Development of Options on Futures Markets 197

The Parallel Development of Over-the-Counter Markets 198

The Over-the-Counter Forward Market 198

Organized Futures Trading 199

Contract Development 199

Contract Terms and Conditions 200

Delivery Terms 201

Daily Price Limits and Trading Halts 201

Other Exchange Responsibilities 202

Futures Exchanges 202

Futures Traders 204

General Classes of Futures Traders 204

Classification by Trading Strategy 204

Classification by Trading Style 204

Off-Floor Futures Traders 206

Forward Market Traders 206

The Mechanics of Futures Trading 206

Placing an Order 207

The Role of the Clearinghouse 207

Daily Settlement 208

Delivery and Cash Settlement 211

Futures Price Quotations 212

Types of Futures Contracts 213

Agricultural Commodities 213

Natural Resources 213

Miscellaneous Commodities 214

Foreign Currencies 214

Treasury Bills and Eurodollars 214

Treasury Notes and Bouds 214

Equities 215

Managed Funds 215

Hedge Funds 217

Options on Futures 218

Transaction Costs in Forward and Futures Trading 218

Commissions 218

Bid-Ask Spread 218

Delivery Costs 219

The Regulation of Futures and Forward Markets 219

Summary 220

Further Reading 221

Questions and Problems 221

Chapter8 Principles of Pricing Forwards,Futures,and Options on Futures 223

Properties of Forward and Futures Prices 224

The Concept of Price versus Value 224

The Value of a Forward Contract 224

The Value of a Futures Contract 226

Forward versus Futures Prices 228

A Forward and Futures Pricing Model 230

SpotPrices,RiskPremiums,and the Cost of Carry for Generic Assets 230

The Theoretical Fair Price 232

Futures Prices and Risk Premia 237

Forward and Futures Pricing When the Underlying Generates Cash Flows 240

Another Look at Valuation of Forward Contracts 243

Pricing Foreign Currency Forward and Futures Contracts:Interest Rate Parity 244

Prices of Futures Contracts of Different Expirations 246

Put-Call-Forward/Futures Parity 247

Pricing Options on Futures 248

The Intrinsic Value of an American Option on Futures 249

The Lower Bound of a European Option on Futures 249

Put-Call Parity of Options on Futures 251

Early Exercise of Call and Put Options on Futures 252

The Black Option on Futures Pricing Model 253

Summary 257

Further Reading 258

Questions and Problems 259

Chapter9 Forward and Futures Hedging Strategies 260

Hedging Concepts 261

Short Hedge and Long Hedge 261

The Basis 261

Some Risks of Hedging 264

Contract Choice 265

Margin Requirements and Marking to Market 267

Determination of the Hedge Ratio 269

Minimum Variance Hedge Ratio 269

Price Sensitivity Hedge Ratio 271

Stock Index Futures Hedging 273

Tailing the Hedge 274

Hedging Strategies 274

Foreign Currency Hedges 275

Intermediate-and Long-Term Interest Rate Hedges 277

Stock Market Hedges 280

Summary 284

Further Reading 285

Questions and Problems 285

Appendix9:Derivation of the Hedge Ratio 288

Minimum Variance Hedge Ratio 288

Price Sensitivity Hedge Ratio 288

Chapter10 Swaps 290

Interest Rate Swaps 292

The Structure of a Typical Interest Rate Swap 292

The Pricing and Valuation of Interest Rate Swaps 295

Interest Rate Swap Strategies 301

Currency Swaps 303

The Structure of a Typical Currency Swap 303

The Pricing and Valuation of Currency Swaps 305

Currency Swap Strategies 309

Equity Swaps 312

The Structure of a Typical Equity Swap 313

Pricing and Valuation of Equity Swaps 314

Equity Swap Strategies 318

Some Final Words about Swaps 320

Summary 321

Further Reading 321

Questions and Problems 322

PART ⅢAdvanced Topics 325

Chapter11 Interest Rate Forwards and Options 326

Forward Rate Agreements 327

The Structure and Use of a Typical FRA 327

The Pricing and Valuation of FRAs 329

Applications of FRAs 331

Interest Rate Options 333

The Structure and Use of a Typical Interest Rate Option 334

Pricing and Valuation of Interest Rate Options 335

Interest Rate Option Strategies 336

Interest Rate Caps,Floors,and Collars 341

Interest Rate Options,FRAs,and Swaps 347

Summary 348

Further Reading 348

Questions and Problems 349

Chapter12 Financial Risk Management Techniques and Applications 352

Why Practice Risk Management? 353

The Impetus for Risk Management 353

The Benefits of Risk Management 353

Managing Market Risk 355

Delta Hedging 356

Gamma Hedging 358

Vega Hedging 360

Value at Risk (VAR) 362

Benefits and Criticisms of VAR 368

Managing Credit Risk 369

Option Pricing Theory and Credit Risk 369

The Credit Risk of Derivatives 371

Netting 374

Credit Derivatives 376

Other Types of Risks 378

Summary 382

Further Reading 382

Questions and Problems 383

Appendix 12:Monte Carlo Simulation 385

Chapter13 Managing Risk in an Organization 388

The Structure of the Risk Management Industry 389

End Users 389

Dealers 390

Other Participants in the Risk Management Industry 391

Organizing the Risk Management Function in a Company 392

Risk Management Accounting 395

Fair Value Hedges 396

Cash Flow Hedges 397

Foreign Investment Hedges 399

Speculation 399

Some Problems in the Application of FAS 133 399

Disclosure 400

Risk Management Industry Standards 400

Responsibilities of Senior Management 406

Summary 407

Further Reading 407

Questions and Problems 408