Derivatives : theory and practice

Cover -- Title Page -- Copyright -- Contents -- About the Authors -- About the Companion Site -- Preface -- Chapter 1 Derivative Securities -- 1.1 Forwards and Futures -- 1.1.1 Market Classification -- 1.2 Options -- 1.2.1 Call Options -- 1.2.2 Long Call: Speculation -- 1.2.3 Closing Out -- 1.2.4 Put Options -- 1.2.5 Long Put: Speculation -- 1.2.6 Long Put plus Stock: Insurance -- 1.3 Swaps -- 1.4 Hedging, Speculation, and Arbitrage -- 1.4.1 Hedgers -- 1.4.2 Speculators and Leverage -- 1.4.3 Arbitrageurs -- 1.5 Short‐Selling -- 1.6 Summary -- Exercises -- Part I Forwards and Futures -- Chapter 2 Futures Markets -- 2.1 Trading on Futures Markets -- 2.1.1 Standardisation -- 2.2 Futures Exchanges and Traders -- 2.2.1 Futures Trading -- 2.2.2 Trading Costs -- 2.3 Margins and Marking‐to‐Market -- 2.3.1 Price and Position Limits -- 2.3.2 Closing Out -- 2.3.3 Delivery and Settlement -- 2.3.4 Newspaper Quotes -- 2.3.5 Types of Traders -- 2.4 Summary -- Exercises -- Chapter 3 Forward and Futures Prices -- 3.1 Pricing Forward Contracts -- 3.1.1 Non‐income Paying Security -- 3.1.2 Overpriced Futures Contract -- 3.1.3 Underpriced Futures Contract -- 3.1.4 Futures Price at Maturity -- 3.1.5 Impediments to Arbitrage -- 3.1.6 Implied Repo Rate -- 3.2 Dividends, Storage Costs, and Convenience Yield -- 3.2.1 Several Discrete Dividend Payments -- 3.2.2 Bond Futures -- 3.2.3 Continuous Dividend Payments -- 3.3 Commodity Futures -- 3.3.1 Investment Commodities -- 3.3.2 Production Commodities -- 3.3.3 Continuous and Discrete Compounded Rates -- 3.3.4 Non‐storable Commodities -- 3.4 Value of a Forward Contract -- 3.4.1 Value When Initiated -- 3.4.2 Value at Maturity -- 3.4.3 Value of Forward Contract Prior to Expiration -- 3.4.4 Replication Portfolio -- 3.4.5 Underlying Asset Has a Cash Inflow -- 3.5 Summary -- Exercises -- Chapter 4 Futures: Hedging and Speculation.