The Eurodollar Futures and Options Handbook

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  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2003-07-14
  • Publisher: McGraw-Hill Education
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Eurodollar trading volume is exploding, with no end in sight tools phenomenal growth.The Eurodollar Futures and Options Handbookprovides traders and investors with the complete range of current research on Eurodollar futures and options, now the most widely traded money market contracts in the world. The only current book on this widely-followed topic, it features chapters written by Eurodollar experts from JP Morgan, Mellon Capital, Merrill Lynch, and other global trading giants, and will quickly become a required reference for all Eurodollar F&O traders and investors.

Author Biography

Galen Burghardt, Ph.D. is senior vice president and director of research for Carr Futures, adjunct professor of finance at the University of Chicago, and an accomplished author on investing.

Table of Contents

List of Exhibits
List of Examples
List of Equations
List of Contributors
The Emergence of the Eurodollar Market
The Emergence of the Eurodollar Marketp. 3
Building Blocks: Eurodollar Futures
The Eurodollar Time Depositp. 23
The Eurodollar Futures Contractp. 29
Forward and Futures Interest Ratesp. 43
Hedging with Eurodollar Futuresp. 69
Pricing and Hedging a Swap with Eurodollar Futuresp. 95
Eurodollar Futures Applications
The Convexity Bias in Eurodollar Futuresp. 135
Convexity Bias Report Cardp. 179
New Convexity Bias Seriesp. 185
Convexity Bias: An Updatep. 189
Measuring and Trading Term TED Spreadsp. 195
TED Spreads: An Updatep. 243
Hedging and Trading with Eurodollar Stacks, Packs, and Bundlesp. 249
Hedging Extension and Compression Risk in Callable Agency Notesp. 281
Opportunities in the S&P 500 Calendar Rollp. 311
Trading the Turn: 1993p. 323
The Turn: An Updatep. 343
Building Blocks: Eurodollar Options
The Eurodollar Option Contractp. 351
Price, Volatility, ad Risk Parameter Conventionsp. 363
Caps, Floors, and Eurodollar Optionsp. 375
Structure and Patterns of Eurodollar Rate Volatilityp. 381
Practical Considerationsp. 399
Eurodollar Option Applications
Trading with Serial and Mid-curve Eurodollar Optionsp. 405
Serial and Mid-curve Options: An Updatep. 427
What Happens to Eurodollar Volatility When Rates Fall?p. 429
Eurodollar Volatility: An Updatep. 437
Hedging Convexity Biasp. 441
Glossaryp. 453
Indexp. 463
Table of Contents provided by Blackwell. All Rights Reserved.

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