The Eurodollar Futures and Options Handbook

by Burghardt, Galen

• ISBN13: 9780071418553
• ISBN10: 0071418555
• Edition: 1st
• Format: Hardcover
• Copyright: 2003-07-14
• Publisher: McGraw Hill

Summary

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
Foreword
The Emergence of the Eurodollar Market
The Emergence of the Eurodollar Market	p. 3
Building Blocks: Eurodollar Futures
The Eurodollar Time Deposit	p. 23
The Eurodollar Futures Contract	p. 29
Forward and Futures Interest Rates	p. 43
Hedging with Eurodollar Futures	p. 69
Pricing and Hedging a Swap with Eurodollar Futures	p. 95
Eurodollar Futures Applications
The Convexity Bias in Eurodollar Futures	p. 135
Convexity Bias Report Card	p. 179
New Convexity Bias Series	p. 185
Convexity Bias: An Update	p. 189
Measuring and Trading Term TED Spreads	p. 195
TED Spreads: An Update	p. 243
Hedging and Trading with Eurodollar Stacks, Packs, and Bundles	p. 249
Hedging Extension and Compression Risk in Callable Agency Notes	p. 281
Opportunities in the S&P 500 Calendar Roll	p. 311
Trading the Turn: 1993	p. 323
The Turn: An Update	p. 343
Building Blocks: Eurodollar Options
The Eurodollar Option Contract	p. 351
Price, Volatility, ad Risk Parameter Conventions	p. 363
Caps, Floors, and Eurodollar Options	p. 375
Structure and Patterns of Eurodollar Rate Volatility	p. 381
Practical Considerations	p. 399
Eurodollar Option Applications
Trading with Serial and Mid-curve Eurodollar Options	p. 405
Serial and Mid-curve Options: An Update	p. 427
What Happens to Eurodollar Volatility When Rates Fall?	p. 429
Eurodollar Volatility: An Update	p. 437
Hedging Convexity Bias	p. 441
Glossary	p. 453
Index	p. 463
Table of Contents provided by Blackwell. All Rights Reserved.