<br /><br />自己亲手做的目录，看起来就容易多了。
即使目录字也很多，一个金币辛苦费~~




Chapter 1 Introduction 23
1.1 Exchange-traded markets 24
1.2 Over-the-counter markets 25
1.3 Forward contracts 27
1.4 Futures contracts 29
1.5 Options 29
1.6 Types of traders 31
1.7 Hedgers 32
1.8 Speculators 35
1.9 Arbitrageurs 37
1.10 Dangers 38
Summary 38
Further reading 40
Practice questions 40
Further questions 42
Chapter 2 Mechanics of futures markets 44
2.1 Background 44
2.2 Specification of a futures contract 46
2.3 Convergence of futures price to spot price 48
2.4 The operation of margins 49
2.5 OTC markets 52
2.6 Market quotes 55
2.7 Delivery 58
2.8 Types of traders and types of orders 59
2.9 Regulation 60
2.10 Accounting and tax 61
2.11 Forward vs. futures contracts 63
Summary 64
Further reading 65
Practice questions 65
Further questions 67
Chapter 3 Hedging strategies using futures 69
3.1 Basic principles 69
3.2 Arguments for and against hedging 71
3.3 Basis risk 74
3.4 Cross hedging 78
3.5 Stock index futures 82
3.6 Stack and roll 87
Summary 89
Further reading 90
Practice questions 91
Further questions 93
Appendix: Capital asset pricing model 95
Chapter 4 Interest rates 97
4.1 Types of rates 97
4.2 Measuring interest rates 99
4.3 Zero rates 102
4.4 Bond pricing 102
4.5 Determining Treasury zero rates 104
4.6 Forward rates 106
4.7 Forward rate agreements 108
4.8 Duration 111
4.9 Convexity 114
4.10 Theories of the term structure of interest rates 115
Summary 118
Further reading 119
Practice questions 119
Further questions 121
Chapter 5 Determination of forward and futures prices 123
5.1 Investment assets vs. consumption assets 123
5.2 Short selling 124
5.3 Assumptions and notation 125
5.4 Forward price for an investment asset 126
5.5 Known income 129
5.6 Known yield 127
5.7 Valuing forward contracts 131
5.8 Are forward prices and futures prices equal? 133
5.9 Futures prices of stock indices 134
5.10 Forward and futures contracts on currencies 136
5.11 Futures on commodities 139
5.12 The cost of carry 142
5.13 Delivery options 143
5.14 Futures prices and the expected future spot price 143
Summary 145
Further reading 147
Practice questions 147
Further questions 149
Chapter 6 Interest rate futures 151
6.1 Day count and quotation conventions 151
6.2 Treasury bond futures 154
6.3 Eurodollar futures 159
6.4 Duration-based hedging strategies using futures 164
6.5 Hedging portfolios of assets and liabilities 165
Summary 166
Further reading 167
Practice questions 167
Further questions 169
Chapter 7 Swaps 170
7.1 Mechanics of interest rate swaps 170
7.2 Day count issues 176
7.3 Confirmations 177
7.4 The comparative-advantage argument 178
7.5 The nature of swap rates 180
7.6 Determining the LIBOR swap zero rates 181
7.7 Valuation of interest rate swaps 182
7.8 Overnight indexed swaps 186
7.9 Currency swaps 187
7.10 Valuation of currency swaps 190
7.11 Credit risk 193
7.12 Other types of swaps 195
Summary 197
Further reading 198
Practice questions 198
Further questions 200
Chapter 8 Securitization and the Credit Crisis of 2007 202
8.1 Securitization 202
8.2 The US housing market 206
8.3 What went wrong? 210
8.4 The aftermath 212
Summary 213
Further reading 214
Practice questions 215
Further questions 215
Chapter 9 Mechanics of options markets 216
9.1 Types of options 216
9.2 Option positions 218
9.3 Underlying assets 220
9.4 Specification of stock options 221
9.5 Trading 225
9.6 Co1nmissions 226
9.7 Margins 227
9.8 The options clearing corporation 228
9.9 Regulation 229
9.10 Taxation 229
9.11 Warrants, employee stock options, and convertibles 231
9.12 Over-the-counter markets 232
Summary 232
Further reading 233
Practice questions 233
Further questions 235
Chapter 10 Properties of stock options 236
10.1 Factors affecting option prices 236
10.2 Assumptions and notation 240
10.3 Upper and lower bounds for option prices 240
10.4 Put-call parity 243
10.5 Calls on a non-dividend-paying stock 247
10.6 Puts on a non-dividend-paying stock 248
10.7 Effect of dividends 251
Summary 252
Further reading 253
Practice questions 253
Further questions 255
Chapter 11 Trading strategies involving options 256
11.1 Principal-protected notes 256
11.2 Trading an option and the underlying asset 258
11.3 Spreads 260
11.4 Combinations 268
11.5 Other payoffs 271
Summary 271
Further reading 272
Practice questions 272
Further questions 274
Chapter 12 Binomial trees 275
12.1 A one-step binomial model and a no-arbitrage argument 275
12.2 Risk-neutral valuation 279
12.3 Two-step binomial trees 281
12.4 A put example 284
12.5 American options 285
12.6 Delta 286
12.7 Matching volatility with u and d 287
12.8 The binomial tree formulas 289
12.9 Increasing the number of steps 290
12.10 Using DerivaGem 291
12.11 Options on other assets 291
Summary 294
Further reading 295
Practice questions 296
Further questions 297
Appendix: Derivation of the Black-Scholes-Merton option-pricing formula from a binomial tree 298
Chapter 13 Wiener processes and Ito's lemma 302
13.1 The Markov property 302
13.2 Continuous-time stochastic processes 303
13.3 The process for a stock price 308
13.4 The parameters 311
13.5 Correlated processes 312
13.6 Ito's lemma 313
13.7 The lognormal property 314
Summary 315
Further reading 316
Practice questions 316
Further questions 317
Appendix: Derivation of Ito's lemma 319
Chapter 14 The Black-Scholes-Merton model 321
14.1 Lognormal property of stock prices 322
14.2 The distribution of the rate of return 323
14.3 The expected return 324
14.4 Volatility 325
14.5 The idea underlying the Black-Scholes-Merton differential equation 329
14.6 Derivation of the Black-Scholes-Merton differential equation 331
14.7 Risk-neutral valuation 333
14.8 Black-Scholes-Merton pricing formulas 335
14.9 Cumulative normal distribution equation 337
14.10 Warrants and employee stock options 338
14.11 Implied volatilities 340
14.12 Dividends 342
Summary 345
Further reading 346
Practice questions 347
Further questions 350
Appendix: Proof of Black-Scholes-Merton formula using risk-neutral valuation 351
Chapter 15 Employee stock options 354
15.1 Contractual arrangements 354
15.2 Do options align the interests of shareholders and managers? 356
15.3 Accounting issues 357
15.4 Valuation 358
15.5 Backdating scandals 363
Summary 364
Further reading 365
Practice questions 365
Further questions 366
Chapter 16 Options on stock indices and currencies 367
16.1 Options on stock indices 367
16.2 Currency options 369
16.3 Options on stocks paying known dividend yields 372
16.4 Valuation of European stock index options 374
16.5 Valuation of European currency options 377
16.6 American options 378
Summary 379
Further reading 379
Practice questions 380
Further questions 382

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