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 ................................................................