Preface: The Demonization of Derivatives xiii
Introduction and Structure of the Book xxi
Mathematical Notation xxix
PART ONE
The Economics of Risk Transfer 1
CHAPTER 1
The Determinants of Financial Innovation 3
CHAPTER 2
Risk, Uncertainty, and Profit 16
CHAPTER 3
Methods of Controlling Risk and Uncertainty 42
CHAPTER 4
Risk Transfer and Contracting Structures 67
CHAPTER 5
The Evolution of Derivatives Activity 83
CHAPTER 6
Derivatives Trading, Clearance, and Settlement 112
ix
x CONTENTS
PART TWO
Derivatives Valuation and Asset Lending 141
CHAPTER 7
Principles of Derivatives Valuation 143
CHAPTER 8
Own Rates of Interest and the Cost of Carry Model 173
CHAPTER 9
The Supply of Storage and the Term Structure of Forward Prices 212
CHAPTER 10
The Term Structure of Interest Rates 228
CHAPTER 11
Basis Relations and Spreads 244
PART THREE
Speculation and Hedging 263
CHAPTER 12
Speculation and the Speculative Risk Premium 265
CHAPTER 13
Hedging Objectives 293
CHAPTER 14
Hedge Ratios 322
CHAPTER 15
Quality Basis Risk 355
CHAPTER 16
Calendar Basis Risk 374
Contents xi
PART FOUR
Appendixes 397
APPENDIX 1
Economic Theory and Equilibrium 399
APPENDIX 2
Derivation of the Fundamental Value Equation 411
APPENDIX 3
Relation between the Cost of Carry Model and the Fundamental
Value Equation 413
References 417
Index 435

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