Kolb, Robert W., Overdahl, James A.

 

Kolb, Robert W., Overdahl, James A.

7

40

 

Blackwell Publishing (Visit publisher website)

2006

English

 

 

 

Basic

 

 

Market risk, interest rate futures, short maturity interest rate futures contracts, Eurodollar futures, Eurobor futures, TIEE 28 futures, Treasury bill futures, longer-maturity interest rate futures, Treasury bond futures, cheapest-to-deliver bond, Treasury note futures, pricing interest rate futures, cost-of-carry model, implied repo rate, speculating with interest rate futures, spreads, outright positions, hedging with interest rate futures, long hedge, cross hedging

 

From the book - This chapter explores one of the most successful and exciting innovations in the history of futures markets – the emergence of interest rate futures contracts. Since the first contracts were traded on October 20, 1975 on the Chicago Board of Trade (CBOT), the market has expanded rapidly. In spite of a number of relatively unsuccessful contracts that have been introduced, the market has been a huge success. Almost all of the activity in the U.S. interest rate futures is concentrated in two exchanges, the CBOT and the International Monetary Market (IMM) of the CME. While this chapter discusses features of many different contracts, we focus on the U.S. Treasury contracts traded on the CBOT and the Eurodollar contract traded on the CME. As we will see, these contracts created the conceptual foundations for most major non-U.S. contracts.

 

7.1 Overview
7.2 TIEE 28 Futures
7.3 Longer-Maturity Interest Rate Futures
7.4 Pricing Interest Rate Futures Contracts
7.5 Speculating with Interest Rate Futures
7.6 Hedging with Interest Rate Futures
7.7 Conclusion
7.8 Questions and Problems
7.9 Notes

 

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Now in its sixth edition, Understanding Futures Markets by Robert Kolb (University of Colorado) and James Overdahl (Chief Economist of the Commodity Futures Trading Commission) provides the most comprehensive coverage of futures markets available. This new edition features updated and enhanced discussions on:

* event markets, proposition markets, weather futures, and macro futures
* globalization of futures markets
* electronic trading platforms and the rise of electronic trading
* manipulation of futures markets and methods of deterrence
* The Commodity Futures Modernization Act of 2000 and its effect on market regulation
* hedging in a corporate environment
* uses of futures by government entities
* energy futures products
* recent fiascos involving energy futures and related derivatives
* single stock futures products and narrow-based stock index futures
* accounting and taxation features of futures markets.

Clearly written and accessible, this is the authoritative text for students and practitioners alike looking for an in-depth treatment of futures markets.