Bodie, Zvi, Kane, Alex, Marcus, Alan J.

 

Bodie, Zvi, Kane, Alex

23

38

 

McGraw-Hill (Visit publisher website)

2008

English

 

 

 

Basic

 

 

Investment management, market risk, derivatives (general), modeling derivatives, portfolio theory, futures, swaps, foreign exchange futures, counterparty risk, interest rate parity, covered interest arbitrage, exchange rate risk, stock-index futures, synthetic stock positions with futures, index arbitrage, interest rate futures, interest rate risk, cross-hedging, foreign exchange swap, interest rate swap, swap pricing, commodity futures pricing, storage costs

 

From the book - This chapter explores both pricing and risk management in selected futures markets in more depth. Most of the growth has been in financial futures, which now dominate trading, so we emphasize these contracts. We begin with foreign exchange futures, where we show how forward exchange rates are determined by interest rate differentials across countries, and examine how firms can use futures to manage exchange rate risk. We then move on to stock-index futures, where we focus on program trading and index arbitrage. Next we turn to the most actively traded markets, those for interest rate futures. We also examine commodity futures pricing. Finally, we turn to swaps markets in foreign exchange and fi xed-income securities. We will see that swaps can be interpreted as portfolios of forward contracts and valued accordingly.

 

23.1 Foreign Exchange Futures
23.2 Stock-Index Futures
23.3 Interest Rate Furtures
23.4 Hedging and Hedge Funds
23.5 Swaps
23.6 Commodity Futures Pricing
23.7 Summary
23.8 Key Terms
23.9 Websites
23.10 Problems
23.11 Solutions to Concept Checks

 

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Bodie, Kane, and Marcus’ Investments is the leading textbook for the graduate/MBA investments market. It is recognized as the best blend of practical and theoretical coverage, while maintaining an appropriate rigor and clear writing style. Its unifying theme is that security markets are nearly efficient, meaning that most securities are usually priced appropriately given their risk and return attributes. The text places greater emphasis on asset allocation, and offers a much broader and deeper treatment of futures, options, and other derivative security markets than most investment texts.