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Derivatives
Overview of Derivatives Market
What is a Derivative?
Forward Commitments and Contingent Claims
Common Derivative Products
Purpose of Derivatives and Role of Arbitrage
Futures and Forwards
Forward Contracts
Settlement of Forward Contracts
Forward Contract Termination Prior to Expiry
End-user Vs. Dealers in a Forward Contract
Equity Forward Contracts
Forward Contracts on Zero-coupon and Coupon Bonds
Eurodollar Time Deposit Market, LIBOR and EURIBOR
Forward Rate Agreements
Currency Forward Contracts
Characteristics of Futures Contracts
Role of Margin Money in Futures Trading
Price Limits in Futures Contracts
Margin Requirements
How Futures Contracts are Terminated/Settled?
Characteristics of Different Types of Futures Contracts
Options
Introduction to Options
Identifying an Option
Moneyness of Options
How and Where are Options Traded
Types of Options
Interest Rate Options Vs. FRAs
Interest Rate Caps
Interest Rate Floors
Interest Rate Collars
Option Payoffs
The Option Premium
Minimum and Maximum Value of European/American Options
Upper and Lower Bounds - Examples
Impact of Exercise Price and Time to Expiry on Option Prices
Put-Call Parity
Put Call Parity and Arbitrage Opportunity
How Cash Flows of Underlying Asset Affect Put-Call Parity and Lower Bounds of Option Prices
Should American Options be Exercised Early?
How Interest Rates and Volatility Affect Option Prices
Swaps
Interest Rate Swaps
Details of an Interest Rate Swap Contract
Swap Termination
Currency Swaps
Equity Swaps
Risk Management Applications of Option Strategies
Introduction and Important Notations
Call Option Payoff
Put Option Payoff
Covered Call
Protective Put / Covered Put
Option Strategies Spreadsheet
How and Where are Options Traded
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