Options, futures, and other derivatives categories

Chapter 1. Introduction

Exchange-traded markets
Over-the-counter markets
Forward contracts
Futures contracts
Options
Types of traders:
Hedgers
Speculators
Arbitrageurs

Chapter 2. Mechanics of futures markets

Specification of a futures contract
Convergence of futures price to spot price
The operation of margin accounts
OTC markets
Market quotes
Delivery
Types of traders and types of orders
Regulation
Accounting and tax
Forward vs futures contracts

Chapter 3. Hedging strategies using futures

Basic principles
Arguments for and against hedging
Basis risk
Cross hedging
Stock index futures
Stack and roll

Chapter 4. Interest rates

Types of rates
Measuring interest rates
Zero rates
Bond pricing
Determining Treasury zero rates
Forward rates
Forward rates agreements
Duration
Convexity
Theories of the term structure of interest rates

Chapter 5. Determination of forward and futures prices

Investment assets vs consumption assets
Short selling
Assumptions and notation
Forward price for an investment asset
Known income
Known yield
Valuing forward contracts
Are forward prices and futures prices equal?
Futures prices of stock indices
Forward and futures contracts on currencies
Futures on commodities
The cost of carry
Delivery options
Futures prices and expected future spot prices

Chapter 6. Interest rate futures

Day count and quotation conventions
Treasuty bond futures
Eurodollar futures
Duration-based hedging strategies using futures
Hedging portfolios of assets and liabilities

Chapter 7. Swaps

Mechanics of interest rate swaps
Day count issues
Confirmations
The comparative-advantage argument
The nature of swap rates
Determining the LIBOR/swap zero rates
Valuation of interest rate swaps
Term structure effects
Fixed-for-fixed currency swaps
Valuation of fixed-for-fixed currency swaps
Other currency swaps
Credit risk
Other types of swaps