Eurodollar Futures and Options Handbook

Today's Most Up-to-Date and Comprehensive Resource for Eurodollar Futures Traders, Hedgers, and ResearchersEurodollar futures, and put and call options traded on those futures, revolutionized the world of banking and finance and are now among the most widely traded money market contracts in the world.The Eurodollar Futures and Options Handbookexplores the complete range of current research and trading practice on these uniquely flexible trading vehicles, and tells you everything you need to know to increase your profits--and, more important, control your losses--when navigating this complex market.Featuring contributions from leading Eurodollar experts, including the author's seminal articles on Eurodollar convexity bias and measuring and trading term TED spreads, this long-awaited book explains: Eurodollar futures--What they are, how they are priced, and how they can be used to hedge interest rate risk and trade the yield curve Eurodollar options-- Structures and patterns of Eurodollar rate volatilities, along with price, volatility, and risk parameter conventions of Eurodollar optionsEurodollar futures and options trading has grown exponentially, with no end in sight to its phenomenal growth. LetThe Eurodollar Futures and Options Handbookarm you with the latest knowledge on these important trading vehicles, and provide you with the strategies and techniques you need to make the most of this liquid and lucrative market.Today's Eurodollar market--the market for dollar denominated deposits outside of the United States--is perhaps the largest and most liquid of the world's short-term dollar markets and is becoming the new standard of value for fixed income markets. For over a decade, futures and options traders in this market have relied onEurodollar Futures and Options(by Burghardt, Belton, Lane, Luce, and McVey) for accurate market analysis coupled with solid, results-oriented trading and hedging strategies. Markets have changed dramatically, however, and the need for a comprehensive new handbook has become obvious and acute.The Eurodollar Futures and Options Handbooktakes over where that book left off and incorporates all of the major advances in understanding how Eurodollar futures and options work and how traders and hedgers should use them. With contributions from Galen Burghardt, his colleagues, and collaborators, this hands-on volume focuses on every facet of this powerful market. It provides practitioners with practical, detailed discussions of: The Eurodollar Market--Growth, expansion, and consolidation of the interest rate markets * Key money market developments * The birth of Eurodollar futures * Exchange-traded money market futures and OTC interest rate swaps Eurodollar Futures--The Eurodollar futures contract * Forward and futures interest rates * Hedging with Eurodollar futures * Pricing and hedging swaps * The convexity bias, with new convexity bias series * Measuring and trading term TED spreads * Hedging and trading with stacks, packs, and bundles * Hedging extension risk in callable agency notes * The S&P 500 calendar roll * Trading the turn Eurodollar Options--The Eurodollar option contract * Price, volatility, and risk parameter conventions * Caps, floors, and Eurodollar options * Structure and patterns of Eurodollar rate volatility * Trading with serial and mid-curve Eurodollar options * Relative versus basis point volatility, including volatility cones * Hedging convexity biasUntil now, most of the material in this book was available only in assorted and often hard to find research notes. Eurodollar futures and options traders had to seek out special courses or know someone who had access to these notes.The Eurodollar Futures and Options Handbookcombines greatly improved basic tools and research applications with currBurghardt, Galen is the author of 'Eurodollar Futures and Options Handbook' with ISBN 9780071418553 and ISBN 0071418555.