Bund options:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke
Macmillan u.a.
1991
|
| Edition: | 1. publ. |
| Series: | Finance and capital markets
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 247 S. graph. Darst. |
| ISBN: | 1561590428 0333569105 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Dedication vii
Preface ix
1 Basics of Options on Bund Futures 1
Why options exist 1
The two kinds of options 3
Disposition of options contracts 5
Exercise and assignment of options 8
Why options are tied to the underlying market 9
Options as the good and bad features of the underlying asset 12
Splitting a short underlying position into good and bad parts 15
2 Basic Concepts in Options Pricing 20
In the money 20
At the money 21
Out of the money 21
Fundamental components of an options price 21
3 Advanced Concepts in Options Pricing 43
Role of option pricing models in option evaluation 43
Option derivatives 44
The appropriate pricing model for options on bund futures 57
Put call parity: the fundamental arbitrage relationship 57
Effects of interest rates on option prices 64
4 Directional Trading Strategies 68
Possible viewpoints for the underlying Bund futures market and
volatility 68
Vertical spreads 82
5 Volatility Trading Strategies 90
How to make money from a change in volatility 90
Bund Options
The pure buying volatility strategies 94
Leaning volatility buying strategies: ratio back spreads 99
Pure selling volatility strategies 105
Leaning volatility selling strategies: ratio spreads 118
Difference between trading Bund futures and Bund options 124
6 Option Arbitrage 125
Calendar spreads 125
Delta neutral trading 130
Pure arbitrage strategies 138
7 Option Hedging Strategies 152
Basic considerations in designing a hedging strategy 152
Relationship between Bundesanleihen and Bund futures 154
Example 1: buying Bund futures against call options 157
Example 2: buying a put option on Bund futures 167
Example 3: selling call options on Bund futures against a
Bundesanleihe 172
Example 4: selling put options 177
8 Bund Option Portfolio Application 181
90/10 money market strategy 181
90/10 plus strategy for options on Bund futures 183
Zero cost options hedging strategy 186
Portfolio insurance 190
Fallacy of delta hedging a Bundesanleihe 199
Comparison of alternative hedging strategies for the holder of a
Bundesanleihen portfolio 201
9 Risk Management of Bund Options 206
A Bund option risk analysis computer program 207
Bund option sample trade entry spreadsheet 211
Applications of computer risk analysis programs to the
management of Bund option portfolios by market makers 221
How to reduce the risk of the Bund option portfolio 221
10 Operations, Accounting and Taxation Issues for Bund Options 224
The clearing house and its role 224
Mechanisms of margining 225
Margining of Bund options on the LIFFE 228
Accounting and taxation of options on Bund futures in the UK 232
Accounting and taxation of Bund options in Germany 238
|
| any_adam_object | 1 |
| author | Tompkins, Robert |
| author_facet | Tompkins, Robert |
| author_role | aut |
| author_sort | Tompkins, Robert |
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| building | Verbundindex |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.60943 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV005881369 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:36:15Z |
| institution | BVB |
| isbn | 1561590428 0333569105 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-003682872 |
| oclc_num | 877587892 |
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| owner_facet | DE-384 DE-11 |
| physical | X, 247 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Macmillan u.a. |
| record_format | marc |
| series2 | Finance and capital markets |
| spelling | Tompkins, Robert Verfasser aut Bund options Robert Tompkins 1. publ. Basingstoke Macmillan u.a. 1991 X, 247 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003682872&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tompkins, Robert Bund options Optionsgeschäft (DE-588)4043670-6 gnd |
| subject_GND | (DE-588)4043670-6 |
| title | Bund options |
| title_auth | Bund options |
| title_exact_search | Bund options |
| title_full | Bund options Robert Tompkins |
| title_fullStr | Bund options Robert Tompkins |
| title_full_unstemmed | Bund options Robert Tompkins |
| title_short | Bund options |
| title_sort | bund options |
| topic | Optionsgeschäft (DE-588)4043670-6 gnd |
| topic_facet | Optionsgeschäft |
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