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İÇİNDEKİLER
Contents
Abstract 7
Author 9
List of Tables 15
List of Figures 17
Introduction 19
1. DERIVATIVES MARKETS 21
1.1. Development of Commodity Derivatives Markets 25
1.2. Development of Financial Derivatives Markets 32
1.3. Major Commodity Derivatives Markets 38
1.3.1. CME Group 39
1.3.2. London Metal Exchange (LME) 40
1.3.3. Minneapolis Grain Exchange (MGE) 41
1.3.4. Intercontinental Exchange (ICE) 42
1.3.5. European Energy Exchange (EEX Group) 43
1.3.6. Tokyo Commodity Exchange (TOCOM) 43
1.3.7. Multi Commodity Exchange of India Limited (MCX) 44
1.3.8. Dalian Commodity Exchange (DCE) 46
1.4. Over The Counter (OTC) Markets 46
1.5. Clearinghouse in Derivatives Markets 48
1.6. Market Makers in Derivatives Markets 50
1.7. Quotes in Derivatives Markets 50
1.8. Derivatives Markets in Turkey 51
2. FUTURES CONTRACTS 53
2.1. Margin 57
2.2. Futures Market Orders 62
2.3. Basis and Spread 64
2.4. Pricing 65
2.4.1. Pricing Perishable Commodity Futures Contracts. 68
2.4.2. Pricing Storable Commodity Futures Contracts 69
2.4.3. Pricing Financial Futures Contracts 72
2.4.3.1. Pricing Stock Index Futures Contracts 72
2.4.3.2. Pricing of Currency Futures Contracts 77
2.4.3.3. Pricing of Fixed–Income Securities Contracts 78
2.5. Hedging with Futures Contracts 79
2.5.1. Short Hedge 79
2.5.2. Long Hedge 82
2.5.3. Hedging against Currency Risk 83
2.5.4. Forward Hedge 85
2.5.4. Cross Hedge 85
2.5.5. Micro/Macro Hedge 86
2.5.6. Strip/Stack Hedge 87
2.5.7. Hedging by Minimizing Risk / Hedge Ratio 88
2.6. Investing in Commodity Futures Contracts 91
2.7. Crypto Futures Contracts 99
3. OPTION CONTRACTS 105
3.1. Notation 107
3.2. Option Positions 108
3.2.1. Long Call 109
3.2.2. Short Call 111
3.2.3. Long Put 113
3.2.4. Short Put 115
3.2.5. In the Money, at the Money, out of the Money 117
3.3. Position and Transaction Limits 117
3.4. Option Strategies 118
3.4.1. Long Straddle 118
3.4.2. Short Straddle 122
3.4.3. Long Strangle 126
3.4.4. Short Strangle 127
3.4.5. Bull Spread with Calls 128
3.4.6. Bear Spread with Calls 131
3.4.7. Bull Spread with Puts 133
3.4.8. Bear Spread with Puts 134
3.4.9. Butterfly Spread Long Call 135
3.4.10. Butterfly Spread Short Call 139
3.4.11. Butterfly Spread Put Long 140
3.4.12. Butterfly Spread Short Put 143
3.4.13. Option Combinations and Option Returns 144
3.5. Factors Affecting the Price of an Option 146
3.6. Black–Scholes Option Pricing Model 148
3.7. Greek’s 150
3.7.1. Delta 150
3.7.2. Theta 152
3.7.3. Gamma 153
3.7.4. Vega 153
3.7.5. Rho 154
3.8. Real Estate–Based Option Contracts 155
4. OTHER DERIVATIVES PRODUCTS LINKED TO COMMODITIES 159
4.1. Commodity Swaps 159
4.2. Commodity Futures Options 160
4.3. Warrants 161
4.4. Commodity–Linked Debt Instruments 162
5. SWAPS 165
5.1. Interest Rate Swaps 166
5.2. Swap Valuation 168
5.3. Foreign Exchange Swaps 170
5.4. Credit Default Swaps 175
References 181 |
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