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Derivatives Markets 3rd Edition.pdf

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    Cover
    Title Page
    Copyright Page
    Contents
    Preface
    ACKNOWLEDGMENTS
    Chapter 1 Introduction to Derivatives
    1.1 What Is a Derivative?
    1.2 An Overview of Financial Markets
    Trading of Financial Assets
    Measures of Market Size and Activity
    Stock and Bond Markets
    Derivatives Markets
    1.3 The Role of Financial Markets
    Financial Markets and the Averages
    Risk-Sharing
    1.4 The Uses of Derivatives
    Uses of Derivatives
    Perspectives on Derivatives
    Financial Engineering and Security Design
    1.5 Buying and Short-Selling Financial Assets
    Transaction Costs and the Bid-Ask Spread
    Ways to Buy or Sell
    Short-Selling
    The Lease Rate of an Asset
    Risk and Scarcity in Short-Selling
    Chapter Summary
    Further Reading
    Problems
    PART ONE: Insurance, Hedging, and Simple Strategies
    Chapter 2 An Introduction to Forwards and Options
    2.1 Forward Contracts
    2.2 Call Options
    2.3 Put Options
    2.4 Summary of Forward and Option Positions
    2.5 Options Are Insurance
    2.6 Example: Equity-Linked CDs
    Chapter Summary
    Further Reading
    Problems
    2.A: More on Buying a Stock Option
    Chapter 3 Insurance, Collars, and Other Strategies
    3.1 Basic Insurance Strategies
    3.2 Put-Call Parity
    3.3 Spreads and Collars
    3.4 Speculating on Volatility
    Chapter Summary
    Further Reading
    Problems
    Chapter 4 Introduction to Risk Management
    4.1 Basic Risk Management: The Producer’s Perspective
    4.2 Basic Risk Management: The Buyer’s Perspective
    4.3 Why Do Firms Manage Risk?
    4.4 Golddiggers Revisited
    4.5 Selecting the Hedge Ratio
    Chapter Summary
    Further Reading
    Problems
    PART TWO: Forwards, Futures, and Swaps
    Chapter 5 Financial Forwards and Futures
    5.1 Alternative Ways to Buy a Stock
    5.2 Prepaid Forward Contracts on Stock
    5.3 Forward Contracts on Stock
    5.4 Futures Contracts
    5.5 Uses of Index Futures
    5.6 Currency Contracts
    5.7 Eurodollar Futures
    Chapter Summary
    Further Reading
    Problems
    5.A: Taxes and the Forward Rate
    5.B: Equating Forwards and Futures
    5.C: Forward and Futures Prices
    Chapter 6 Commodity Forwards and Futures
    6.1 Introduction to Commodity Forwards
    6.2 Equilibrium Pricing of Commodity Forwards
    6.3 Pricing Commodity Forwards by Arbitrage
    6.4 Gold
    6.5 Corn
    6.6 Energy Markets
    6.7 Hedging Strategies
    6.8 Synthetic Commodities
    Chapter Summary
    Further Reading
    Problems
    Chapter 7 Interest Rate Forwards and Futures
    7.1 Bond Basics
    7.2 Forward Rate Agreements, Eurodollar Futures, and Hedging
    7.3 Duration and Convexity
    7.4 Treasury-Bond and Treasury-Note Futures
    7.5 Repurchase Agreements
    Chapter Summary
    Further Reading
    Problems
    7.A: Interest Rate and Bond Price Conventions
    Chapter 8 Swaps
    8.1 An Example of a Commodity Swap
    8.2 Computing the Swap Rate in General
    8.3 Interest Rate Swaps
    8.4 Currency Swaps
    8.5 Swaptions
    8.6 Total Return Swaps
    Chapter Summary
    Further Reading
    Problems
    PART THREE: Options
    Chapter 9 Parity and Other Option Relationships
    9.1 Put-Call Parity
    9.2 Generalized Parity and Exchange Options
    9.3 Comparing Options with Respect to Style, Maturity, and Strike
    Chapter Summary
    Further Reading
    Problems
    9.A: Parity Bounds for American Options
    9.B: Algebraic Proofs of Strike-Price Relations
    Chapter 10 Binomial Option Pricing: Basic Concepts
    10.1 A One-Period Binomial Tree
    10.2 Constructing a Binomial Tree
    10.3 Two or More Binomial Periods
    10.4 Put Options
    10.5 American Options
    10.6 Options on Other Assets
    Chapter Summary
    Further Reading
    Problems
    10.A: Taxes and Option Prices
    Chapter 11 Binomial Option Pricing: Selected Topics
    11.1 Understanding Early Exercise
    11.2 Understanding Risk-Neutral Pricing
    11.3 The Binomial Tree and Lognormality
    11.4 Stocks Paying Discrete Dividends
    Chapter Summary
    Further Reading
    Problems
    11.A: Pricing Options with True Probabilities
    11.B: Why Does Risk-Neutral Pricing Work?
    Chapter 12 The Black-Scholes Formula
    12.1 Introduction to the Black-Scholes Formula
    12.2 Applying the Formula to Other Assets
    12.3 Option Greeks
    12.4 Profit Diagrams Before Maturity
    12.5 Implied Volatility
    12.6 Perpetual American Options
    Chapter Summary
    Further Reading
    Problems
    12.A: The Standard Normal Distribution
    12.B: Formulas for Option Greeks
    Chapter 13 Market-Making and Delta-Hedging
    13.1 What Do Market-Makers Do?
    13.2 Market-Maker Risk
    13.3 Delta-Hedging
    13.4 The Mathematics of Delta-Hedging
    13.5 The Black-Scholes Analysis
    13.6 Market-Making as Insurance
    Chapter Summary
    Further Reading
    Problems
    13.A: Taylor Series Approximations
    13.B: Greeks in the Binomial Model
    Chapter 14 Exotic Options: I
    14.1 Introduction
    14.2 Asian Options
    14.3 Barrier Options
    14.4 Compound Options
    14.5 Gap Options
    14.6 Exchange Options
    Chapter Summary
    Further Reading
    Problems
    14.A: Pricing Formulas for Exotic Options
    PART FOUR: Financial Engineering and Applications
    Chapter 15 Financial Engineering and Security Design
    15.1 The Modigliani-Miller Theorem
    15.2 Structured Notes without Options
    15.3 Structured Notes with Options
    15.4 Strategies Motivated by Tax and Regulatory Considerations
    15.5 Engineered Solutions for Golddiggers
    Chapter Summary
    Further Reading
    Problems
    Chapter 16 Corporate Applications
    16.1 Equity, Debt, and Warrants
    16.2 Compensation Options
    16.3 The Use of Collars in Acquisitions
    Chapter Summary
    Further Reading
    Problems
    16.A: An Alternative Approach to Expensing Option Grants
    Chapter 17 Real Options
    17.1 Investment and the NPV Rule
    17.2 Investment under Uncertainty
    17.3 Real Options in Practice
    17.4 Commodity Extraction as an Option
    17.5 Commodity Extraction with Shutdown and Restart Options
    Chapter Summary
    Further Reading
    Problems
    17.A: Calculation of Optimal Time to Drill an Oil Well
    17.B: The Solution with Shutting Down and Restarting
    PART FIVE: Advanced Pricing Theory and Applications
    Chapter 18 The Lognormal Distribution
    18.1 The Normal Distribution
    18.2 The Lognormal Distribution
    18.3 A Lognormal Model of Stock Prices
    18.4 Lognormal Probability Calculations
    18.5 Estimating the Parameters of a Lognormal Distribution
    18.6 How Are Asset Prices Distributed?
    Chapter Summary
    Further Reading
    Problems
    18.A: The Expectation of a Lognormal Variable
    18.B: Constructing a Normal Probability Plot
    Chapter 19 Monte Carlo Valuation
    19.1 Computing the Option Price as a Discounted Expected Value
    19.2 Computing Random Numbers
    19.3 Simulating Lognormal Stock Prices
    19.4 Monte Carlo Valuation
    19.5 Efficient Monte Carlo Valuation
    19.6 Valuation of American Options
    19.7 The Poisson Distribution
    19.8 Simulating Jumps with the Poisson Distribution
    19.9 Simulating Correlated Stock Prices
    Chapter Summary
    Further Reading
    Problems
    19.A: Formulas for Geometric Average Options
    Chapter 20 Brownian Motion and Itô’s Lemma
    20.1 The Black-Scholes Assumption about Stock Prices
    20.2 Brownian Motion
    20.3 Geometric Brownian Motion
    20.4 Itô’s Lemma
    20.5 The Sharpe Ratio
    20.6 Risk-Neutral Valuation
    20.7 Jumps in the Stock Price
    Chapter Summary
    Further Reading
    Problems
    20.A: Valuation Using Discounted Cash Flow
    Chapter 21 The Black-Scholes-Merton Equation
    21.1 Differential Equations and Valuation under Certainty
    21.2 The Black-Scholes Equation
    21.3 Risk-Neutral Pricing
    21.4 Changing the Numeraire
    21.5 Option Pricing When the Stock Price Can Jump
    Chapter Summary
    Further Reading
    Problems
    21.A: Multivariate Black-Scholes Analysis
    21.B: Proof of Proposition 21.1
    21.C: Solutions for Prices and Probabilities
    Chapter 22 Risk-Neutral and Martingale Pricing
    22.1 Risk Aversion and Marginal Utility
    22.2 The First-Order Condition for Portfolio Selection
    22.3 Change of Measure and Change of Numeraire
    22.4 Examples of Numeraire and Measure Change
    22.5 Examples of Martingale Pricing
    22.6 Example: Long-Maturity Put Options
    Chapter Summary
    Further Reading
    Problems
    22.A: The Portfolio Selection Problem
    22.B: Girsanov’s Theorem
    22.C: Risk-Neutral Pricing and Marginal Utility in the Binomial Model
    Chapter 23 Exotic Options: II
    23.1 All-or-Nothing Options
    23.2 All-or-Nothing Barrier Options
    23.3 Barrier Options
    23.4 Quantos
    23.5 Currency-Linked Options
    23.6 Other Multivariate Options
    Chapter Summary
    Further Reading
    Problems
    23.A: The Reflection Principle
    Chapter 24 Volatility
    24.1 Implied Volatility
    24.2 Measurement and Behavior of Volatility
    24.3 Hedging and Pricing Volatility
    24.4 Extending the Black-Scholes Model
    Chapter Summary
    Further Reading
    Problems
    Chapter 25 Interest Rate and Bond Derivatives
    25.1 An Introduction to Interest Rate Derivatives
    25.2 Interest Rate Derivatives and the Black-Scholes-Merton Approach
    25.3 Continuous-Time Short-Rate Models
    25.4 Short-Rate Models and Interest Rate Trees
    25.5 Market Models
    Chapter Summary
    Further Reading
    Problems
    25.A: Constructing the BDT Tree
    Chapter 26 Value at Risk
    26.1 Value at Risk
    26.2 Issues with VaR
    Chapter Summary
    Further Reading
    Problems
    Chapter 27 Credit Risk
    27.1 Default Concepts and Terminology
    27.2 The Merton Default Model
    27.3 Bond Ratings and Default Experience
    27.4 Credit Default Swaps
    27.5 Tranched Structures
    Chapter Summary
    Further Reading
    Problems
    Appendix A: The Greek Alphabet
    Appendix B: Continuous Compounding
    B.1 The Language of Interest Rates
    B.2 The Logarithmic and Exponential Functions
    Appendix C: Jensen’s Inequality
    C.1 Example: The Exponential Function
    C.2 Example: The Price of a Call
    C.3 Proof of Jensen’s Inequality
    Appendix D: An Introduction to Visual Basic for Applications
    D.1 Calculations without VBA
    D.2 How to Learn VBA
    D.3 Calculations with VBA
    D.4 Storing and Retrieving Variables in a Worksheet
    D.5 Using Excel Functions from within VBA
    D.6 Checking for Conditions
    D.7 Arrays
    D.8 Iteration
    D.9 Reading and Writing Arrays
    D.10 Miscellany
    Glossary
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    References
    Index
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    K
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    Derivatives Markets
    The Pearson Series in Finance Bekaert/Hodrick International Financial Management Berk/DeMarzo Corporate Finance* Berk/DeMarzo Corporate Finance: The Core* Berk/DeMarzo/Harford Fundamentals of Corporate Finance* Brooks Financial Management: Core Concepts* Copeland/Weston/Shastri Financial Theory and Corporate Policy Dorfman/Cather Introduction to Risk Management and Insurance Eiteman/Stonehill/Moffett Multinational Business Finance Fabozzi Bond Markets: Analysis and Strategies Fabozzi/Modigliani Capital Markets: Institutions and Instruments Fabozzi/Modigliani/Jones Foundations of Financial Markets and Institutions Finkler Financial Management for Public, Health, and Not-for-Profit Organizations Frasca Personal Finance Gitman/Joehnk/Smart Fundamentals of Investing* Gitman/Zutter Principles of Managerial Finance* Gitman/Zutter Principles of Managerial Finance—Brief Edition* Haugen The Inefficient Stock Market: What Pays Off and Why Haugen The New Finance: Overreaction, Complexity, and Uniqueness Holden Excel Modeling in Corporate Finance Holden Excel Modeling in Investments Hughes/MacDonald International Banking: Text and Cases Hull Fundamentals of Futures and Options Markets Hull Options, Futures, and Other Derivatives Keown Personal Finance: Turning Money into Wealth* Keown/Martin/Petty Foundations of Finance: The Logic and Practice of Financial Management* Kim/Nofsinger Corporate Governance Madura Personal Finance* Marthinsen Risk Takers: Uses and Abuses of Financial Derivatives McDonald Derivatives Markets McDonald Fundamentals of Derivatives Markets Mishkin/Eakins Financial Markets and Institutions Moffett/Stonehill/Eiteman Fundamentals of Multinational Finance Nofsinger Psychology of Investing Ormiston/Fraser Understanding Financial Statements Pennacchi Theory of Asset Pricing Rejda Principles of Risk Management and Insurance Seiler Performing Financial Studies: A Methodological Cookbook Solnik/McLeavey Global Investments Stretcher/Michael Cases in Financial Management Titman/Keown/Martin Financial Management: Principles and Applications* Titman/Martin Valuation: The Art and Science of Corporate Investment Decisions Weston/Mitchel/Mulherin Takeovers, Restructuring, and Corporate Governance * denotes MyFinanceLab titles Log onto www.myfinancelab.com to learn more
    Derivatives Markets THIRD EDITION Robert L. McDonald Northwestern University Kellogg School of Management Boston Columbus Indianapolis New York San Francisco Upper Saddle River Amsterdam Cape Town Dubai London Madrid Milan Munich Paris Montreal Toronto Delhi Mexico City Sao Paulo Sydney Hong Kong Seoul Singapore Taipei Tokyo
    Editor in Chief: Donna Battista Acquisitions Editor: Katie Rowland Editorial Project Manager: Jill Kolongowski Editorial Assistant: Elissa Senra-Sargent Director of Marketing: Maggie Moylan Marketing Manager: Jami Minard Director of Production: Erin Gregg Senior Managing Editor: Nancy Fenton Production Project Manager: Carla Thompson Senior Manufacturing Buyer: Carol Melville Text Designer: Gina Hagen Kolenda Cover Designer: Bruce Kenselaar Creative Director: Jayne Conte Cover Art: Shutterstock/Pokaz Media Director: Susan Schoenberg Media Project Manager: Lisa Rinaldi Supplements Editors: Kathryn Dinovo, Alison Eusden Full-Service Project Management: Cypress Graphics, Windfall Software Printer/Binder: Edwards Brothers Cover Printer: Lehigh-Phoenix Color/Hagerstown Text Font: Times Roman Credits and acknowledgments borrowed from other sources and reproduced, with permission, in this textbook appear on the appropriate page within text. Microsoft and/or its respective suppliers make no representations about the suitability of the information contained in the documents and related graphics published as part of the services for any purpose. All such documents and related graphics are provided "as is" without warranty of any kind. Microsoft and/or its respective suppliers hereby disclaim all warranties and conditions with regard to this information, including all warranties and conditions of merchantability, whether express, implied or statutory, fitness for a particular purpose, title and non-infringement. In no event shall Microsoft and/or its respective suppliers be liable for any special, indirect or consequential damages or any damages whatsoever resulting from loss of use, data or profits, whether in an action of contract, negligence or other tortious action, arising out of or in connection with the use or performance of information available from the services. The documents and related graphics contained herein could include technical inaccuracies or typographical errors. Changes are periodically added to the information herein. Microsoft and/or its respective suppliers may make improvements and/or changes in the product(s) and/or the program(s) described herein at any time. Partial screen shots may be viewed in full within the software version specified. Microsoft® and Windows® are registered trademarks of the Microsoft Corporation in the U.S.A. and other countries. Screen shots and icons reprinted with permission from the Microsoft Corporation. This book is not sponsored or endorsed by or affiliated with the Microsoft Corporation. Copyright © 2013, 2006, 2003 by Pearson Education, Inc., publishing as Prentice Hall. All rights reserved. Manufactured in the United States of America. This publication is protected by Copyright, and permission should be obtained from the publisher prior to any prohibited reproduction, storage in a retrieval system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. To obtain permission(s) to use material from this work, please submit a written request to Pearson Education, Inc., Permissions Department, One Lake Street, Upper Saddle River, New Jersey 07458, or you may fax your request to 201-236-3290. Many of the designations by manufacturers and sellers to distinguish their products are claimed as trademarks. Where those designations appear in this book, and the publisher was aware of a trademark claim, the designations have been printed in initial caps or all caps. Library of Congress Cataloging-in-Publication Data McDonald, Robert L. (Robert Lynch) Derivatives markets / Robert L. McDonald. — 3rd ed. p. cm. Includes bibliographical references and index. ISBN-13: 978-0-321-54308-0 (hardcover) ISBN-10: 0-321-54308-4 (hardcover) 1. Derivative securities. HG6024.A3M394 2013 332.64 57—dc23 I. Title. 2012029875 10 9 8 7 6 5 4 3 2 1 ISBN 10: 0-321-54308-4 ISBN 13: 978-0-321-54308-0
    For Irene, Claire, David, and Henry
    This page intentionally left blank
    Brief Contents Preface xxi 1 Introduction to Derivatives 1 PART ONE Insurance, Hedging, and Simple Strategies 23 2 3 4 An Introduction to Forwards and Options 25 Insurance, Collars, and Other Strategies 61 Introduction to Risk Management 89 PART TWO Forwards, Futures, and Swaps 123 5 6 7 8 Financial Forwards and Futures 125 Commodity Forwards and Futures 163 Interest Rate Forwards and Futures 195 Swaps 233 PART THREE Options 263 Parity and Other Option Relationships 265 9 10 Binomial Option Pricing: Basic Concepts 293 11 Binomial Option Pricing: Selected Topics 323 12 The Black-Scholes Formula 349 13 Market-Making and Delta-Hedging 381 14 Exotic Options: I 409 vii
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