Exchange-traded derivatives

261 Pages·2003·0.766 MB·English

by  Erik Banks

Exchange-Traded Derivatives
Erik Banks

Exchange-Traded Derivatives
WileyFinanceSeries
InvestmentMathematics
AndrewAdams,PhilipBooth,DavidBowie,DellaFreeth
OptionTheory
PeterJames
TheSimpleRulesofRisk:RevisitingtheArtofRiskManagement
ErikBanks
CapitalAssetInvestment:Strategy,TacticsandTools
AnthonyF.Herbst
BrandAssets
TonyTollington
SwapsandotherDerivatives
RichardFlavell
CurrencyStrategy:APractitioner’sGuidetoCurrencyTrading,HedgingandForecasting
CallumHenderson
TheInvestor’sGuidetoEconomicFundamentals
JohnCalverley
MeasuringMarketRisk
KevinDowd
AnIntroductiontoMarketRiskManagement
KevinDowd
BehaviouralFinance
JamesMontier
AssetManagement:EquitiesDemystified
ShantaAcharya
AnIntroductiontoCapitalMarkets:Products,Strategies,Participants
AndrewMChisholm
HedgeFunds:MythsandLimits
Francois-SergeLhabitant
SecuritiesOperations:Aguidetotradeandpositionmanagement
MichaelSimmons
Modeling,MeasuringandHedgingOperationalRisk
MarceloCruz
MonteCarloMethodsinFinance
PeterJa¨ckel
BuildingandUsingDynamicInterestRateModels
KenKortanekandVladimirMedvedev
StructuredEquityDerivatives:TheDefinitiveGuidetoExoticOptionsandStructuredNotes
HarryKat
AdvancedModellinginFinanceUsingExcelandVBA
MaryJacksonandMikeStaunton
OperationalRisk:MeasurementandModelling
JackKing
AdvanceCreditRiskAnalysis:FinancialApproachesandMathematicalModelstoAssess,PriceandManage
CreditRisk
DidierCossinandHuguesPirotte
InterestRateModelling
JessicaJamesandNickWebber
RiskManagementandAnalysisvol.1:MeasuringandModellingFinancialRisk
CarolAlexander(ed)
Interest-RateOptionModels:Understanding,AnalysingandUsingModelsforExoticInterest-RateOptions
(secondedition)
RiccardoRebonato
Exchange-Traded Derivatives
Erik Banks
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Contents
Acknowledgements xiii
Dedication xv
Biography xvii
Introduction 1
I.1 Overview 1
I.2 Marketfundamentals 2
I.3 Samplefuturesandoptionsstrategies 15
PARTI THECHANGINGMARKETPLACE 27
1 ForcesofChange 29
1.1 Introduction 29
1.2 Deregulation 30
1.3 Globalization 34
1.4 Product/marketcompetition 36
1.5 Newtechnologies 37
1.6 Disintermediation 43
1.7 Commercialization 45
2 RespondingtoChallenges 49
2.1 Adaptingcorporatestructure 50
2.2 Abandoningopen-outcrytrading 57
2.3 Implementingnewtechnologies 60
2.4 Enhancingmarketaccessandproductchoice 65
2.5 Enhancingclearingandsettlementservices 70
2.6 Regulatoryconsiderations 72
2.7 Institutionalconsiderations 73
vi Contents
PARTII THEESTABLISHEDEXCHANGES 79
Europe 81
3 BorsaItaliana(BI) 83
3.1 Background 83
3.2 Corporatestructure 84
3.3 Technologyplatform/infrastructure 84
3.4 Clearing 84
3.5 Productofferings 84
3.6 Regulation 85
3.7 Website 85
4 Eurex 87
4.1 Background 87
4.2 Corporatestructure 88
4.3 Technologyplatform/infrastructure 88
4.4 Clearing 89
4.5 Productofferings 89
4.6 Regulation 90
4.7 Website 90
5 Euronext 91
5.1 Background 91
5.2 Corporatestructure 92
5.3 Technologyplatform/infrastructure 92
5.4 Clearing 92
5.5 Productofferings 93
5.6 Regulation 94
5.7 Website 94
6 InternationalPetroleumExchange(IPE) 95
6.1 Background 95
6.2 Corporatestructure 96
6.3 Technologyplatform/infrastructure 96
6.4 Clearing 96
6.5 Productofferings 97
6.6 Regulation 97
6.7 Website 97
7 LondonInternationalFinancialFuturesExchange(LIFFE) 99
7.1 Background 99
7.2 Corporatestructure 100
7.3 Technologyplatform/infrastructure 100
7.4 Clearing 101
7.5 Productofferings 101
Contents vii
7.6 Regulation 103
7.7 Website 103
8 LondonMetalExchange(LME) 105
8.1 Background 105
8.2 Corporatestructure 106
8.3 Technologyplatform/infrastructure 106
8.4 Clearing 106
8.5 Productofferings 106
8.6 Regulation 107
8.7 Website 107
9 MercadoEspan˜oldeFuturosFinancieros(MEFF) 109
9.1 Background 109
9.2 Corporatestructure 110
9.3 Technologyplatform/infrastructure 110
9.4 Clearing 110
9.5 Productofferings 110
9.6 Regulation 111
9.7 Website 111
10 OM/Stockholmsborsen(OM) 113
10.1 Background 113
10.2 Corporatestructure 114
10.3 Technologyplatform/infrastructure 114
10.4 Clearing 114
10.5 Productofferings 115
10.6 Regulation 116
10.7 Website 116
NorthAmerica 117
11 ChicagoBoardofTrade(CBOT) 119
11.1 Background 119
11.2 Corporatestructure 120
11.3 Technologyplatform/infrastructure 120
11.4 Clearing 121
11.5 Productofferings 121
11.6 Regulation 123
11.7 Website 123
12 ChicagoBoardOptionsExchange(CBOE) 125
12.1 Background 125
12.2 Corporatestructure 126
12.3 Technologyplatform/infrastructure 126
12.4 Clearing 126