The Eurodollar Futures and Options Handbook
The Eurodollar Futures and Options Handbook is one of the most up-to-date and comprehensive resources for eurodollar futures traders, hedgers, and researchers. A handbook that provides traders and investors with a complete range of current research on Eurodollar futures and options, it also contains chapters written by Eurodollar experts from JP Morgan, Mellon Capital, Merrill Lynch, and other global trading giants. Author Galen Burghardt also explains what Eurodollar futures are, how they are priced, and how they can be used to hedge interest rates and trade the yield curve. The Eurodollar Futures and Options Handbook also incorporates all of the major advances in understanding how Eurodollar futures and options work and how traders and hedgers should use them.
The Eurodollar Futures and Options Handbook also includes topics such as:
- 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 calender 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
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Hedging convexity bias