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The Eurodollar Futures and Options Handbook (McGraw-Hill Library of Investment and Finance) Hardcover – June 23, 2003


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The Eurodollar Futures and Options Handbook (McGraw-Hill Library of Investment and Finance) + The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs (McGraw-Hill Library of Investment and Finance) + Interest Rate Markets: A Practical Approach to Fixed Income
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Product Details

  • Series: McGraw-Hill Library of Investment and Finance
  • Hardcover: 350 pages
  • Publisher: McGraw-Hill; 1 edition (June 23, 2003)
  • Language: English
  • ISBN-10: 0071418555
  • ISBN-13: 978-0071418553
  • Product Dimensions: 6.4 x 1.4 x 9.1 inches
  • Shipping Weight: 2 pounds (View shipping rates and policies)
  • Average Customer Review: 4.5 out of 5 stars  See all reviews (8 customer reviews)
  • Amazon Best Sellers Rank: #583,207 in Books (See Top 100 in Books)

Editorial Reviews

From the Back Cover

Today's Most Up-to-Date and Comprehensive Resource for Eurodollar Futures Traders, Hedgers, and Researchers

Eurodollar futures, and put and call options traded on those futures, revolutionized the world of banking and finance and are now among the most widely traded money market contracts in the world. The Eurodollar Futures and Options Handbook explores the complete range of current research and trading practice on these uniquely flexible trading vehicles, and tells you everything you need to know to increase your profits--and, more important, control your losses--when navigating this complex market.

Featuring contributions from leading Eurodollar experts, including the author's seminal articles on Eurodollar convexity bias and measuring and trading term TED spreads, this long-awaited book explains:

  • Eurodollar futures--What they are, how they are priced, and how they can be used to hedge interest rate risk and trade the yield curve
  • Eurodollar options -- Structures and patterns of Eurodollar rate volatilities, along with price, volatility, and risk parameter conventions of Eurodollar options

Eurodollar futures and options trading has grown exponentially, with no end in sight to its phenomenal growth. Let The Eurodollar Futures and Options Handbook arm you with the latest knowledge on these important trading vehicles, and provide you with the strategies and techniques you need to make the most of this liquid and lucrative market.

Today's Eurodollar market--the market for dollar denominated deposits outside of the United States--is perhaps the largest and most liquid of the world's short-term dollar markets and is becoming the new standard of value for fixed income markets. For over a decade, futures and options traders in this market have relied on Eurodollar Futures and Options (by Burghardt, Belton, Lane, Luce, and McVey) for accurate market analysis coupled with solid, results-oriented trading and hedging strategies. Markets have changed dramatically, however, and the need for a comprehensive new handbook has become obvious and acute.

The Eurodollar Futures and Options Handbook takes over where that book left off and incorporates all of the major advances in understanding how Eurodollar futures and options work and how traders and hedgers should use them. With contributions from Galen Burghardt, his colleagues, and collaborators, this hands-on volume focuses on every facet of this powerful market. It provides practitioners with practical, detailed discussions of:

  • The Eurodollar Market--Growth, expansion, and consolidation of the interest rate markets * Key money market developments * The birth of Eurodollar futures * Exchange-traded money market futures and OTC interest rate swaps
  • Eurodollar Futures--The Eurodollar futures contract * Forward and futures interest rates * Hedging with Eurodollar futures * Pricing and hedging swaps * 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 calendar 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 * Hedging convexity bias

Until now, most of the material in this book was available only in assorted and often hard to find research notes. Eurodollar futures and options traders had to seek out special courses or know someone who had access to these notes. The Eurodollar Futures and Options Handbook combines greatly improved basic tools and research applications with current research on Eurodollar futures and options, and saves you both time and money by giving you all of the important basic tools and applications in one comprehensive, accessible volume.

About the Author

Galen Burghardt, Ph.D. is senior vice president and director of research for Carr Futures, adjunct professor of finance at the University of Chicago, and an accomplished author on investing.


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Customer Reviews

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Most Helpful Customer Reviews

11 of 12 people found the following review helpful By "bktwist" on July 22, 2003
Format: Hardcover
Having just finished reading the author's treatment of bond futures in the 'Treasury Bond Basis,' I was happy to see that Burghardt was updating some of his material from the early 1990s on Eurodollar futures. The 'Bond Basis' was an excellent and thorough analysis, and 'The Eurodollar Futures and Options Handbook' follows the same trend.
He provides an excellent overview of the institutional details of Eurodollars and their uses. The book is at its strongest when dealing with issues of the convexity bias and also scores high by not neglecting important issues like the stub period. Perhaps my favorite chapter was on callable bonds and the extension/compression risk, which, while a little misplaced in a book on Eurodollars, still provided a very lucid explanation of the relevant issues.
With regard to options, the author touches upon some of the interest strategic combinations using serial and mid-curve options, but I feel that he could've delved a bit deeper in this part of the book. It's the only area in which I felt the book was somewhat lacking.
Having said all that, if you're looking to learn about Eurodollar futures, I can't imagine there's a better book out there. This is an excellent compilation of a number of Burghardt's research from the 1990s together with more recent updates. Even if Eurodollars are not your main area of expertise, this book will still help you to gain a more solid understanding of many of the pertinent topics in fixed income.
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8 of 8 people found the following review helpful By Erik Lehtis on February 24, 2010
Format: Hardcover Verified Purchase
This book stands alone as the go-to volume for anyone interested in understanding what Eurodollar futures are, how they came to be, and what they are used for. This should come as no surprise, given that the author had a major hand in the invention of the Eurodollar contract. More abstract issues for professional traders, including convexity, strip valuation, and TED spread arbitrage are also covered, in easy-to-read yet authoritative theoretical terms.

Considering the move made by the market from the pits to the screens, the time for another revised edition may be drawing near. Systematic arbitrage of the Eurodollar complex (spreads, packs, bundles, etc.) has never been more available to the sophisticated amateur. If there is any aspect of the market that Mr. Burghardt neglects, it is a thorough treatment of Eurodollar calendar spread arbitrage.
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12 of 14 people found the following review helpful By "bktwist" on July 22, 2003
Format: Hardcover
Having just finished reading the author's treatment of bond futures in the 'Treasury Bond Basis,' I was happy to see that Burghardt was updating some of his material from the early 1990s on Eurodollar futures. The 'Bond Basis' was an excellent and thorough analysis, and 'The Eurodollar Futures and Options Handbook' follows the same trend.
He provides an excellent overview of the institutional details of Eurodollars and their uses. The book is at its strongest when dealing with issues of the convexity bias and also scores high by not neglecting important issues like the stub period. Perhaps my favorite chapter was on callable bonds and the extension/compression risk, which, while a little misplaced in a book on Eurodlllars, still provided a very lucid explanation of the relevant issues.
With regard to options, the author touches upon some of the interest strategic combinations using serial and mid-curve options, but I feel that he could've delved a bit deeper in this part of the book. It's the only area in which I felt the book was somewhat lacking.
Having said all that, if you're looking to learn about Eurodollar futures, I can't imagine there's a better book out there. This is an excellent compilation of a number of Burghardt's research from the 1990s together with more recent updates. Even if Eurodollars are not your main area of expertise, this book will still help you to gain a more solid understanding of many of the pertinent topics in fixed income.
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2 of 2 people found the following review helpful By bailey_nyc on May 30, 2014
Format: Kindle Edition
Overall, great reference guide on interest rates. To give some background, I traded equity derivatives for some years, and used interest rate products as a rate hedge (eurodollar futures, IRS, interest rate basis swaps, cross currency basis swaps). I thought I learned enough on the desk to manage my rates/rho exposure, but a friend in treasuries recommended this book and I was not disappointed.

The book gives the best treatment to date on convexity adjustment of interest rate futures vs swaps. The illustrations and examples are very practical, I read them a few times and each time I learned something new. The book reminds me of Natenberg Option Volatility & Pricing in terms of its usefulness to professionals and practitioners. Besides convexity adjustments, there's a section on packs / bundles, rates volatility, index arbitrage funding trades (although not quite realistic to today's type of trading). Fair warning, the other sections are not as detailed and could be lengthened with more pertinent examples.

I would request a few things that could improve the book, which would be helpful for professionals
1. Update a newer version which covers OIS / CSA discounting of interest rate swaps post 2008, as the pricing relationships are not exactly precise to today's models
2. Enlarge a section on spreads which have worked in the past or practical examples of some trading strategies
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