Treasury Options for Institutional Investors

This book targets the sophisticated trader. It bridges the gap between academic and practical treatment of options on Chicago Board of Trade Treasury futures by employing materials that are relevant to institutional investors. It is an invaluable source of information for corporate treasurers, pension fund managers, mortgage bankers, trading desk personnel, and option traders and clerks. It explores theoretical pricing methods, option behavior in dynamic markets and analysis of volatility in trading strategies, with questions and answers at the end of each chapter. Included is an interactive option pricing software that can price a single option or an entire portfolio while outlining the risk components for every position.