Galen Burghardt - The Eurodollar Futures and Options Handbook

THE EURODOLLAR FUTURES AND OPTIONS HANDBOOK

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GALEN BURGHARDT

Director of Research, Carr Futures
Adjunct Professor of Finance,
University of Chicago Graduate School of Business

For my loving wife, Birch, and our children, Sarah and Galen W., who are just as proud of me as I am of them.

Copyright 2003 by Galen Burghardt. All rights reserved. Except as permitted under the United States Copyright Act of 1976, no part of this publication may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of the publisher.

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PART ONE
THE EMERGENCE OF THE EURODOLLAR MARKET

Chapter 1
The Emergence of the Eurodollar Market

PART TWO
BUILDING BLOCKS: EURODOLLAR FUTURES

Chapter 2
The Eurodollar Time Deposit

Chapter 3
The Eurodollar Futures Contract

Chapter 4
Forward and Futures Interest Rates

Chapter 5
Hedging with Eurodollar Futures

Chapter 6
Pricing and Hedging a Swap with Eurodollar Futures

PART THREE
EURODOLLAR FUTURES APPLICATIONS

Chapter 7
The Convexity Bias in Eurodollar Futures

Galen Burghardt and William Hoskins
Research note originally released September 16, 1994

APPENDIX A
Deriving the Rule of Thumb

APPENDIX B
Calculating Eurodollar Strip Rates and Implied Swap Rates

Chapter 8
Convexity Bias Report Card

Galen Burghardt, William Hoskins, and Niels Johnson
Research note originally released April 15, 1997

Chapter 9
New Convexity Bias Series

Galen Burghardt and Lianyan Liu
Research note originally released February 1, 2002

Chapter 10
Convexity Bias: An Update

Chapter 11
Measuring and Trading Term TED Spreads

Galen Burghardt, William Hoskins, and Susan Kirshner
Research note originally released July 26, 1995

APPENDIX
Complete Operating Instructions for Calculating Term TED Spreads and Hedge Ratios

Chapter 12
TED Spreads: An Update

Chapter 13
Hedging and Trading with Eurodollar Stacks, Packs, and Bundles