The Eurodollar Futures and Options Handbook

By: Galen Burghardt

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Hardcover | 21 July 2003 | Edition Number 1

At a Glance

Hardcover
350 Pages

Dimensions(cm)
23.11 x 15.75 x 3.94

Hardcover

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In the past year, Eurodollar futures volume increased by more than 70 percent, while Eurodollar options volume more than tripled. In fact, one day last August, more than one million Eurodollar options changed hands. The reason for the explosion: the rate cutting of the Fed. A Eurodollar is a dollar that is held outside of the U.S., for example in a London bank. The CME in Chicago has two major pits - one being the Eurodollar and the other being the S&P. But the CME is not the only place the Eurodollar is traded. In fact, the most trading occurs on the Eurex, followed by the CME, and the LIFFE. The Eurodollar market is the largest and most liquid of the world's short-term dollar markets. And the Eurodollar futures contract is the most widely traded money market contract in the world. This is because the Eurodollar futures contract has reduced the costs of borrowing and lending in the banking market by giving banks a flexible tool that they need to be able to manage their interest rate exposure and the Eurodollar contract is only a three-month contract so it allows traders to more subtle changes. A book called Eurodollar Futures and Options (Burghardt, Belton, Lane, Luce, and McVey) was published by Probus in 1991. The book gained a strong following and is the only useable text on the subject for professionals. It is, however, out of print and now very much outdated. One of the original authors, Galen Burghardt has proposed a new book, a handbook, on the subject of Eurodollars. This volume will combine a little of the elementary material (material dealing with the history of the market and very basic pricing issues) presented in the original book with a broad range of current research that has transformed the understanding of Eurodollar futures over the past ten years., such as Lehman Brothers work on portfolio replication with futures. Editor, Galen Burghardt, an expert in this field, will provide brief introductory write-ups at the beginnings of key sections. This new handbook will be co-published with the CME, which is the home to the Eurodollar future. They will be extensively promoting the book in trading circles.

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