Black, F. "Pricing of Commodity Contracts." Journal of Financial Economics 3(1976):167-79.

Black, Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, pp. 637-653.

Marshall, John F. Futures and Option Contracting: Theory and Practice. Cincinnati:

South-Western Publishing Company, 1989.

PART I: Overview

1: Introduction

Overview

Market and Asset Classification

Organized Exchanges and Over-the-Counter Markets

A Quick Look at Futures and Option Contracts

The Origin and Evolution of Futures Trading

The Evolution of Option Trading

The Economic Importance of Derivative Instruments

Employment Opportunities in the Derivative Instrument Markets

Swap Markets

2: A Description of the Markets

Overview

The Cash, Futures, and Option Markets

The Futures Exchange

Price Quotations

Placing Orders

3: The Motivation and Behavior of Market Participants

Overview

Market Participants

Hedgers

Hedging and Quantity Risk

Hedging and Basis Risk

Speculators

Arbitragers and Spreaders

Speculation

PART II: Elements of Probability, Mathematics, Economics, and Finance

4: Elements of Probability and Mathematics

Overview

Important Tools of Mathematics

Elements of Probability

Statistical Analysis and its Applications

5: Economic Foundations

Overview

Utility Analysis

Demand Analysis

Production and Cost

Supply Analysis

Clearing the Markets

Elasticity

Substitutes and Complements

6: Elements of Finance

Overview

Time Value of Money

A Utility Approach to Understanding the Nature of Risk

Measuring Investment Performance--Return and Risk

The Rational Investor's Utility Function

Portfolio Analysis

The Capital Asset Pricing Model

PART III: Price Formation and Price Relationships in The Futures Markets

7: Risk Management with Futures: The Theory of Hedging

Overview

The Basis

Hedging and Basis Risk

Hedging Classification Schemes

The Hedger as a Utility Maximizer

The Hedger as a Net Supplier of Futures Contracts

Formulating the Optimal Hedge

The Composite Hedge

Practical Steps Toward the Optimal Hedge

Hedging and the Tools of Management Science

Incidental Benefits of Hedging

8: Speculative Pricing: The Theory of Speculation and Arbitrage

Overview

Speculative Demand and Supply

Spatial Price Relationships--The Law of One Price

Temporal Price Relationships

Explaining the Basis

Speculators as Net Demanders of Futures Contracts

The Equilibrium Futures Price

The Theory of Normal Backwardation

Testing the Theory of Normal Backwardation

Temporal Price Relationships for Nonstorable Commodities

Incidental Benefits of Speculation

9: Speculative Efficiency and the Returns to Futures Traders

Overview

The Efficient Markets Hypothesis

The Mechanism of Efficiency

Speculation and Efficient Markets

Testing Futures Market Efficiency

Testing Spatial Market Efficiency

The Speculator's Perspective

Returns to Futures Speculators

An Equilibrium Degree of Inefficiency

Speculation and Price Stability

Technical Analysis: A Cause for Concern?

PART IV: Hedging with Futures

10: Hedging the Traditional Commodities

Overview

Primary Producers

Examples using an Iowa grain producer

Crop insurance

Revenue insurance

11: Currency Futures

Overview

The Recent History of the International Monetary System

Exchange-Rate Risk

Foreign Exchange: Cash Markets and Futures Markets

Determinants of Foreign-Exchange Rates

Hedging Foreign-Exchange Exposure

12: Interest-Rate Futures

Overview

Debt Instruments Defined

The Determinants of Debt Instrument Yields

Interest-Rate Futures

Hedging Interest-Rate Risk

Hedging Interest-Rate Risk

PART V: Speculation in the Futures Markets

14: Technical Analysis

Overview

Speculation and Arbitrage

Technical Analysis

Chart Analysis

Computer-Guided Trend Analysis

Some Pitfalls of Technical Modeling

Technical Trading and Market Behavior

15: Fundamental Analysis

Overview

Fundamental Analysis

Leading Indicator Models

Single-Equation, Multivariate, Partial-Equilibrium Models

Simultaneous-Equation, General-Equilibrium Models

16: Managing a Trading Program

Overview

Thorough and Objective Analysis

An Acid Test of Trading Rule Profits

Measuring Risk and Return

Designing Optimal Trading Rules

Risk Within an Asset Diversification Context

The Probability of Ruin

Managing Trading Capital Efficiently

Reviewing Trading Performance Frequently

PART VI: Options

17: Option Valuation

Overview

The Language of Options

The Option Players

Option Valuation--Some Basics

Option Valuation--Elements of a Model

The Distribution of the Future Spot Price

Call Option Valuation--A Formal Model

The Put/Call Parity Theorem

Empirical Evidence

18: Risk Management with Options

Overview

Options as Insurance

Risk Versus Downside Risk

Hedging Quantity Risk: Options Versus Other Hedging Instruments

Risk Profiles and Financial Engineering

Other Uses of Options for Commercial Hedging

Corporate Financial Managers and Interest-Rate Futures and Options

19: Option Speculation and Arbitrage

Overview

Option Arbitrage

Speculation with Options

Simple Speculative Strategies with Options

20: Advanced Speculative Strategies with Options

Overview

Combinations

Spreads

Speculation and Fair Market Values

PART VII: Advanced Options

21: Some Fundamental Aspects of Options

Determinants of Option Value

The Relationship between Puts and Calls

Why Investors Use Options

The Relationship between Options and Forward and Futures Contracts

22. The Structure of the Market for Puts and Calls

Public Orders

The Options Clearing Corporation

How the Exchanges Work

The Performance of Options Markets

Institutional Participation in Options Markets

23. General Arbitrage Relationships

Arbitrage Restrictions on Call Values

Arbitrage Restrictions on Put Values

Further Results on the Relationship between Puts and Calls

Some Restrictions on Option Values as a Function of the Stock Price

24. An Exact Option Pricing Formula

The Basic Idea

Riskless trading Strategies

Option Risk and Expected Return

The Black-Scholes Formula

How Changes in the Variables Affect Black-Scholes Option Values

25. How to Use the Black-Scholes Formula

How to Compute Black-Scholes Values

Some Modifications to Make the Model Work Better

Analysis of Covered Positions

Screening Neutral Positions

Portfolio Considerations

Empirical Evidence