The Eurodollar Futures and Options Handbook (McGraw-Hill Library of Investment and Finance) 1st Edition

Great technical and insights on the birth of a very successful financial products. Maybe the crypto world should learn from it.

In my job I trade these products every day and I still learned a lot quickly from this book. The authors are so clear and explain the subject matter so well that most readers will pick it up right away.Most of the information there is a little bit on the older side, but is still valid and a very useful foundation for trading your funding hedges.

Classic of the genre. Eurodollar derivative pricing, convexity, liquidity and other properties are explained in great detail. I used it daily when working as a fixed income quant.

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.

This is a/the handbook of the Eurodollar futures and options market and I recommend it. I did not give it max stars because I think it is outrageously expensive given the horrible job that was done converting it to Kindle (do not purchase this format, some of the diagrams are mis-numbered and some barely legible). Additionally, this needs an update similar to what was done to bring Stigum's work to the 4th ed. The examples are 20+ years old and the rates quoted irrelevant to Fed and ECB centered markets. The discussion of options on ED futures is outstanding both from the ED perspective and options generally; very well done and valuable. A valuable book, but not $70+ and definitely not for the Kindle version.

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 professionals1. 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 models2. Enlarge a section on spreads which have worked in the past or practical examples of some trading strategies

Great book with very detailed examples on the relationship between different fixed income instruments. My only complaint (and it is a very minor one) is lack of problems at the end of each chapter to help solidify the concepts. Otherwise, an excellent book.

This is a very practical book with detailed examples to help reader with the basic concept and Eurodollar Futures and Options. Very useful for beginners in this field. The last half of the book is dealing with more advanced topic more suitable for fix incoming researchers.

The book is untitled Eurodollar futures and options handbook but is generally a book on STIRs futures and options as the market on exchange traded STIRs are formatted the same way in EU and in the rest of the world. It is a must read for traders and quants on STIR futures and options. It provides a great insight and deep analyses on these market.

Dieses Buch ist zweifellos die beste und umfassenste Einführung in Eurodollars. Allerdings wäre eine Neuauflage von Nöten. Das Werk selbst hat fast 10 Jahre auf dem Buchrücken. Einige Kapitel sind Reprints von wissenschaftlichen Arbeiten des Autors. Diese Aufsätze reichen bis 1993 zurück. Es hat sich in diesen 20 Jahren doch einiges getan bzw. es sind manche Fragestellungen nicht mehr aktuell.Der Autor geht sehr detailliert auf Hedging-Anwendungen ein. Trading Strategien sind jedoch etwas unterbelichtet.Trotz dieser Einwände kann ich aber jedem an Eurodollar Derivaten ernsthaft Interessiertem dieses Buch nur empfehlen. Für Börse-Anfänger ist es jedoch nicht geeignet. Man erfährt auch nicht, wie man in 21 Tagen reich wird.Eine aktuelle Analyse und eine interessante Trading-Strategie findet man in:Chrilly Donninger: Riding on the LIBOR-Forward Rate-Curve: The Arkhi-Strategy. Sibyl-Working-Paper, Nov. 2012 (nach "Chrilly Donninger Godot" googeln).