INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions -- 1.2. Decision Criteria -- 1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agent's Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio -- 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION -- 4.1. Markets and Periods Investigated -- 4.2. Representative Indicator for the Cash Market -- 4.3. Calculating Return and Variance -- 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio -- 5. RESULTS OF THE EMPIRICAL INVESTIGATION -- 5.1. Effects of Hedging on Risk and Return of Single Positions -- 5.2. Effects of Hedging on Risk and Return of Portfolios -- 5.3. Analysis of Hedging Effectiveness -- 5.4. Analysis of Optimal Hedge Ratios -- 5.5. Evaluation of Results -- CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL -- 1. THEORETICAL BASIS -- 1.1. The Single-Index Model -- 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing.

1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS -- 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY -- 2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY.