Forwards and Futures

Damir Filipović ()
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Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 8 in Term-Structure Models, 2009, pp 117-122 from Springer

Abstract: Abstract In this chapter, we discuss two common types of term contracts: forwards, which are mainly traded over the counter (OTC), and futures, which are actively traded on many exchanges. The underlying is in both cases a T-claim $\mathcal{Y}$ , for some fixed future date T. This can be an exchange rate, an interest rate, a commodity such as copper, any traded or non-traded asset, an index, etc. We discuss interest rate futures and futures rates in a separate section and relate them to forward rates in the Gaussian HJM model.

Keywords: Future Price; Forward Rate; Future Contract; Future Rate; Forward Contract (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68015-4_8

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DOI: 10.1007/978-3-540-68015-4_8

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