Forwards, Eurodollars, and Futures

Eliezer Z Prisman

Chapter 5 in Lecture Notes in Fixed Income Fundamentals, 2017, pp 171-215 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In Chapter 1 we introduced the concepts of forward contracts in the realm of a one period model. The current chapter investigates contracts that depend on the term structure of interest rates in the framework of a multiperiod model. In this framework the chapter takes a second and more realistic look at forwards and introduces futures and Eurodollar contracts.

Keywords: Fixed Income; Bond Markets; Term Structure of Interest Rates; Forwards; Bond Arbitrage (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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