Pricing Forwards and Futures

George Constantinides

Chapter 2 in Financial Derivatives:Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, 2015, pp 13-37 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:The No-Arbitrage PrincipleThe Cost-of-Carry ModelCarry TradesPricing Treasury Bill ForwardsPricing Commodity Forward Contracts with Storage Costs and Convenience YieldRelation between Forward and Futures PricesT-Bond Futures ContractValue of a Forward Contract after Initiation and the Hedge RatioValue of a Futures Contract after Initiation and the Hedge RatioMetallgesellschaftAssignment 1

Keywords: Futures; Forwards; Options; Corporate Securities; Derivatives; Hedging; Risk Management (search for similar items in EconPapers)
Date: 2015
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