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Pricing Forwards and Futures

In: Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps

Author

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  • George M Constantinides

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

Suggested Citation

  • George M Constantinides, 2015. "Pricing Forwards and Futures," World Scientific Book Chapters, in: Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps, chapter 2, pages 13-37, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814618434_0002
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