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Determination of Forward and Futures Prices Chapter 5
Consumption vs Investment Assets ,[object Object],[object Object]
Short Selling (Page 99-101) ,[object Object],[object Object]
Short Selling (continued) ,[object Object],[object Object]
Notation for Valuing Futures and Forward Contracts Risk-free interest rate for maturity T r : Time until delivery date T : Futures or forward price today F 0 : Spot price today S 0 :
1. Gold: An Arbitrage Opportunity? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
2. Gold: Another Arbitrage Opportunity? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
The Forward Price of Gold ,[object Object],[object Object],[object Object],[object Object],[object Object]
When Interest Rates are Measured with Continuous Compounding ,[object Object],[object Object],[object Object]
When an Investment Asset Provides a Known Dollar Income (page 105, equation 5.2) ,[object Object],[object Object]
When an Investment Asset Provides a Known Yield (Page 107, equation 5.3) ,[object Object],[object Object]
Valuing a Forward Contract Page 108 ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Forward vs Futures Prices ,[object Object],[object Object],[object Object]
Stock Index (Page 110-112) ,[object Object],[object Object],[object Object],[object Object]
Stock Index (continued) ,[object Object],[object Object],[object Object]
Index Arbitrage ,[object Object],[object Object]
Index Arbitrage (continued) ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],Futures and Forwards on Currencies (Page 112-115)
Why the Relation Must Be True Figure 5.1, page 113
Futures on Consumption Assets (Page 117-118) ,[object Object],[object Object],[object Object],[object Object],[object Object]
The Cost of Carry (Page 118-119) ,[object Object],[object Object],[object Object],[object Object]
Futures Prices & Expected Future Spot Prices (Page 119-121) ,[object Object],[object Object],[object Object]
Futures Prices & Future Spot Prices (continued) ,[object Object],[object Object],[object Object],[object Object]

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Chap 5

  • 1. Determination of Forward and Futures Prices Chapter 5
  • 2.
  • 3.
  • 4.
  • 5. Notation for Valuing Futures and Forward Contracts Risk-free interest rate for maturity T r : Time until delivery date T : Futures or forward price today F 0 : Spot price today S 0 :
  • 6.
  • 7.
  • 8.
  • 9.
  • 10.
  • 11.
  • 12.
  • 13.
  • 14.
  • 15.
  • 16.
  • 17.
  • 18.
  • 19. Why the Relation Must Be True Figure 5.1, page 113
  • 20.
  • 21.
  • 22.
  • 23.