Chap 5

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]

Chap 5

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Chap 5