Lecture 14 Forward and Futures Markets Objective .How to price forward and futures Storage of commodities .Cost of carry .Understanding financial futures .THE COURSE OF FINANCE 2017 SPRING SJTU 1
Lecture 14 Forward and Futures Markets Objective •How to price forward and futures •Storage of commodities •Cost of carry •Understanding financial futures
Chapter 14:Contents 14.1 Distinction Between 14.7 Financial Futures Forward Futures 14.8The“Implied”Riskless Contracts Rate 14.2 The Economic Function of Futures Markets 14.9 The Forward Price is not a Forecast of the Spot Price 14.3 The Role of Speculators 14.10 Forward-Spot Price- 14.4 Relation Between Parity with Cash Payouts Commodity Spot Futures Prices 14.11“Implied”Dividends 14.5 Extracting Information 14.12 The Foreign-Exchange from Commodity Futures Parity Relation Prices 14.13 The Role of Expectations 14.6 Forward-Spot Price Parity in Determining Exchange for Gold Rates .THE COURSE OF FINANCE 2017 SPRING SJTU
Chapter 14: Contents 14.1 Distinction Between Forward & Futures Contracts 14.2 The Economic Function of Futures Markets 14.3 The Role of Speculators 14.4 Relation Between Commodity Spot & Futures Prices 14.5 Extracting Information from Commodity Futures Prices 14.6 Forward-Spot Price Parity for Gold 14.7 Financial Futures 14.8 The “Implied” Riskless Rate 14.9 The Forward Price is not a Forecast of the Spot Price 14.10 Forward-Spot Price- Parity with Cash Payouts 14.11 “Implied” Dividends 14.12 The Foreign-Exchange Parity Relation 14.13 The Role of Expectations in Determining Exchange Rates
14.1 Distinction Between Forward Futures Contracts parties agree to exchange some item in the future at a delivery price specified now the forward price is defined as the delivery price which makes the current market value of the contract zero no money is paid in the present by either party to the other the face value of the contract is the quantity of the item specified in the contract multiplied by the forward price the party who agrees to buy the specified takes the long position,and the party who agrees to sell the item takes the short position .THE COURSE OF FINANCE 2017 SPRING SJTU
14.1 Distinction Between Forward & Futures Contracts parties agree to exchange some item in the future at a delivery price specified now the forward price is defined as the delivery price which makes the current market value of the contract zero no money is paid in the present by either party to the other the face value of the contract is the quantity of the item specified in the contract multiplied by the forward price the party who agrees to buy the specified takes the long position, and the party who agrees to sell the item takes the short position
Terms Open,High,Low,Settle,Change,Lifetime high,Lifetime low,Open interest Mark-to-market Margin requirement Margin call .THE COURSE OF FINANCE 2017 SPRING SJTU
Terms Open, High, Low, Settle, Change, Lifetime high, Lifetime low, Open interest Mark-to-market Margin requirement Margin call
Characteristics of Futures Futures are: standard contracts immune from the credit worthiness of buyer and seller because exchange stands between traders contracts marked to market daily margin requirements .THE COURSE OF FINANCE 2017 SPRING SJTU
Characteristics of Futures Futures are: standard contracts immune from the credit worthiness of buyer and seller because exchange stands between traders contracts marked to market daily margin requirements