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Forwards and Futures

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0026
Subject:
Economics and Finance, Financial Economics

This chapter discusses forward and futures contracts. It considers a fixed simple T-claim, □, at a time t. It shows that forward and futures contracts have the same claim □ as their underlying ... More


Futures Contracts and Futures Markets

Hendrik S. Houthakker and Peter J. Williamson

in The Economics of Financial Markets

Published in print:
1996
Published Online:
November 2003
ISBN:
9780195044072
eISBN:
9780199832958
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019504407X.003.0009
Subject:
Economics and Finance, Financial Economics

This is the first of two chapters dealing with futures contracts, and it concentrates on the defining characteristics of a futures contract, on ways in which it can be settled, on types of ... More


Short-term Electricity Markets

Alok Kumar and Sushanta K. Chatterjee

in Electricity Sector in India: Policy and Regulation

Published in print:
2012
Published Online:
September 2012
ISBN:
9780198082279
eISBN:
9780199082063
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198082279.003.0006
Subject:
Economics and Finance, Development, Growth, and Environmental

This chapter covers the legal and policy provisions about the short-term electricity markets in India. It presents the status of implementation of these provisions. Drawing on the data and statistics ... More


Risk Management and Islamic Forward Contracts

Sherin Binti Kunhibava

in Islamic Banking and Financial Crisis: Reputation, Stability and Risks

Published in print:
2013
Published Online:
May 2014
ISBN:
9780748647613
eISBN:
9780748695133
Item type:
chapter
Publisher:
Edinburgh University Press
DOI:
10.3366/edinburgh/9780748647613.003.0008
Subject:
Religion, Islam

This chapter focuses on risk management and the use of forward contracts in Islamic banks worldwide. It looks at contracts that are currently used in Islamic banks, including bai muajjal and wa’d as ... More


Stochastic methods in investment decision

Melvin Lax, Wei Cai, and Min Xu

in Random Processes in Physics and Finance

Published in print:
2006
Published Online:
January 2010
ISBN:
9780198567769
eISBN:
9780191718359
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198567769.003.0016
Subject:
Physics, Theoretical, Computational, and Statistical Physics

Derivative securities have a value related to the underlying security or asset. When a derivative such as a put, a forward, or future sale, is not priced correctly, one can, by making compensating ... More


The Construction of Index Numbers for Contract Settlement

Robert J. Shiller

in Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198294184
eISBN:
9780191596926
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198294182.003.0006
Subject:
Economics and Finance, Macro- and Monetary Economics, Financial Economics

When creating indices intended for use in cash settlement of futures contracts (or perpetual claims or options, or swaps, or other over‐the‐counter forward contracts or retail insurance contracts), ... More


Forwards and Futures

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0020
Subject:
Economics and Finance, Financial Economics

In this chapter, we provide fairly general results for forward and futures prices.


Trading Clubs

Lodewijk Petram

in The World’s First Stock Exchange

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231163781
eISBN:
9780231537322
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231163781.003.0009
Subject:
Economics and Finance, Economic History

This chapter examines the risks involved in forward trading in the Dutch East India Company’s shares in seventeenth-century Amsterdam. The lawsuit between Sebastiaen da Cunha and the nine dealers ... More


Speculation

Lodewijk Petram

in The World’s First Stock Exchange

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231163781
eISBN:
9780231537322
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231163781.003.0010
Subject:
Economics and Finance, Economic History

This chapter focuses on speculation in trading in the Dutch East India Company’s shares in seventeenth-century Amsterdam. The agreement between Hubertus Beens and Mozes Machado was an example of a ... More


Forwards, Futures, and More Option Pricing

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0017
Subject:
Economics and Finance, Financial Economics

Forward measures are defined. Forward and futures contracts are explained. The spot‐forward parity formula is derived. A forward price is a martingale under the forward measure. A futures price is a ... More


Introduction

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0001
Subject:
Economics and Finance, Econometrics

This chapter introduces the concept of financial derivatives and discusses the way in which they can be used to hedge market risk.


MacroMarkets and the Practice of Financial Innovation

Michael Haliassos

in Financial Innovation: Too Much or Too Little?

Published in print:
2013
Published Online:
January 2015
ISBN:
9780262018296
eISBN:
9780262305495
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262018296.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter explores the history of MacroMarkets LLC, founded in 2001 by Yale University economist and 2013 Nobel Prize in Economics Robert J. Shiller and Samuel Masucci III. MacroMarkets' main ... More


Arbitrage Pricing

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0007
Subject:
Economics and Finance, Econometrics

The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the ... More


Derivatives

Harold L. Cole

in Finance and Financial Intermediation: A Modern Treatment of Money, Credit, and Banking

Published in print:
2019
Published Online:
May 2019
ISBN:
9780190941697
eISBN:
9780190949068
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190941697.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics, Financial Economics

This chapter discusses how derivative markets work, and how they can be priced within the arbitrage-based pricing model.


Epilogue

Lodewijk Petram

in The World’s First Stock Exchange

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231163781
eISBN:
9780231537322
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231163781.003.0013
Subject:
Economics and Finance, Economic History

This chapter reflects on the legacy of the stock market in seventeenth-century Amsterdam. In the seventeenth century, large-scale trading in shares and derivatives was unique to Amsterdam, although ... More


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