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Futures Prices

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.003.0010
Subject:
Economics and Finance, Financial Economics

The previous chapter outlined the nature of futures contracts and some of the institutional aspects of the markets in which they are traded; this chapter analyzes the forces that determine the prices ... More


Paul Samuelson and Financial Economics

Robert C. Merton

in Samuelsonian Economics and the Twenty-First Century

Published in print:
2006
Published Online:
January 2009
ISBN:
9780199298839
eISBN:
9780191711480
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199298839.003.0019
Subject:
Economics and Finance, History of Economic Thought

This chapter's appraisal places models of time and uncertainty in household allocation of resources at the center of the Samuelson Contribution. It assesses Samuelson's contributions to the areas of ... More


The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU ETS

Stefan Trück, Wolfgang Härdle, and Rafal Weron

in Emissions Trading as a Policy Instrument: Evaluation and Prospects

Published in print:
2015
Published Online:
January 2016
ISBN:
9780262029285
eISBN:
9780262330435
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262029285.003.0008
Subject:
Economics and Finance, Development, Growth, and Environmental

We investigate the relationship between spot and futures prices within the EU-ETS. We conduct an empirical study on price behavior, volatility term structure and correlations in EU Allowance (EUA) ... More


The Economics of Commodities and Commodity Markets

Florian Ielpo

in Commodities: Markets, Performance, and Strategies

Published in print:
2018
Published Online:
March 2018
ISBN:
9780190656010
eISBN:
9780190656041
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190656010.003.0002
Subject:
Economics and Finance, Financial Economics

This chapter covers the economic fundamentals of commodity markets (i.e., what shapes the evolution of the price of raw materials) in three steps. First, it covers the theories explaining why the ... More


Risk-Neutral Modeling Using Forward and Futures Prices

Andrew Davidson and Alexander Levin

in Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199998166
eISBN:
9780199363698
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199998166.003.0007
Subject:
Economics and Finance, Financial Economics

If a forward curve and volatility structure are known from home-price-index (HPI) derivatives, a risk-neutral form of an HPI process can be constructed mathematically. Since HPI cannot be ... More


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