Derivatives and Risk Management

chapter 15

Pricing Futures

Learning Objectives

After reading this chapter, you will be able to understand

• the basic principles of futures pricing
• the cost of carry model
• pricing of commodity futures, currency futures, stock futures and interest-rate futures
• pricing of forward contracts and forward-rate agreements

Chapter Outline

15.1 Introduction

15.2 Principles of Pricing Futures

15.3 Cost of Carry Model

15.4 Pricing Commodity Futures

15.5 Pricing Equity Futures

15.6 Pricing Interest-Rate Futures

15.7 Pricing Forward-Rate Agreements

15.8 Pricing Foreign-Exchange Futures

15.9 Pricing Forward Contracts

THE SITUATION

Dinesh Agarwal is a member of derivative exchange. He trades on his own behalf and on behalf of his clients. He was among ...