Forward contracts and futures contracts
โ Scribed by Robert A. Jarrow; George S. Oldfield
- Book ID
- 116126536
- Publisher
- Elsevier Science
- Year
- 1981
- Tongue
- English
- Weight
- 644 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0304-405X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This article is based on the first chapter of the author's doctoral dissertation at the University of California at Berkeley. Thanks are due to the dissertation committee members: Gerard Gennotte, Hayne Leland, Pravin Varaiya, and especially, David Modest. Funding from the Norwegian Council for Rese
his article aims to set forth guidelines for the design of successful spreads in T foreign exchange futures or forward contracts. A spread is a two-legged strategy which combines a purchase (sale) for a near maturity with an opposite sale (purchase)' for a distant maturity. Because spreads involve o
Azriel Levy ## Introduction everal authors have shown that the theoretical relationship between forward and fu-S tures prices depends primarily on the assumptions regarding the stochastic process of interest rates (Cox, et. al. (1981); Richard and Sundaresan (1981); Jarrow and Oldfield (1981); an