This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. Found inside – Page 4Futures Contracts A futures contract is a more formalized version of a ... of futures markets on other commodities, all numerical examples in this book will ... Found inside – Page 32Using a numerical example to illustrate hedging ... earlier wishes to reduce his income uncertainty by selling a futures contract at planting time . Found inside – Page 34123.15 , for example , we are concerned with a 2 - year futures contract on a 1 year T - bill . ... Hence only numerical examples are attempted here . Found inside – Page 564For example, Treasury bond futures trade in contracts of $100,000 face value for delivery in March, June, ... Let's consider a simple numerical example. Found inside – Page 357Another way in which futures contracts do not provide a perfect hedge is due ... NUMERICAL EXAMPLE The US interestrate is 4% and the euro interest rate is ... Found inside... briefly the characteristics of spot contracts, forward contracts, futures contracts, and option contracts. 2.16 Using a simple numerical example, ... Found inside – Page 270We shall use this in a numerical example. Unit of trading Most short-term interest-rate financial futures contracts are based on the rates for threemonth ... Derivative securities allow the investor to alter the risk-return characteristics of an investment in many different ways. This tutorial introduces the important characteristics of options and futures so that they can be used intelligently. Found insideThis guide does a terrific job of explaining the practical aspects of futures trading and will be of great use to anyone interested in using these instruments to participate in market trends." —John Damgard, President, Futures Industry ... The book clearly explains how to implement them in a meaningful way. Their usefulness is further enhanced when numerical estimates of relevant parameters are derived from actual market prices (as long as these are available and reliable). Found inside... Time T of any coupons paid during the life of the futures contract. Again, for illustration purposes, we provide a numerical example: Suppose T = 0.25, ... Found inside – Page 82You will find a detailed numerical example , referred to a futures contract on the yen , in Chapter 5 . Liquidity Enhancement in Futures Markets Exchanges ... The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. This book documents the case studies involving important commodity price manipulations and frauds in commodity derivatives trading. Found inside – Page 179Table 7.2 Bond futures contracts that trade in the US∗ Coupon/Nominal Asset ... The subtleties can best be explained through use of a numerical example. Found inside – Page 178... of Short Pure Arbitrage Example 8 - 2 provides a basic numerical example of a pure short arbitrage with T - bill futures . ... Note that the arbitrage transaction involving the six - month cash T - bill and a short futures contract creates a synthetic ... Found inside – Page 297... Time T of any coupons paid during the life of the futures contract. Again, for illustration purposes, we provide a numerical example: Suppose T = 0.25, ... Found inside – Page 122NUMERICAL ExAMPLE. Assume Firm A sells to Firm B a ... When it signs the futures contract, its net revenues each hour are then composed of two parts. Found inside – Page 148A futures contract is a legally binding standardized agreement between two parties to buy or ... For a numerical example, please refer to Pennings et al. Found inside – Page 379S 0 = $100 cf t = $2 0 t Managing Market Risk with Forward and Futures Contracts 379 8.1.3.2 Numerical Example of Pricing a Forward Contract. A market leader, this book has detailed but flexible coverage of options, futures, forwards, swaps, and risk management – as well as a solid introduction to pricing, trading, and strategy allowing readers to gain valuable information on a ... Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. Found inside – Page 396When the contract expires, the last marking to market is based on the spot ... A numerical example will make the mechanics of futures clearer and show how ... Found inside – Page 107Speculators can also benefit from trading in futures contracts . ... Take a numerical example to illustrate the usage of ' going short ' in futures ... Found inside – Page 224the wheat in March 2005 at the price stated in the futures contracts. ... For a numerical example, take 100 troy oz. to be the standardized size for a ... Found insideInternational Finance 101 — grasp the basics of exchange rates, the relevance of exchange rates for all sorts of international business, and how macroeconomic variables affect the changes in exchange rates Predict change — find plain ... Found inside – Page 61By convention , futures prices are set such that futures contracts are traded ... to the numerical example , let the price of the futures contract at Date 0 ... Found inside – Page 37812 The price discovery and risk management capabilities of futures contracts are obvious when working through some basic numerical examples. Found inside – Page 516The flexibility afforded by the futures contracts allows the return to be ... the BPV for the futures contract 8, : error term A numerical example will help ... Found inside – Page 410The payoff on the 48 futures contracts equals minus £ 96,000 = ( 5100 ... with stock index futures A formal argument justifies the numerical example . This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Found inside – Page 171A Numerical Example If u = 1.5, d = 0.5, r = 1.25, K = 30, and F = 70, ... In the above example, it is optimal to exercise the call on the futures contract ... Found insideLet's now illustrate these arguments using a numerical example. Consider a futures contract on wheat that was entered into at a price of $2.50 per bushel. Found inside – Page 321... FVCI the 0,T futures denotes contract. the future Again, value for illustration as of Time purposes, we provide a numerical example: Suppose T = 0.25, ... Found inside – Page 408The KCBT - VLA stock index futures contract will be priced and traded in ... Hedging with the Contract : A Numerical Example In order to illustrate how the ... Found inside – Page 216In textbook markets, where the commodity on the futures contract is identical ... might already be able to formulate a simple numerical example of the type ... Found inside – Page 119... Teri (1989) for a numerical example). The agent organizes its affairs so that for a given futures contract the same bill is always used as collateral. Numerical examples are provided, and the mathematics is kept simple throughout.In this second edition, explanations have been improved, based on the authors' experience teaching the material, especially concerning the scope of state-price ... Found inside – Page 279In the previous example, shorting 100 futures contracts on the S&P 500, for example, would result in hedging out half the downside risk, effectively pulling ... Found inside236¥8; risk minimizing hedge using forward vs. futures contracts 241¥3; risk-minimizing ... Metallgesellschaft example 223; numerical example of 223¥4; ... Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. The authors combine their expertise and comprehensible writing style in this new book to convey technical material in an applied manner. Found insideA numerical example of volume of trading and open interest is given in Table ... many buyers and sellers dealing in a homogenous item, the futures contract. Suitable for advanced undergraduate or graduate business, economics, and financial engineering courses in derivatives, options and futures, or risk management, this text bridges the gap between theory and practice. Found inside – Page 647 Execution date: the date at which a futures or forward contract matures. ... 2 Provide a numerical example of making an economic profit from the use of a ... This new edition of Understanding Futures Markets is supported by online lecturer resources available at www.blackwellpublishing.com/ufm. Found inside – Page 345In the case of an interest rate futures contract, a decline in the futures ... present several numerical examples from the traditional commodities markets. 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