Download This PaperA Short Course in Futures Pricing, Portfolio Management, and Trading
27 Pages Posted: 15 Apr 2020 Last revised: 20 Apr 2020
Date Written: March 21, 2020
Abstract
Futures are contracts to buy or sell things in the future. Holding a futures contract gives an exposure very similar to holding the physical asset since the two prices are related by arbitrage (buying the asset and selling the future or visa-versa).
Liquid exchange traded futures markets exist for equity indices, currencies, government bonds, interest rates, and commodities and many other assets. In many cases futures are a more efficient way of gaining exposure to movements in the asset price.
This is a short course through theory and practice of futures in three chapters:
Chapter 1: Pricing: Methods for pricing futures contracts on different assets
(mainly equities, bonds, and commodities).
Chapter 2: Portfolio Management:
Methods for managing a portfolio of futures.
Chapter 3: Trading: Practical
aspects of futures trading.
Keywords: Futures
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