Paul Zimmermann

Catholic University of Lille - IÉSEG School of Management, Lille Campus

3 rue de la Digue

Lille, 59000

France

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Scholarly Papers (1)

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Is Normal Backwardation Normal? Valuing Financial Futures with a Stochastic, Endogenous Index-Rate Covariance

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 04 Jun 2018
Philippe Raimbourg and Paul Zimmermann
Université Paris I Panthéon-Sorbonne and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 13 (569,126)

Abstract:

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Futures Contracts, Risk Premium, Normal Backwardation, Contango, Stochastic Covariance, Endogenous Covariance