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חוזים
The document discusses derivatives contracts including futures, forwards, and options. It also mentions commodities markets and defines key participants in futures markets like hedgers, arbitragers, market makers, and investors. Pricing models for futures contracts are presented, including the formula that the futures price is equal to the spot price plus interest rate effects. The interest rate parity theory is shown, along with an example calculation.
חוזים
- 1. 1 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor DERIVATIVES •FUTURES CONTRACT •FORWARD CONTRACT •OPTION CONTRACT
- 2. 2 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor COMMODITIES
- 3. 3 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor Future s Marke t Hedgers Arbitragers Market Makers Investors Futures Market
- 4. 4 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor Spot Market Hedgers Arbitragers Market Makers Investors Futures Market
- 5. 5 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor PRICING t rSF )1(
- 6. 6 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor INTEREST PARITY THEORM *)1( )1( t t r rS F
- 7. 7 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor EXAMPLE 666,6661,000,000$ 1,050,000$ 733,333
- 8. 8 פרופ'אלדור רפי©All rightsreserved to prof. Rafi Eldor EXAMPLE 02.4 005.1 1.01 4.00 *)1( )1( t t r rS F