Kolb, Robert W., Overdahl, James A.

 

Kolb, Robert W., Overdahl, James A.

3

54

 

Blackwell Publishing (Visit publisher website)

2006

English

 

 

 

Basic

 

 

Market risk, derivatives, futures, futures prices, futures price quotation, open interest, basis, spread, normal vs. inverted market, models of futures prices, arbitrage, cost-of-carry model, types of carrying costs, repurchase agreements, repo rates, transaction costs, bid-ask spread, unequal borrowing and lending rates, short sell restrictions, storage, full carry model, convenience yield, speculation with futures, risk aversion, theory of normal backwardation, net hedging hypothesis, futures and the Capital Asset Pricing Model (CAPM), futures prices vs. forward prices, statistical characteristics of futures prices, leptokurtosis, autocorrelation, market microstructure, Samuelson hypothesis

 

From the book - This chapter examines the fundamental factors that affect futures prices in general. There is little doubt that the determinants of foreign exchange futures prices and orange juice futures prices, for example, are very different. We must also recognize, however, that a common thread of understanding links futures contracts of all types. This chapter follows that common thread, while subsequent chapters explore the individual factors that affect prices for particular commodities. Perhaps the most basic and common factor affecting futures prices is the way in which their prices are quoted. [The] discussion of futures prices begins with reading the price quotations that are available every day in The Wall Street Journal (WSJ). [Further,] the basis, the spreads, the expected future spot price, and the cost of storage, all form a system of related concepts. This chapter describes the linkages among these concepts that are common to all futures contracts.

 

3.1 Overview
3.2 Reading Futures Prices
3.3 The Basis and Spreads
3.4 Models of Futures Prices
3.5 Futures Prices and Expectations
3.6 Futures Prices and Risk Aversion
3.7 Characteristics of Futures Prices
3.8 Conclusion
3.9 Questions and Problems
3.10 Notes

 

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Now in its sixth edition, Understanding Futures Markets by Robert Kolb (University of Colorado) and James Overdahl (Chief Economist of the Commodity Futures Trading Commission) provides the most comprehensive coverage of futures markets available. This new edition features updated and enhanced discussions on:

* event markets, proposition markets, weather futures, and macro futures
* globalization of futures markets
* electronic trading platforms and the rise of electronic trading
* manipulation of futures markets and methods of deterrence
* The Commodity Futures Modernization Act of 2000 and its effect on market regulation
* hedging in a corporate environment
* uses of futures by government entities
* energy futures products
* recent fiascos involving energy futures and related derivatives
* single stock futures products and narrow-based stock index futures
* accounting and taxation features of futures markets.

Clearly written and accessible, this is the authoritative text for students and practitioners alike looking for an in-depth treatment of futures markets.