Derivatives, risk management & value

This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc. Written in a simple manner and amply supported by real w

2.2.3.3. Futures contracts on a security with no income.

Dedication; Foreword by Edward C. Prescott; Foreword by Harry M. Markowitz; Foreword by James J. Heckman; Foreword by George M. Constantinides; About the Author; CONTENTS; PART I. FINANCIAL MARKETS AND FINANCIAL INSTRUMENTS: BASIC CONCEPTS AND STRATEGIES; CHAPTER 1. FINANCIAL MARKETS, FINANCIAL INSTRUMENTS, AND FINANCIAL CRISIS; Chapter Outline; Introduction; 1.1. Trading Characteristics of Commodity Contracts: The Case of Oil; 1.1.1. Fixed prices; 1.1.2. Floating prices; 1.1.3. Exchange of futures for Physical (EFP).

1.2. Description of Markets and Instruments: The Case of the International PetroleumExchange1.3. Characteristics of Crude Oils and Properties of Petroleum Products; 1.3.1. Specific features of some oil contracts; 1.3.2. Description of Markets and Trading Instruments: The BrentMarket; 1.4. Description of Markets and Trading Instruments: The Case of Cocoa; 1.4.1. How do the futures and physicals market work?; 1.4.2. Arbitrage; 1.4.3. How is the ICCO price for cocoa beans calculated?; 1.4.4. Information on how prices are affected by changing economic factors?; 1.4.5. Cocoa varieties.

1.4.6. Commodities -- Market participants: The case of cocoa, coffee, and white sugar…