TAILIEUCHUNG - Lecture Investments (6/e) - Chapter 23: Futures markets

The previous chapter provided a basic introduction to the operation of futures markets and the principles of futures pricing. This chapter explores both pricing and risk management in selected futures markets in more depth. Most of the growth has been in financial futures, which now dominate trading, so we emphasize these contracts. | Chapter 23 Futures and Swaps: A Closer Look Futures markets Chicago Mercantile (International Monetary Market) London International Financial Futures Exchange MidAmerica Commodity Exchange Active forward market Differences between futures and forward markets Foreign Exchange Futures Interest rate parity theorem Developed using the US Dollar and British Pound where F0 is the forward price E0 is the current exchange rate Pricing on Foreign Exchange Futures Text Pricing Example rus = 5% ruk = 6% E0 = $ per pound T = 1 yr If the futures price varies from $ per pound arbitrage opportunities will be present. Hedging Foreign Exchange Risk A US firm wants to protect against a decline in profit that would result from a decline in the pound: Estimated profit loss of $200,000 if the pound declines by $.10. Short or sell pounds for future delivery to avoid the exposure. Hedge Ratio for Foreign Exchange Example Hedge Ratio in pounds $200,000 per $.10 change in the pound/dollar exchange .

• Quỹ đầu tư
• Investment environment
• Lecture Investments
• Active portfolio management
• Capital markets
• Foreign exchange futures
• Investment analysis
• Portfolio management
• Investment management
• Investment theory
• Investment companies
• Time value of money
• Doctoral thesis summary
• The impact of the investment environment
• Investment decisions
• Small and medium enterprises
• Investment decision of the business
• Characteristics of investment