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On the Term Structure of Futures and Forward Prices
KTH, Superseded Departments, Mathematics.
2002 (English)In: Mathematical Finance - Bachelier Congress 2000 / [ed] Geman, Helyette, Madan, Dilip, Pliska, Stanley, Vorst, Ton, Springer-Verlag , 2002, 111-150 p.Conference paper, Published paper (Other academic)
Abstract [en]

We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the properties of futures and forward convenience yield rates. For finite dimensional factor models, we develop a theory of affine term structures, which is shown to include almost all previously known models. We also derive two general pricing formulas for futures options. Finally we present an easily applicable sufficient condition for the possibility of fitting a finite dimensional futures price model to an arbitrary initial futures price curve, by introducing a time dependent function in the drift term.

Place, publisher, year, edition, pages
Springer-Verlag , 2002. 111-150 p.
National Category
Mathematics Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-12542OAI: oai:DiVA.org:kth-12542DiVA: diva2:317789
Conference
Mathematical Finance - Bachelier Congress 2000
Note
QC 20100505Available from: 2010-05-05 Created: 2010-05-05 Last updated: 2012-02-14Bibliographically approved
In thesis
1. On the term structure of forwards, futures and interest rates
Open this publication in new window or tab >>On the term structure of forwards, futures and interest rates
2001 (English)Doctoral thesis, comprehensive summary (Other scientific)
Place, publisher, year, edition, pages
Stockholm: KTH, 2001. x, 20 p.
Series
Trita-MAT. OS, ISSN 1401-2294 ; 01-OS-01
Keyword
Term structure, Markovian realizations, affine term structures.
National Category
Computational Mathematics
Identifiers
urn:nbn:se:kth:diva-3086 (URN)993-435766-6 (ISBN)
Public defence
2001-02-16, 00:00 (English)
Note
QC 20100505Available from: 2001-02-14 Created: 2001-02-14 Last updated: 2010-05-05Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf