Cash settlement of futures contracts: an economic analysis

Article Abstract:

An economic model for the cash settlement of futures contracts is presented. Convenience of settlement and physical delivery costs are two reasons this may be preferable in certain circumstances.

---

A theory of negative prices for storage

Article Abstract:

A model for the negative storage prices of commodities is presented. Backwardation as a risk premium and convenience are two explanations given for negative storage prices.

Prices and rates

---

Intraday volatility in interest rate and foreign exchange spot and futures markets

Article Abstract:

The correlation between macreconomic announcements and foreign exchange and interest rate futures and spot prices on an intraday basis is investigated and analyzed. Volatility patterns are also modeled.

Interest rate futures, Foreign exchange futures

Similar abstracts:

• Abstracts: Return and volatility dynemics in the FT-SE stock index and stock index futures market. The intraday distribution of volatility and the value of wildcard options
• Abstracts: Price movements and price discovery in the municipal bond index and the index futures market. The relationship between volume and price variability in futures markets

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.