All Questions
17 questions
1
vote
0
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183
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Crypto perpetual futures (swaps) pricing away from instantaneous moment of funding
Most perpetual futures offered by crypto exchanges employ a funding payment mechanism, that acts to periodically return the price of the perpetual to the underlying index price. The mechanism is ...
- 11
0
votes
0
answers
116
views
Why would one need forward prices to perform derivatives pricing?
I am trying to understand the purpose of inputs the software of my company is using. Amongst others it needs calibration instruments, a model type, initial values of the respective underylings and a ...
- 271
1
vote
0
answers
62
views
Pricing of a tracker certificate on basket of index futures
i'm new to Quant Stack Exchange but i already saw that the quality of the answers is outstanding, however, i have a question for which i haven't found an answer yet:
I'm looking for a pricing model/ ...
- 600
1
vote
1
answer
619
views
Pricing of forwards contracts
Of the courses I am taking in college this semester, two are Financial Mathematics and Derivatives. In each course, we learn different formulas to calculate the forward price of a forward contract. ...
user52981
-1
votes
1
answer
683
views
Delta of a forwards contract
in university's lecture notes, from what I understand using the replication of portfolio principle to price derivates, the forward price of a contract K should be: $K = P_0(1+r)$ where $P_0$ is the ...
1
vote
0
answers
97
views
Can arbitrage arguments be rearranged to avoid selling? (Hull, Chapter 5)
Suppose forward contracts are traded on a consumption asset, so there aren't necessarily people ready and willing to sell the asset to jump on an arbitrage opportunity. Suppose the asset has no yield, ...
- 111
3
votes
1
answer
375
views
Why are some metals in contango (inverted) forward curve and some in backwardation (normal) forward curve?
I am scrolling through the various metals on lme.com and some are in contango and some in backwardation. For example:
Copper: backwardation
Aluminium: contango
Further examination of other metals ...
- 472
1
vote
1
answer
1k
views
FX Forward rate agreement valuation in quantlib
I am trying to value an FRA in quantlib Python using the below code:
...
user47760
1
vote
1
answer
519
views
What happened to future price if rates become negative?
Imagine the spot price of a non deliverable and not paying dividend asset is 100\$. With positive rate, the theoretical formula $F = S \cdot e^{rT}$ give us a future price higher, let's say 105.
If ...
- 385
2
votes
0
answers
158
views
FX Average Forward Pricing
Lookin for documentation on how to price FX Arithmetic Average Rate Forwards.
Couldn't find any info on textbooks.
Any help is very appreciated.
- 21
0
votes
1
answer
812
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Confusion in forward contract pricing on a stock using the binomial model
In the financial engineering course I am taking we are studying how to use the binomial model to price derivatives, one of which is the forward. For this question it is related to a forward contract ...
user20664
8
votes
2
answers
9k
views
How to derive Black's formula for the valuation of an option on a future?
I've got a question about 1976 Black Model and Bachelier model.
I know that a geometric brownian motion in the P measure $dS_{t}=\mu S_{t}dt+\sigma S_{t} dW_{t}^{P}$ for a stock price $S_{t}$ leads (...
- 101
0
votes
1
answer
101
views
Finding circumstances for price of call = price of put
Here is a problem in Hull's book and the given solution:
My approach was to compute the profit $\pi = \pi_{SP} + \pi_{LC}$ (short put, long call).
One can show that $\pi = \pi_{SP} + \pi_{LC} = S_T -...
- 935
1
vote
0
answers
68
views
Why is the forward price set to make the value of the forward contract to 0 when it is signed? [closed]
When I study the forward contract, I read that the forward price must be the price that makes the the value of the contract zero.
I searched for the answer, but there are many versions.
Some say it ...
- 143
2
votes
1
answer
421
views
What is the filtration described?
What is the filtration $(\mathfrak{F}_t)$ encircled below?
Is it $(\mathfrak{F}_t) = (\sigma(W_t)) = (\sigma(\tilde{W_t})), t \in [0,T]$?
Or is it $(\mathfrak{F}_t) = (\sigma(\hat{W_t})), t \in [0,T]...
- 935
1
vote
1
answer
139
views
Differential equation involving bond price and forward rate
Given forward rate f(t,T) and bond price P(t,T) where
$f(t,T) = - \frac{\partial}{\partial T} \ln P(t,T)$,
$P(T,T) = 1 = P(t,t)$,
T>0 and
$t \in [0,T]$
Does it follow that $P(t,T) = exp(-\int_{t}^...
- 935
3
votes
2
answers
409
views
Pricing forward contract on a stock
Please tell me where I've gone wrong (if I did in fact make a mistake). I'm pricing a long forward on a stock. The usual setup applies:
This has payoff $S(T) - K$ at time $T$.
We are at $t$ now.
$S(...
- 1,510