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VaR on forward contracts

What you described will not work for calculation of VAR (if I understood correctly that you intend to work with the time series of forwards directly). You need to create a historical sample relative ...
achirikhin's user avatar
4 votes

Forward price confusion

Less quantitative answer: Suppose I want to enter into a contract to buy corn in 6 months. The seller will look at the current price of corn, among other factors, and make an offer for which they are ...
D Stanley's user avatar
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4 votes

Forward price confusion

Note that forwards can behave differently in different markets; let's assume we're talking about an equity market and specifically on some stock $S(t)$ paying a continuous dividend of $q$. Also, let's ...
Rylan's user avatar
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