A.L. Verminburger
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Bid Price of a Forward?
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The typical no arbitrage argument for carry (price change) comes from a bid perspective. I am selling you a forward (delivery of underlying) for some price $F$ in $\tau$ future term. I can go into the ...

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Large trend-followers: why use futures rather than ETFs?
2 votes

I am going to speculate here. Scale. Say for equities the futures market is bigger than the actual spot market (presumably because you can have cash-settled rather than physically settled contracts); ...

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Why do futures seem to be quoted in setllement price rather than cost of the contract?
0 votes

The way I find helpful to think about this is that exchanges are mechanisms of information discovery (the quote that is formed signals agreement between the two parties). In a futures exchange (which ...

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Why the Inconsistency in the Derivation of BS for Dividend-Paying Underlying?
1 votes

In the first $\Delta \Pi$ expression we are trying to eliminate risk from the portfolio. It just so happens that to do the delta hedging in this case we need to take into account the dividend. The ...

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Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?
0 votes

I would like to offer an additional opinion why price time series dominate equity and yield values (not necessarily the whole term structure) -- fixed income. $$\text{total return} = \text{yield} + \...

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Deriving the Forward Rate Formula from the Expectation Hypothesis
Accepted answer
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We start with the expectation hypothesis (current spot rate is the product of all future short spot rates): $$\Big(1+y(t=0, m = \mu)\Big)^{\mu} = \prod_{t=0}^{\mu-1}\Big(1 + y(t, m =1)\Big)$$ We then ...

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