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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Forwards and Futures
verfasst von : Damir Filipović
Erschienen in: Term-Structure Models
Verlag: Springer Berlin Heidelberg
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In this chapter, we discuss two common types of term contracts: forwards, which are mainly traded over the counter (OTC), and futures, which are actively traded on many exchanges. The underlying is in both cases a
T
-claim
$\mathcal{Y}$
, for some fixed future date
T
. This can be an exchange rate, an interest rate, a commodity such as copper, any traded or non-traded asset, an index, etc. We discuss interest rate futures and futures rates in a separate section and relate them to forward rates in the Gaussian HJM model.