Hedging risk on futures contracts under stochastic interest rates

Article Abstract:

The 'relative pricing of multiperiod futures and futures contract under conditions of stochastic interest rates' is explored. The distribution of the terminal value hedging the dialy mark-to-market settlements for a general n-period futures contract is determined. A comparative evaluation of the effects of fixed and variable transaction costs on the pricing relationship between forward and futures prices is presented. It is shown that the uncertainty surrounding the hedger's wealth is proportional to the rate increase and to the number of days of the hedging period.

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Rolling over futures contracts: a note

Article Abstract:

The effect of rollover completion on closing prices of futures contracts was studied. The rollover of contracts refers to the changing of a maturing contract to a new contract. The rollover of most contracts are effected on delivery dates. A significant factor in rollovers are the price fluctuations reflected on the two contracts. It is suggested that rollovers on delivery dates should be postponed or changed since these result in substantial price fluctuations.

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Memory in returns and volatilities of futures' contracts

Article Abstract:

Issues are presented concerning the use of a biased-corrected example of the Hurst statistic to reexamine futures returns for stochastic long-memory behavior. The evidence for long-memory behavior is discussed.

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