f******y
发帖数: 2971 | 1 In John Hull's book, it is said that,
F(t)=S(t)exp(r delta_t)
where delta_t is the time to maturity. According to this formula the futures
curve should be an exponential line. This is not true in practice. What is
the main reason for this difference? I guess stochastic interest rate is one,
what else? Thanks. | B****y
发帖数: 791 | | J*****n
发帖数: 4859 | 3
futures
is
one,
这个问题很复杂了，特别对于商品期货。
【在 f******y 的大作中提到】
: In John Hull's book, it is said that,
: F(t)=S(t)exp(r delta_t)
: where delta_t is the time to maturity. According to this formula the futures
: curve should be an exponential line. This is not true in practice. What is
: the main reason for this difference? I guess stochastic interest rate is one,
: what else? Thanks.
| t********t
发帖数: 1264 | 4 you have to consider several things
first, the futures price is not forward price. Hull's formula is for forward
contract. The future contract actually is the risk neutral expectation of
future spot price due to its "mark to market" property. The risk neutral
expectation includes the interest rate changes during the life of contract.
second, even for a forward contract, the unknown convenience yield(
particular for commodity) will make its price very different from s*exp(rt).
that's why what you | J*****n
发帖数: 4859 | 5
forward
).
恩，纠正一下，你说是两种不同的理论
risk premuim那套叫theory of normal backwardation
convenience yield那套叫做theory of storage
两者的假设不太相同的。
risk那套是根据场中hedger和speculator的互动来解释，convenience那套是根据库存
来解释。
【在 t********t 的大作中提到】
: you have to consider several things
: first, the futures price is not forward price. Hull's formula is for forward
: contract. The future contract actually is the risk neutral expectation of
: future spot price due to its "mark to market" property. The risk neutral
: expectation includes the interest rate changes during the life of contract.
: second, even for a forward contract, the unknown convenience yield(
: particular for commodity) will make its price very different from s*exp(rt).
: that's why what you
| J*****n
发帖数: 4859 | 6
去ssrn，搜commodity return，随便找一篇，中间都有提到相关的survey。 |
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