Stock Index Futures

ISBN-13: 9780815397205 / Angielski / Twarda / 2017 / 534 str.

Charles M. S. Sutcliffe

Opis

The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets

Spis treści

Contents: Preface. Preliminaries: Stock market indices; Introduction to futures trading. Arbitrage: Arbitrage and the valuation of stock index futures; Arbitrage in practice; Arbitrage and relaxing the assumptions. Prices: Basics, spreads and the risk premium; Maturity, price volatility and volume; Market efficiency. Uses: Hedging; The uses of stock index futures by fund managers. Others: The design and regulation of futures contracts; Further topics in index futures; Questions; Glossary; References; Index.