Example sentences of "[prep] future " in BNC.
Next page| No | Sentence |
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| 1 | An obvious way to examine whether marking to the market in the presence of stochastic interest rates leads to a difference between futures and forward prices , is to compare actual futures and forward prices for the same asset . |
| 2 | ( See Chapter 2 for a list of differences between futures and forward markets . ) |
| 3 | Twite ( 199Ob ) examined daily values of the Australian All Ordinaries index between 1983 and 1986 and found a significantly positive correlation between futures returns and the riskless rate of interest . |
| 4 | A study of the MMI by Chang , Loo and Chang ( 1990 ) analysed the difference between futures and forward prices using a test which differs from those proposed by Cox , Ingersoll and Ross ( 1981 ) . |
| 5 | It appears that the effect of marking to the market with stochastic interest rates is generally rather small , can vary as between futures ( depending on the sensitivity of their price to movements in interest rates ) and may also vary over time for the same future . |
| 6 | They demonstrate that when futures are indivisible , even if movements in futures prices can be predicted and interest rates are constant ( and so there is zero correlation between futures prices and interest rates ) , futures and forward prices will differ . |
| 7 | Thus the Cox , Ingersoll and Ross result is changed , and forward and futures prices will differ , even when there is zero correlation between futures prices and interest rates . |
| 8 | There is a close relationship between futures prices and spot prices , especially as the delivery date approaches . |
| 9 | There are two other explanations of the relationship between futures prices and expected future spot prices , one consistent with the backwardation relationship and the other consistent with the contango relationship . |
| 10 | The professional exams for futures dealers are hogwash as far as the directors of some firms are concerned . |
| 11 | Cox , Ingersoll and Ross ( 1981 ) have shown that , if riskless interest rates are certain ( and the other assumptions listed in Chapter 4 apply ) , despite the presence of marking to the market for futures contracts , futures and forward contracts have an identical price . |
| 12 | Thus , if the no-marking-to-the-market assumption is replaced with an assumption that riskless interest rates are certain , the no-arbitrage condition in Chapter 4 for futures prices still applies . |
| 13 | Modest and Sundaresan ( 1983 ) have shown that the no-arbitrage condition for futures on a geometric index is different from that for an arithmetic index . |
| 14 | The term y must be positive , and so the no-arbitrage price for futures on a geometric index is lower than for the corresponding arithmetic index . |
| 15 | While there is an exact no-arbitrage price for futures on geometric indices , it requires the calculation of y , and this may be difficult and may cause the arbitrage to be risky . |
| 16 | If marking to the market exists , this condition is not met for futures , and has been discussed above in connection with the no-marking-to-market assumption . |
| 17 | Although the regulatory systems for futures markets have generally prevented defaults , the probability of a default must always exist to some small ( and variable ) degree . |
| 18 | Thus , the omission of a default premium from the no-arbitrage condition is probably of little consequence for futures traded on established and well-regulated exchanges . |
| 19 | The derivation of the no-arbitrage condition for futures prices assumes that the value of the index is given . |
| 20 | If a rate of return could also be defined for futures markets , futures could then be treated as an additional asset in portfolio and capital market theories , and the concept and tests of market efficiency could also be extended , in a straightforward manner , to futures markets . |
| 21 | The security market line is usually stated in terms of rates of return but , as discussed in Section 7.1 , the notion of a rate of return for futures has proved problematic . |
| 22 | This avoids the problems of defining returns for futures contracts . |
| 23 | C it is shown that the demand for futures can be split into speculative and hedging components , and that it is rational for a risk-averse trader to speculate and hedge simultaneously in the same future . |
| 24 | Hemler and Longstaff ( 1991 ) used a general equilibrium model to derive a pricing equation for futures prices ( see Chapter 5.3.24 ) . |
| 25 | A number of empirical studies of the volatility-maturity relationship for futures , other than index futures , are summarized in Table 8.2 . |
| 26 | While this assumption is questionable for shares due to short selling difficulties , it is more acceptable for futures contracts . |
| 27 | Volatility for futures prices was measured as the square root of the absolute value of the natural logarithm of the daily price relatives , multiplied by 252 , that is , . |
| 28 | In April 22 traders were charged with illegal trading , and the Justice Department announced on Aug. 2 that a total of 46 traders had been indicted for futures fraud . |
| 29 | The RIE does escape the financial resources requirements which would apply to an ordinary authorised firm , but for futures exchanges , capital matters are in any case delegated to the London Clearing House . |
| 30 | Very few Account Executives ( AEs ) at DPR Futures knew anything beyond the most basic facts about futures . |