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Forwards and futures valuation

Grinblatt, M., and N. Jegadeesh. 2000. Futures vs. Forward Prices Implications for Swap Pricing and Derivatives Valuation. In Jegadeesh, N., and B. Tuckman, eds. Advanced Fixed-Income Valuation Tools. New York John Wiley Sons. [Pg.337]

The resulting derived forward curve should be as smooth as possible, again because the aim is to provide information on the future level and direction of interest rates, and expectations on central bank monetary policy, rather than an accurate valuation of financial instruments along the maturity term structure ... [Pg.88]

See other pages where Forwards and futures valuation is mentioned: [Pg.95]    [Pg.97]    [Pg.99]    [Pg.101]    [Pg.103]    [Pg.337]    [Pg.121]    [Pg.123]    [Pg.125]    [Pg.127]    [Pg.129]    [Pg.455]    [Pg.95]    [Pg.97]    [Pg.99]    [Pg.101]    [Pg.103]    [Pg.337]    [Pg.121]    [Pg.123]    [Pg.125]    [Pg.127]    [Pg.129]    [Pg.455]    [Pg.96]    [Pg.30]    [Pg.77]    [Pg.463]   
See also in sourсe #XX -- [ Pg.121 , Pg.130 ]



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