바로가기메뉴

본문 바로가기 주메뉴 바로가기

logo

  • P-ISSN1226-0657
  • E-ISSN2287-6081
  • KCI

ISSN : 1226-0657

Article Contents

Prev
e-Submission

Vol.21 No.1

Citation Share

PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2014, v.21 no.1, pp.77-93
https://doi.org/10.7468/jksmeb.2014.21.1.77
Pu, Yuqi
Kim, Seki
Pu,, Y. , & Kim,, S. (2014). PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 21(1), 77-93, https://doi.org/10.7468/jksmeb.2014.21.1.77

Abstract

This paper focuses on computational contractual distinctions as an explanation for the spread between a forward contract and a similar futures contract which is derived and investigated. We evaluate this spread by constructing a time series model, which was established based on copula functions, and also show that the forward-futures spread is more significant for long maturity.

keywords
copulas, forward-futures spread, time series model, stochastic simulation

Reference

1.

Chen, X. & Fan, Y.. (2006). Estimation of Copula-Based Semi-parametric Time Series Model. Journal of Econometrics, 130, 307-335. 10.1016/j.jeconom.2005.03.004.

2.

Fredricks, G.A. & Nelsen, R.B.. (2007). On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables. Journal of Statistical Planning and Inference, 137(7), 2143-2150. 10.1016/j.jspi.2006.06.045.

3.

Genest, C. & Rivest, L.P.. (1993). Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association, 88(423), 1034-1043. 10.1080/01621459.1993.10476372.

4.

Grinblatt, M. & Jegadeesh, N.. (1996). Relative pricing of Eurodollar futures and forward contracts. The Journal of Finance, 51(4), 1499-1522. 10.1111/j.1540-6261.1996.tb04077.x.

5.

J.C. Hull. Options, Futures and Other Derivatives.

6.

Kendall, M.G.. (1938). A new measure of rank correlation. Biometrika, 30(12), 81-93. 10.1093/biomet/30.1-2.81.

7.

Murawski, C.:. On the Forward-Futures Spread and Default Risk.

8.

Nelsen, R.B.. An Introduction to Copulas.

9.

Pumi, G. & Lopes, S.R.. Simulation of Univariate Time Series Using Copulas.

10.

Schmidt, T.. Coping with copulas. Chapter forthcoming in Risk Books: Copulas-from theory to applications in finance.

11.

Shreve, S.E.. Stochastic Calculus for Finance II -Continuous-Time Models.

12.

Cox, J.C.; Ingersoll Jr, J.E. & Ross, S.A.. (1981). The relation between forward prices and futures prices. Journal of Financial Economics, 9(4), 321-346. 10.1016/0304-405X(81)90002-7.

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

e-Submission OA Policy