Stock Index Futures

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Ashgate Publishing, Ltd., Jan 1, 2006 - Business & Economics - 512 pages
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The global value of trading in index futures is about $20 trillion per year and rising; for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the sub
 

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Contents

Stock Market Indices
3
Introduction to Futures Trading
19
Arbitrage and the Valuation of Stock Index Futures
53
Arbitrage in Practice
85
Arbitrage and Relaxing the Assumptions
113
Basis Spreads and the Risk Premium
149
Maturity Price Volatility and Volume
199
Market Efficiency
221
l0 The Uses of Stock Index Futures by Fund Managers
301
The Design and Regulation of Futures Contracts
339
l2 Further Topics in Index Futures
385
Questions
427
Glossary
433
References
447
Index
495
Copyright

Hedging
253

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About the author (2006)

Charles M. S. Sutcliffe is Professor of Finance at the ICMA Centre, University of Reading, UK.

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