Universidad Autónoma de Madrid

Derivatives Markets
2020/21

Topic 3: Future Contracts and Markets

Ricardo Correia: Departamento de Financiación e Investigación Comercial - UDI de Financiación

Forward Instruments and Markets

3.1. Introduction
3.2. Future and forward prices
3.3. Hedging with futures
3.4. Hedging market risk

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Futures – Definition

• A future contract represents an agreement to buy or sell an asset for a

certain price at a certain time. It gives the seller (buyer) the obligation to
sell (buy) at a certain price in a given moment.
‒ In theory, buying a future (being long on a futures contract) locks in the
purchasing price of the underlying asset;
‒ In theory, selling a future (being short on a futures contract) locks in the
selling price of the underlying asset.

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Specifications of the futures contracts

• Type of asset;
• Quantity;
• Exchange where is traded;
• Where it can be delivered;
• When it can be delivered;
• How it can be delivered;
• Margins.

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Type of asset

• Commodities (1859);
• Currencies (1972);
• Bonds (1975);
• Indexes (1982);
• Interest rates (1984);
• Shares (1988);
• Swaps (1991);
• Etc...

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Exchanges Trading Futures

• Chicago Board of Trade;

• Chicago Mercantile Exchange;
• LIFFE (London);
• Eurex (Europe);
• BM&F (Sao Paulo, Brazil);
• TIFFE (Tokyo);
• and many more (see list at end of Hull’s book).

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Examples of Futures Contracts

Agreement to:
• Buy 100 oz. of gold @ US$400/oz. in December (NYMEX)
• Sell £62,500 @ 1.5000 US$/£ in March (CME)
• Sell 1,000 bbl. of oil @ US$20/bbl. in April (NYMEX)

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Examples of futures contracts characteristics

• Quantity:
‒ Future on shares Euronext – 100 shares
‒ Future on Eurobunds Eurex– 1 Bund with notional of 100.000 Euros
‒ Currency future GBP/USD Euronext.Liffe – 62.500 GBP
• Quality:
‒ Future on shares Euronext – shares listed in Euronext
‒ Futures on Eurobunds Eurex – Bunds with a maturity longer than 6 and half years and before 11
years
• Delivery date:
‒ Futures on shares Euronext
‒ Last trading day: 3rd Tuesday on the delivery month
‒ Delivery date: 3 working days after the last trading day
‒ Currency Futures GBP/USD Euronext.Liffe
‒ Last trading day: 2 working days before the 3rd Tuesday of the delivery month
‒ Delivery date: 3rd Wednesday of the delivery month
• Delivery place:
‒ “Copper Grade A Futures” of LME – warehouses approved by LME in the UK: Avonmouth, Goole,
Hull, Liverpool, Newcastle and Sunderland
‒ Coffee futures of BM&F – warehouses approved by the exchange in S.Paulo, Paraná and Minas
Gerais.

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Rights and obligations

Rights Trading date Delivery date

Receive the underlying
Buyer None
asset
Receiving the value of the
Seller None
underlying asset
Obligations Trading date Delivery date
Pay the value of the
Buyer Make the margin deposit
underlying asset
Deliver the underlying
Seller Make the margin deposit
asset

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Delivery and settlement

• If a futures contract is not closed out (taking a contrary position on the

future contracts) before maturity, it is usually settled by delivering the
assets underlying the contract.
• When there are alternatives about what is delivered, where it is
delivered, and when it is delivered, the party with the short position
chooses.
• Some contracts such as indexes are settled in cash.

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Volume and Open Interest

• Volume of trading (similar to exchange traded cash markets):

‒ The number of trades in 1 day;
• Open interest (specific to derivatives exchanges):
‒ The total number of contracts outstanding. The open interest is then equal
to the number of long positions or number of short positions still open.

• Questions:
‒ When a new trade is completed what are the possible effects on the
open interest?
‒ Can the volume of trading in a day be greater than the open
interest?

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Settlement prices

• The settlement price is used for the daily settlement process;

• The settlement prices can be:
‒ The closing price just before the bell finishes the trading for the day (not
common);
‒ Reference price, usually calculated as an average of trades.
• E.g.:
‒ Daily settlement price: Volume weighted average price (VWAP) of the futures
transactions calculated over a 60 second interval ending at 17:30 CET. If less than five
transactions occur, the VWAP of the last five transactions conducted in the last 15
minutes before 17:30 CET or the mid-point of bid/ask prices in the order book before
17:30 CET is used.
‒ Final settlement price: VWAP of all transactions executed during the final trading
minute ending at 15:00 CET. If no adequate prices are available, Eurex Exchange will
use the average mid-price of the last displayed bid ask spot prices over a 60 second
interval ending at 15:00 CET that are published by the data provider designated by
Eurex Clearing.

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Forward Instruments and Markets

3.1. Introduction
3.2. Future and forward prices
3.3. Hedging with futures
3.4. Hedging market risk

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Future and Forward prices

• In a perfect market (e.g. with infinitely divisible futures) with non

stochastic (known) interest rates, futures prices equal forward prices.
• When interest rates are uncertain they are, in theory, slightly different:
‒ A strong positive correlation between interest rates and the asset price
implies the futures price is slightly higher than the forward price;
‒ A strong negative correlation between interest rates and the asset price
implies the futures price is slightly lower than the forward price;
‒ If the correlation between the futures returns and interest rates is zero the
future price should be equal to the forward price.
• Empirical studies tend to show that on average there are no significant
differences between futures and forward prices.

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Convergence of Futures to Spot and Basis

• The future price converges towards the spot price as the delivery date
approaches.
• The difference between the future and spot prices is called the basis. At
the delivery date the basis is zero.

Spot Price
Futures Price

Spot Price Futures Price

Delivery date Delivery date

Time Time

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Futures and Spot Prices – Basis and Hedging

• Basis refers to the difference between the price of a cash asset and the
futures price
Basis = Cash price – futures price
• For a hedger the important measure for the basis is not the difference
between the spot price for the asset underlying the futures contract and
its future price.
• The important basis is the difference between the price of its cash asset
and the futures price:
‒ An unhedged investor is exposed to price risk;
‒ A hedged investor is exposed to basis risk;
‒ Essentially, a hedger with futures exchanges price risk for basis risk.

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Futures and Spot Prices – Basis and Hedging

• Combining the definition of basis with the cost of carry model we find a
theoretical value for the basis:
Basis = Carry returns – Carry costs
• Due to this and to convergence some of the change in basis is
predictable.
• If the basis were perfectly predictable at the end of the hedging horizon
there would be a perfect hedge.

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Future prices and expected future spot prices

• The question is ‘Do future prices represent the expected future spot
prices?’

• There are different theories about this relationship:

‒ Unbiased expectations theory;

‒ Market imperfections;

‒ Risk premiums.

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Unbiased expectations theory

• According to the unbiased expectations hypothesis of future prices, the

futures price equals the market expectation of what the future spot
price will be.

Ft = E(St)
• With non carry assets the futures prices reflect expected supply and
demand of the commodity at the delivery date. As so the future price in
non carry commodities does reflect the market’s expectation of the
future spot price.
• According to the CAPM if the asset underlying the future contract has no
systematic risk, then the future price is an unbiased estimate of the
expected future spot price (see proof in following slides).

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Market imperfections

• With carry assets future prices are determined by the cost of carry model
that takes into account the carry costs, the carry returns and the spot
price of the commodity.
• Any expectation about the expected future spot prices is incorporated
into the spot price.
• As we incorporate market imperfections (transaction costs, bid and ask
spreads, etc) into the cost of carry model we verify that the future
expected spot price lies within a range of possible prices.

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Risk premiums

• Some theories state that futures prices are biased indicators of what
future spot prices will be.
• They predict the existence of a futures risk premium, representing the
difference between the market’s expectation of the future spot price and
the future price.
• Keynes (1930) was the first to propose such theory and stated that:
‒ Hedgers are short futures and are willing to lose a little to obtain
protection against a possible decrease in price;
‒ Speculators are long futures, but they demand a premium for
assuming such a position.
• Therefore, according to this theory the futures price must be bellow the
spot price that investors expect to prevail at delivery.

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Normal backwardation

• When the risk premium is positive the market situation is designated as

a normal backwardation and Ft < E(St)
• According to the CAPM if the asset underlying the future contract has
systematic risk, then the future price is lower than the expected future
spot price (see proof in following slides).

Expected
Future spot
price
E(St)

Futures price

Time

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Contango
• When hedgers are long on futures and speculators are short on futures is
designated as contango. In contango markets the futures price lies
above the expected future spot price and Ft > E(St)
• According to the CAPM if the asset underlying the future contract has
negative systematic risk, then the future price is higher than the
expected future spot price (see proof in following slides).

Price
Futures price

E(St) Expected
Future spot
price

Time

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Future prices and expected future spot prices

• Suppose k is the expected return required by investors on an asset and

it is determined by CAPM;
• We can invest F0e–rT at the risk-free rate and enter into a long futures
contract so that there is a cash inflow of ST at maturity;
• This shows that,

or

• If the asset has:

‒ No systematic risk, then k = r and F0 is an unbiased estimate of ST;
‒ Positive systematic risk, then k > r and F0 < E(ST) (Backwardation);
‒ Negative systematic risk, then k < r and F0 > E(ST) (Contango).

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Future prices and expected future spot prices

• Several other aspects have been put forward to explain the relation
between the futures prices, future expected spot prices and changes
between normal backwardation and contango such as:
‒ Seasonality of hedging activities on non carry commodities;
‒ Fluctuations in the supply of money (money markets);
‒ Fluctuations in the supply of the commodity (physical markets);
‒ Hedgers care about the selling prices but also the purchasing prices (they can
have simultaneously long and short futures positions).
• Empirical evidence is mixed and does not present a strong supporting
case for the biased indicator theory, although more recent studies report
the existence of risk premiums.

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Forward Instruments and Markets

3.1. Introduction
3.2. Future and forward prices
3.3. Hedging with futures
3.4. Hedging market risk

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Long Hedge

• The hedge is called long because the hedger assumes a long position on the
futures market (buys futures).
• Hedger is short in the cash market:
‒ Has to buy the underlying asset on a future date at its future spot price (purchasing
price);
‒ Short sold the underlying asset;
‒ Sold a forward on the asset.

• In terms of risk variation, he seeks protection from a future increase in the price
of the underlying asset.
• With a long hedge, the hedger aims at locking in the purchasing price of the
underlying asset.

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Short Hedge

• The hedge is called short because the hedger assumes a short position on the
futures market (sells futures).
• Hedger is long in the cash market:
‒ He owns the asset and wants to sell it on a future date at its future spot price (selling
price).
‒ He still does not own the underlying asset, but it will produce it and wants to sell it on
a future date at its future spot price (selling price).
‒ Bought a forward on the asset.

• In terms of risk variation, he seeks protection from a future decrease in the

price of the underlying asset.
• With a long hedge, the hedger aims at locking in the selling price of the
underlying asset.

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Simple hedges with futures – locking-in prices

• Consider the following hedging scenario in which:

‒ The underlying asset on the futures contract is lumber type X;
‒ The delivery date on the future contract is December;
‒ The size of the contract is 1.000 nominal board feet (bd.ft.) (QF=1.000);
‒ The contract stipulates financial settlement;
‒ The current future price of December Futures on lumber is $5/bd.ft (F0=$5);
‒ The spot value of lumber X is $4,8/bd.ft (Basis is $-0,2/ bd.ft) (S0=$4,8).

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Simple hedges with futures – locking-in prices

• A furniture producer plans a purchase of lumber:

‒ He loses if the price of lumber increases, because his purchasing costs will go up →
furniture producer is short in the cash market;
‒ His hedging strategy will be a long hedge;
‒ The lumber type is X;
‒ The purchase of 5.000 bd.ft will be in December.

• A forestry firm plans a sale of lumber:

‒ The firm loses if the price of lumber decreases, because its revenues will go down →
forestry firm is long in the cash market;
‒ Its hedging strategy will be a short hedge;
‒ The lumber type is X;
‒ The sale of 5.000 bd.ft will be in December.

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Simple hedges with futures – locking-in prices

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Simple hedges with futures – locking-in prices

• What happens to the furniture producer and the forestry firm if in the
delivery date the spot price of lumber (ST) is:
‒ $7/ bd.ft.?
‒ $4/ bd.ft.?
‒ $5/ bd.ft.?

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Simple hedges with futures – locking-in prices
• Results for December Spot Price ST = $7/bd.ft.:
• Furniture producer:
‒ Cash market:
Buys 5.000bd.ft. of timber for $7/bd.ft. Pays = 5.000 x $7 = - $35.000
‒ Futures market (settlement):
(ST – F0) x QF x N* = ($7 - $5) x 1.000 x 5 = + $10.000
‒ Net position = -$35.000 + $10.000 = -$25.000
‒ Average purchasing price = F0 = $25.000 / 5.000 = $5

• Forestry firm:
‒ Cash market:
Sells 5.000bd.ft. of timber for $7/bd.ft. Receives = 5.000 x $7 = + $35.000
‒ Futures market (settlement):
(F0 – ST) x QF x N* = ($5 - $7) x 1.000 x 5 = - $10.000
‒ Net position = $35.000 - $10.000 = $25.000
‒ Average selling price = F0 = $25.000 / 5.000 = $5

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Simple hedges with futures – locking-in prices

• Results for December Spot Price ST = $4/bd.ft.:
• Furniture producer:
‒ Cash market:
Buys 5.000bd.ft. of timber for $4/bd.ft. Pays = 5.000 x $4 = - $20.000
‒ Futures market (settlement):
(ST – F0) x QF x N* = ($4 - $5) x 1.000 x 5 = - $5.000
‒ Net position = -$20.000 - $5.000 = -$25.000
‒ Average purchasing price = F0 = $25.000 / 5.000 = $5

• Forestry firm:
‒ Cash market:
Sells 5.000bd.ft. of timber for $4/bd.ft. Receives = 5.000 x $4 = + $20.000
‒ Futures market (settlement):
(F0 – ST) x QF x N* = ($5 - $4) x 1.000 x 5 = + $5.000
‒ Net position = $20.000 + $5.000 = $25.000
‒ Average selling price = F0 = $25.000 / 5.000 = $5

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Simple hedges with futures – locking-in prices
• Results for December Spot Price ST = $5/bd.ft.:

• Furniture producer:
‒ Cash market:
Buys 5.000bd.ft. of timber for $5/bd.ft. Pays = 5.000 x $5 = - $25.000
‒ Futures market (settlement):
(ST – F0) x QF x N* = ($5 - $5) x 1.000 x 5 = $0
‒ Net position = -$25.000 + $0 = -$25.000
‒ Average purchasing price = F0 = $25.000 / 5.000 = $5

• Forestry firm:
‒ Cash market:
Sells 5.000bd.ft. of timber for $5/bd.ft. Receives = 5.000 x $5 = + $25.000
‒ Futures market (settlement):
(F0 – ST) x QF x N* = ($5 - $5) x 1.000 x 5 = $0
‒ Net position = $25.000 + $0 = $25.000
‒ Average selling price = F0 = $25.000 / 5.000 = $5

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Simple hedges with futures – locking-in prices

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Long and short hedge – basis risk

• So far we had perfect hedges:

‒ Fixed the selling prices;
‒ Fixed the purchasing prices;
‒ Hedge and forget situations.

• There are many reasons for an hedge imperfection:

‒ Asset to hedge is different from asset underlying future;
‒ Time to buy or sell uncertain;
‒ Futures are closed out early.

• All these reasons create differences in the spot price and the futures
price when the hedge is closed:
‒ Remember we only have convergence of the future and spot prices on the
delivery date of the futures contracts.

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Long and short hedge – basis risk

• The basis is the extent to which the spot price of the asset to be hedged
exceeds the futures price of the contract used for hedging.

Basis = Spot price – Futures price

• Summarizing:

b=S–F

bt = St - Ft,T t < T.

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Long and short hedge – basis risk

Assume we want to buy an asset at a future moment t:

• The current price of this asset is S0;
• The current price of the future that delivers at T, T > t, is F0;
• As we are short on the cash market, we implement a long hedge buying
the future that matures at T;
• Let St and Ft be the stock and futures prices at time t (before delivery of
the future contract);
• Obviously, at t0, S0 and F0 are known, but St and Ft are unknown.

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Long and short hedge – basis risk

S0, F0 St, Ft ST, FT

t0 t T

Buy asset Future

Buy future
Sell future delivers

• At time t:
‒ We buy the asset and pay St;
‒ We liquidate the long position in the future and obtain:
Ft – F0

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Long and short hedge – basis risk

• Therefore, the total payment is:

St − (Ft – F0) = bt + F0

where
bt = St – Ft

• At time t, St ≠ Ft (we are not at the delivery date). Then, we do not know the
exact result from the transaction because we do not know bt.
• Observe that in the previous cases, since the delivery of the futures contract
coincides with the moment at which we buy the asset, St = Ft, and, then, bt = 0,
fixing the price to be paid as F0.

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Long and short hedge – basis risk example

• On June 8th, a firm knows it will have to buy 20.000 oil barrels (NS) at the
end of November.

• The firm looses money if the oil price increases (short in the cash
market).

• Therefore, the firm must implement a strategy in which it earns money

when the oil price increases (long hedge).

• The size of a futures contract (QF) is 1.000 barrels and it delivers on the
third Friday of each month.

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Long and short hedge – basis risk example

• The firm must buy futures contracts that deliver immediately after the
day at which the transaction occurs, that is, December.
• The number of futures contract to buy (N*) is 20.000/1.000 = 20.
• On June 8th, December futures on oil trade at F0 = $18/barrel.
• Oil is finally bought at November 25th, when its price is St = 20 $/barrel.
• At November 25th, December futures trade at Ft = $19,1/barrel.
• Observe that bt = St – Ft = $20 – $19,1 = $0,9 ≠ 0.

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Long and short hedge – basis risk example

At the transaction day (November 25th), we have the following:

‒ Because of the initially agreed buy, in the cash market the firm pays:

St x NS = $20 x 20.000 = $400.000

‒ The firm bought futures at $18, that now must sell at $19,1, obtaining:

(Ft – F0) x N* x QF = ($19,1 – $18) x 20 x 1.000 = + $22.000

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Long and short hedge – basis risk example

Therefore, the total payment is equal to:

$400.000 – $22.000 = $378.000

Cash Market
$20 x 20.000 – ($19,1 – $18) x 20.000 =
Futures Market
20.000 x ($20 – $19,1 + $18) =

20.000 x (St – Ft + F0) =

20.000 x (bt + F0) = $378.000

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Long hedge – basis risk example

Date Spot Market Futures Market

t0 1. Contract to Buy 3. Buy F0,T
2. Do Nothing

t 4. Buy St 5. Sell Ft,T

At t, when the purchase is made in the cash Mkt and the futures are closed,

Actual Payment = St + F0,T - Ft,T = F0,T + (St - Ft,T)

= F0,T + bt

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Long hedge – basis risk example

Date Spot Market Futures Market

t0 S0=$400/unit Buy F0,T = $425/unit
Goal to Buy Gold at t. Long one future contract for
delivery at T
t Buy the Gold Sell Ft,T = $442/unit
St = $416/unit Short one gold futures for
delivery at T

At t, when the purchase is made in the cash Mkt and the futures are closed,

Actual Payment = $416 + $425 – $442 = $399/unit

or = $425 + ($416 - $442) = $399/unit

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Short hedge – basis risk example

Date Spot Market Futures Market

t0 1. Contract to Sell 3. Sell F0,T
2. Do Nothing

t 4. Sell St 5. Buy Ft,T

At t, when the purchase is made in the cash Mkt and the futures are closed,

Actual Receivement = St + F0,T - Ft,T = F0,T + (St - Ft,T)

= F0,T + bt

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Short hedge – basis risk example

Date Spot Market Futures Market

t0 S0=$400/unit Sell F0,T = $425/unit
Contract to sell Gold at t. Short one future contract for
delivery at T
t Sell the Gold Buy Ft,T = $412/unit
St = $384/unit Long one gold futures for delivery
at T

At t, when the purchase is made in the cash Mkt and the futures are closed,

Actual Receivement = $384 + $425 – $412 = $397/unit

or = $425 + ($384 - $412) = $397/unit

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Long and short hedge – basis risk example

We just observed that for both types of hedge:

• Short hedge aimed at reducing risk of decreasing prices;
• Long hedge aimed at reducing risk of increasing prices.

The final average price achieved with the hedge is:

F0,T + bt

This cash flow consists of two components:

• The first component, F0,T is known when the hedge is opened.
• The second component, bt is random, known when the futures position
is closed.

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Forward Instruments and Markets

3.1. Introduction
3.2. Future and forward prices
3.3. Hedging with futures
3.4. Hedging market risk

Page 51

Stock indices

• A stock index tracks changes in the value of a hypothetical portfolio of

stocks.
• Dividends:
‒ Usually not included;
‒ Except total return index.
• Weighting:
‒ Constant holdings - varying weights;
‒ Capitalisation weighted – weight proportional to price x # shares
outstanding.
• Adjustments required for stock splits, stock dividends, new issues.

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Portfolios

• Investors have their own portfolios of investments, of which a perfect

example are investment funds;
• A standard measure of portfolio risk is β, the systematic or market risk
measure;
• At times, investors may benefit from changing the β of its investments:
1. Reduce β to zero, if they feel a recession is looming;
2. Reduce β, if they have expectations of a bearish market;
3. Increase β, if they have expectations of a bullish market.
• Investors can do this in the cash market, by rebalancing their portfolios,
but an easier way to it, is by using futures.

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Portfolios – Changing Beta

1. Desire to be out of the market for a short period of time:

‒ Hedging may be cheaper than selling the portfolio and buying it back;
‒ Large portfolios would push the price down in the sale and up in the
subsequent purchase;
‒ Desire to simply hedge systematic risk for a short period of time, because the
investor feels that it has picked stocks that will outperform the market over
the long time.
2. When we believe that the market is moving down :
‒ Buy low beta stocks and Sell high beta stocks;
‒ Operate in the futures market and change the beta of our position by using
Index Futures.
3. When we believe that the market is turning upward:
‒ Buy high beta stocks and Sell low beta stocks;
‒ Operate in the futures market and change the beta of our position by using
Index Futures.

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Changing the beta

• To change the beta of a portfolio from current β to a target β*:

‒ If β* = 0, a short position in β P/A contracts is required;
‒ If β* < β, a short position in (β - β*) P/A contracts is required;
‒ If β* > β, a long position in (β* - β) P/A contracts is required.
• In which P represents the value of the cash position (our portfolio) and A
represents the value of a futures contract.
• The last two cases are defined as timing the market, the first case is a
pure case of hedging.
• The hedging case is a special case where h* = β and β is the slope of the
regression of excess asset return against excess market return.

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Example – Case #1: Hedging with S&P futures

Fund has:
• Portfolio of financial assets worth $5 million;
• Beta of portfolio is 1,5.
Specification of futures on the S&P:
• Value of S&P 500 is 1.000;
• One futures contract is for delivery of $250 times the index.
What position in the futures contracts on the S&P 500 is necessary to hedge
the portfolio?
What is the size of the position to take on the future contracts?

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Example – Case #1: Hedging with S&P futures

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Example – Case #2: Reducing the β with S&P futures

Fund has:
• Portfolio of financial assets worth $5 million;
• Beta of portfolio is 1,5.
Specification of futures on the S&P:
• Value of S&P 500 is 1.000;
• One futures contract is for delivery of $250 times the index.
What position in the futures contracts on the S&P 500 is necessary to
reduce the beta of the portfolio to 0,75?
What is the size of the position to take on the future contracts?

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Example – Case #2: Reducing the β with S&P futures

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Example – Case #3: Increasing the β with S&P futures

Fund has:
• Portfolio of financial assets worth $5 million;
• Beta of portfolio is 1,5.
Specification of futures on the S&P:
• Value of S&P 500 is 1.000;
• One futures contract is for delivery of $250 times the index.
What position in the futures contracts on the S&P 500 is necessary to
increase the beta of the portfolio to 2,0?
What is the size of the position to take on the future contracts?

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Example – Case #3: Increasing the β with S&P futures

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Hedging Price of an Individual Stock

• Similar to hedging a portfolio;

• Does not work as well because only systematic risk is hedged;
• The unsystematic risk that is unique to the stock is not hedged.

• Why hedge individual stocks?

• May want to be out of the market for a while;
‒ Hedging avoids the costs of selling and repurchasing the portfolio.
• Do not want to sell shares (e.g. strategic investors), but want to eliminate
market risk temporarily.
• Example:
‒ Suppose your stocks have an average beta of 1,0, but you feel they have been chosen
well and will outperform the market in both good and bad times. Hedging ensures that
the return you earn is the risk-free return plus the excess return of your portfolio over
the market.

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Bibliography

• HULL, J. (2018): Options, futures and other derivatives. Editorial Pearson, 9ª edición.

• LAMOTHE, P., PEREZ SOMALO, M.(2006): Opciones financieras y productos estructurados,

McGraw-Hill, Madrid.

• McDONALD, R. (2013): Derivatives markets. Pearson, 3ª edición.

• WHALEY, R.(2006): Derivatives. Markets, Valuation and Risk Management, John Wiley and
Sons, Nueva York.

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