You are on page 1of 54

Forwards and Futures

Mechanism, Hedging,
and Pricing

DERIVATIVES
 A product whose value is derived from the
value of another asset referred as
underlying asset.
 Underlying Asset can be




COMMODITIES,
T-BILLS,
STOCKS,
CURRENCIES,
INDICES, etc.

 Basic products are: Forwards, Futures,
Options and Swaps
Derivatives and Risk Management
Rajiv Srivastava

2

FORWARD CONTRACT
 Spot transaction is characterised by simultaneous
negotiation of price and settlement by exchange of
consideration and delivery of asset.
 Forward contract is a contract between two parties
to deliver the asset at a predetermined price at a
future date.
 First phase is fixing of price, and
 Second phase is settlement,
 Both phases are at different times.

 In the absence of forward market one can not
hedge, and the results will be sub-optimal because
of uncertainty.
 It is an Over-the-Counter (OTC) product with
terms negotiated between buyer and seller.
Derivatives and Risk Management
Rajiv Srivastava

3

HEDGING WITH FORWARD

Farmer
Supplier of Rice

Rice Mill
User of Rice

 Farmer sells harvest 3 m forward for delivery at price of say
Rs 20/Kg
 Both supplier and user are assured of price and eliminate
price risk
 Settlement: After 3 m farmer supplies and mill pays at Rs
20/Kg
Derivatives and Risk Management
Rajiv Srivastava

4

LIMITATIONS OF FORWARD
SIZE OF MARKET
 OTC products have limited market size.
 There will be few hedgers.
 Finding counterparties with matching needs of timing, quality,
quantity and price is extremely difficult.
FAIR PRICE??
 Price discovery is not likely to be true.
( Price of Rs 20/Kg would depend upon the negotiation power of
buyer and seller. It is likely to be an unequal market for buyer and
seller)
Exit Route:
 Once entered it is difficult to make an early exit; requires consent of
the counterparty
COUNTERPARTY RISK
 Settlement is by delivery
 One of the parties would have strong incentive to default depending
upon the price at the time of harvest, the end of forward period.
Derivatives and Risk Management
Rajiv Srivastava

5

 To eliminate counterparty risk a mediator (An Exchange) needs to come in. – Price must be governed by the physical market.NEED FOR FUTURES  Need to increase the market size for discovery of fair price. – Speculators and Arbitrageurs (non-users) need to be encouraged besides hedgers.  Delivery and price to be de-linked but not the process of price determination. Buyer Exchange Derivatives and Risk Management Rajiv Srivastava Seller 6 .

Price quotation vs.FEATURES OF FUTURES  Organised Exchange: Forwards are OTC while for Futures there exist an organised exchange. Futures contracts are standardised quantity. quality. delivery centres.  Standardisation: Delivery and quantity of the asset are not fixed in forward contract. delivery time. They are tailor made. Derivatives and Risk Management Rajiv Srivastava 7 . Contract size Tick size: Minimum movement of price.

 Commission: to be paid separately.FEATURES OF FUTURES  Clearing House: Futures are through a clearing house.  Mark to the market: Futures contracts are marked to the market. No margins are required in a forward contract. Derivatives and Risk Management Rajiv Srivastava 8 .  Margin Requirements: Margins have to be deposited with clearing house.  Actual delivery is rare in futures while most forward contracts are settled with delivery. while forward contracts are done directly. In forward contracts spread between Bid – Ask exists. Forwards are settled only once upon maturity.

NCDEX – RICE FUTURES Derivatives and Risk Management Rajiv Srivastava 9 .

WHEAT FUTURES Derivatives and Risk Management Rajiv Srivastava 10 .CBOT.

and settlement are substantially different. applications etc but mechanisms of trading. Derivatives and Risk Management Rajiv Srivastava 11 .  It is a contract between two parties (not known to each other as Exchange works as interface) to deliver the asset at a predetermined price at a future date.  Fundamentally. futures contract is same as forward in terms of pricing.FUTURES  Futures are forward contracts that are traded on EXCHANGE.

Any time Rare Very high Final Difficult Delivery Liquidity Derivatives and Risk Management Rajiv Srivastava Mostly Very low 12 . Easy.FUTURES Vs FORWARD PARAMETER Place FUTURES Exchange FORWARD OTC Product Initial Cash flow Settlement Closing out Standardised Margin required Tailor-made Nil Daily by MTM Offsetting.

Tin. Aluminum  Financial: Where the underlying is a financial asset. Rubber. Sugar. Coconut. Silver.TYPES OF FUTURES  Initially futures were used in merchandise business only. Soya. – Stocks/Indices/Currencies/Interest Rate Derivatives and Risk Management Rajiv Srivastava 13 . Copper. Rice. Coffee. Financial futures came in to being in 1972 on the International Money Exchange at CME.  Commodity: Where the underlying asset is a commodity – Agricultural commodities like Wheat. or – Metals like Gold.

Re-introduced with a notional GOI security as underlying. 2003 at NSE. In India launched on June 24. Euro. 2011 at NSE with 91-day T Bill as underlying. Rs. Failed. – Currency futures trading started in August 2008. etc. 2000 for Indices and on November 9.  Interest Rate: – Underlying is a Interest Rate (LIBOR. 2001 on select individual securities. ¥.  Stocks: – Where the underlying is a stock or index. at NSE. Introduced in India on June 12. MIBOR). Derivatives and Risk Management Rajiv Srivastava 14 . £.FINANCIAL FUTURES  Currency: – Where the underlying asset is a currency like $. – Short term interest rate futures began trading on July 4.

Derivatives and Risk Management Rajiv Srivastava 15 .  Govt.  Price variability gives rise to the risk of dealing in physical commodities. providing minimum support price to grain producers is an expensive way to provide price protection.  To eliminate risk of prices one is required to have substantial control either on supplies or on the demand of the commodity.CONTROLLED PRICE AND HEDGE  Hedging is essential feature of futures.

Energy. Exchanges in India commenced trading in Nov 2003 • Multi Commodities Exchange (MCX). Ahmedabad • National Commodity and Derivatives Exchange (NCDEX). Mumbai • National Board of Trade (NBOT). Indore • National Multi Commodities Exchange (NMCE).COMMODITY FUTURES  Commodity futures exist on vast range of commodities – Agriculture. Mumbai Derivatives and Risk Management Rajiv Srivastava 16 . Metals.

 Price conditions – Market order – Limit order – Stop loss order  Time conditions – Good for the Day.Time . I/C (Partial match possible)  Quantity – Minimum Fill – All or None Derivatives and Risk Management Rajiv Srivastava 17 .Quantity. GTD – Good Till Cancelled. GTC – Immediate or Cancel.  Orders are matched in order of Price .TRADING WITH FUTURES  One can buy/sell futures contract on the exchange.

 Close out .Cash Settlement. – Sell first and buy later. – Warehouses are designated. – Contracts are cash settled: Difference of price is debited/credited – Closing price equals spot price Derivatives and Risk Management Rajiv Srivastava 18 .SETTLEMENT Three ways to Settle  Physical Settlement – Settlement by giving/ taking delivery – Prior intimation required. – Settlement is done on the basis of warehouse receipt. On Maturity – Open positions on the expiry day considered closed with offsetting contract at spot price.  Offsetting Before Maturity – Buy first and sell later.

– – – – Option of the buyer Option of the seller Both Compulsory  Normally at the option of seller.SETTLEMENT BY DELIVERY Delivery Notice Period  Some days prior to maturity of the contract (usually 2 weeks) buyers/sellers must declare intentions to take/make delivery. Derivatives and Risk Management Rajiv Srivastava 19 .  Delivery Notice Period required for delivery preparation. DELIVERY LOGIC: Who can force delivery  Specified in the contract and determined by the exchange.

SETTLEMENT BY DELIVERY MECHANISM/LOGISTICS WAREHOUSE:  Warehouses and places of delivery are designated. Derivatives and Risk Management Rajiv Srivastava 20 .  Warehouse receipts would be given to intending buyer to receive delivery.  Warehouse receipts are negotiable instruments. (Assayers) TRANSFER  Warehouse receipts are issued if quality/quantity found acceptable. ASSAYERS  Suitable arrangement made for quality and quantity check.

Derivatives and Risk Management Rajiv Srivastava 21 . India) – Random – First in first out (FIFO) – Longest contract period  Method of assignment is known through the contract specifications.  Process of finding willing counterparty (buyer willing to take delivery) is called ASSIGNMENT.  IMPLICATION: Assigned party loses opportunity to offset. Brazil. METHODS OF ASSIGNMENT 1. Delivery notice to be assigned only to open positions.ASSIGNMENT  Mismatch between deliverable quantity among buyers and sellers gives rise to problem of assignment. Assign on some basis (COMEX. Exchange has to find some buyer /seller who accepts delivery against the futures contract. CME) 2. Display Notice and call for bids from willing buyers (CBOT.

This is not the case in stocks futures. DELIVERY RATE  Delivery rate depends upon the spot price.  Against receipt warehouse delivers.  Both seller/buyer have option to square up even after intention to deliver/assignment till the last day of Delivery Notice Period.  After expiry of Delivery Notice Period. delivery is assigned to open long positions.  Warehouse receipt is given to assigned buyer.  These are already specified in the contract before-hand. freight etc done. World over delivery is about 1% of the contracts Derivatives and Risk Management Rajiv Srivastava 22 . who pays to the exchange.  Exchange makes payment to seller.SETTLEMENT BY DELIVERY OPTIONS TO SELLER/BUYER  Those not needing delivery are expected to square up.  Adjustment to the delivery price for quality.

– 10 Dec Buy Gold Futures contract 32.780 – Net Profit = 100 x Size of the contract (in terms of price quotation)  This profit is calculated on daily basis (Marking to the market. MTM).680 – 15 Dec Sell Gold Futures contract 32. Derivatives and Risk Management Rajiv Srivastava 23 .  This helps an efficient discovery of price as all participants monitor positions regularly and look for opportunities to make profit/contain losses. permitting participants to nullify positions.  Buy first sell later or sell first and buy later.SETTLEMENT BY OFFSETTING  Normally settlement is done by offsetting contracts. before expiry of the contract.

10 Dec Initial position – Buy Gold Futures contract – 32.CASH SETTLEMENT  Last day of trading all open positions are closed automatically – All long positions are nullified by selling – All short positions are nullified by buying  The closing price is the spot price.680 (Remains open till last day) 20 Dec Last trading day – Exchange Sells Gold Futures contract at spot price – 32.880 – Net Profit = 200 x Size of the contract (in terms of price quotation)  This profit is calculated on daily basis (Marking To Market.  Spot price may be determined by polling and bootstrapping  Buy first sell later or sell first and buy later. MTM) Derivatives and Risk Management Rajiv Srivastava 24 . ensuring that futures price is equal to the spot price in the physical market  The difference of price of the initial contract and closing contract are settled in cash.

It is performance bond/good faith money  Payable upfront.MARGIN  Initial margin is deposited to open trade to cover the settlement risk. exchange specific and depends upon the volatility of asset price. Initial Margin: Meant to cover the largest possible loss in a day. Normally of the order of 5% – 10%. refunded on closing out. the onus for which lies of the exchange. Maintenance Margin: Margin Call Profit/loss on daily basis are credited/debited to the margin account.  Margin is commodity specific. Can’t fall below certain level: Maintenance Margin Derivatives and Risk Management Rajiv Srivastava 25 .

 Final settlement price and daily settlement price may be different. (Futures on currencies).MARKING-TO-MARKET (MTM MARGIN)  Exchange settles the contracts on daily basis.  Daily clearing price (different than closing price) is used in calculating the daily profit/loss.  Futures contracts are deemed settled and rewritten every day. Derivatives and Risk Management Rajiv Srivastava 26 .  Computation of profit/loss as if the positions were closed out.  Making good the loss or payment of profit on daily basis. Actually the open position remains.  All positions are brought to the same price each day.

76.500 +16.000: Remains same as difference of closing and opening values.  Aggregate profit is 30.500  Amount in excess of Rs 1.000 1.MARKING-TO-MARKET EXAMPLE Gold Contract Size Price quotation Initial Margin DAY Day 1 Day 1 Day 2 Day 3 Day 4 ACTION Bought 1 Gold Contract Clearing Price Clearing Price Clearing Price Sold 1 Gold Contract 1 Kg per 10 gms – For Gold in India 5% Price 32.140 +160 +130 Margin 1.450 32.61. Derivatives and Risk Management Rajiv Srivastava 27 .61.310 32.600 Profit /Loss (+/-) +150 .  This is split over series of daily cash flows over 4 days.78.91.62.500 .000 1.470 32.500 +15.14.000 1.300 32.000 1.500 +13.500 could be withdrawn.

 It is an indicator of investors interest in the contract.  New positions are added to open interest  Offsetting position (closing the open position) reduces open interest Derivatives and Risk Management Rajiv Srivastava 28 .  It rises initially and has to become zero on the last day.OPEN INTEREST  Open Interest is the number of contracts that are open on any given day.

B goes Short C goes Long: D goes Short 2 E goes Long: F goes Short 100 (Two new contracts add to Open Interest) 250 100 3 B goes Long: H goes Short 50 (One party offsetting and second party opening keeps Open Interest unchanged) 250 50 4 C goes Short: D goes Long 100 (Both parties closing reduces Open Interest) 150 100 Derivatives and Risk Management Rajiv Srivastava 29 . Day ACTIONS 50 100 Open Interest Volume 150 150 1 A goes Long.OPEN INTEREST  Open Interest is different than Volume.

PRICING AND HEDGING .

PRICING FORWARDS & FUTURES  A derivative derives its price from the value of another asset referred as underlying asset  Underlying assets can be commodities. etc.  The spot price in the physical market must determine the price of its futures contract  For pricing purpose there is no difference between a forward contract and futures. currencies. T-bills. both being contracts for future delivery Derivatives and Risk Management Rajiv Srivastava 31 . indices. stocks.

 If you were to buy and the goldsmith were to sell today cash would be paid against delivery.  Instead you wish to firm up the price today for delivery of gold 3 months later (entering a forward contract) what price is appropriate? Derivatives and Risk Management Rajiv Srivastava 32 .PRICING FORWARD Cost of Carry  Suppose you needed 10 gms of Gold 3 months later.  The current price (called spot price.000 per 10 gms. S0) of gold is Rs 30.

rent etc for 3 months. if he invested The buyer would also save some costs like insurance.000 + 900 + 450) to agree to enter in the forward deal.PRICING FORWARD Cost of Carry      SELLER Asset is committed to be delivered 3 months later If he sold spot he would realise Rs 30.000 + 900 + 450) to agree to enter in the forward deal and be indifferent      BUYER Asset is assured for delivery 3 months later If he bought spot he would part away with Rs 30.900 (assuming 1% return per month) after 3 months.000 If payment is deferred the amount would grow to Rs 30.350 (30.900 (assuming 1% return per month) after 3 months. say ½% per month Therefore he would charge a minimum of Rs 31.000 It would have grown to Rs 30. if he invested the sum He would also incur some costs in holding the asset for prospective buyer like insurance. Derivatives and Risk Management Rajiv Srivastava 33 . rent etc for 3 months.350 (30. say ½% per month Therefore buyer would be indifferent to pay a maximum of Rs 31.

F = Spot price + Cost of carrying for the forward period. r (typically % per annum) – Seller incurs it and buyer saves it  For Buyer – Maximum payable forward price.350 Derivatives and Risk Management Rajiv Srivastava 34 . T F ≤ S0 + S0 x r x T  For Seller – Minimum acceptable forward price.015 x 3) = 31. COST OF CARRY PRICING FORWARD Cost of Carry – Cost interest. Rent etc form the cost of carrying.000 (1 + . Insurance. F = Spot Price + Cost of carrying for forward period F ≥ S0 + S0 x r x T  The only way both can agree is F = S0 + S0 x r x T = S0 (1 + r x T) = 30.

ARBITRAGE Cash and Carry  If forward price defied cost of carry model it offers arbitrage  Arbitrage refers to risk free profit with no investment CASH AND CARRY Actual price = 31.600 Initial cash flow Nil After 3 months Realise from forward contract against gold +31.000 Sell Gold 3-m forward contract at 31.350) ACTIONS Cash flow (Rs) Today Borrow at 1% pm for 3 months +30.900 Net cash flow 250 Earn profit of Rs 250 without investment and without risk Derivatives and Risk Management Rajiv Srivastava 35 .000 Buy 10 gms Gold Spot -30. 1% -30.600 ( > Theoretical Forward Price 31.600 Pay expenses ½% -450 Pay debt and Interest.

ARBITRAGE Reverse Cash and Carry REVERSE CASH AND CARRY (If actual price were 31.000 Buy Gold 3-m forward contract at 18.000 Invest at 1% pm for 3 months -30.900 Net cash flow +100 Earn profit of Rs 100 without investment and without risk Derivatives and Risk Management Rajiv Srivastava 36 .250 ( < Theoretical Forward Price 31.250 Saved expenses +450 Realise investment and Interest +30.500 Initial cash flow 0 After 3 months Realise gold from forward contract and pay cash -31.350) ACTIONS Cash flow (Rs) Today Sell spot 10 gms Gold +30.

y)t Derivatives and Risk Management Rajiv Srivastava 37 .  For securities providing known yield ‘y’ (income expressed as % of price).PRICING FORWARD  Process of arbitrage will govern the price of the forward contract for period ‘t’ (With short selling permitted) Ft = S0 ert  If there is any dividend (benefit) accruing during the period then Ft = (S0 – D) ert where D = Present value of the benefit. Ft = S0 e(r .

as all cost of carry. in either case the futures price must converge to the spot price as maturity approaches.Backwardation Price Price Futures Spot Spot Futures Maturity Time Derivatives and Risk Management Rajiv Srivastava Maturity Time 38 . convenience yields etc. Convergence of price. benefits of ownership.Contango Convergence of price. tend to become zero. storage costs.CONVERGENCE  Contango or backwardation.

LONG & SHORT POSITIONS ASSET  When you have the asset you are called LONG on Asset  When you do not have the asset you are called SHORT on Asset FUTURES  When you buy futures it is called LONG on Futures  When you sell futures it is called SHORT on Futures Derivatives and Risk Management Rajiv Srivastava 39 .

ASSET POSITION Long on Asset Short on Asset Bought at S0.PAY OFF .ASSET LONG & SHORT PAY OFF . Currently at S Sold at S0 Currently at S If S > S0 Gain S – S0 If S > S0 Loss S – S0 If S < S0 Gain S0 – S If S < S0 Loss S0 – S Profit Profit S0 Loss S S0 S Loss Derivatives and Risk Management Rajiv Srivastava 40 .

FUTURES POSITION Long on Futures Short on Futures Bought at F0. Currently at F Sold at F0 Currently at F If F > F0 Gain F – F0 If F > F0 Loss F – F0 If F < F0 Gain F0 – F If F < F0 Loss F0 – F Profit Profit F0 Loss F F0 F Loss Derivatives and Risk Management Rajiv Srivastava 41 .PAY OFF .FUTURES LONG & SHORT PAY OFF .

Derivatives and Risk Management Rajiv Srivastava 42 .  This assures almost a steady and assured price. and vice versa.HEDGING PRINCIPLE  Futures offset the risk by taking of an opposite position in the future contracts to that of in the physical market. SHORT HEDGE LONG on asset – Go SHORT on futures LONG HEDGE SHORT on asset – Go LONG of futures  Loss in the physical market is expected to be compensated in the futures position.

SHORT HEDGE Asset and Futures PAY OFF – SHORT HEDGE Long on Asset Short on Futures Bought at S0. Sold at S Sold at F0 Bought at F If S > S0 Gain S – S0 If F > F0 Loss F – F0 If F < F0 Gain F0 – F If S < S0 Loss S0 – S Profit Profit S0 Loss S F0 F Loss Derivatives and Risk Management Rajiv Srivastava 43 .

Go Short of Futures  Sell 3-m futures contract on gold now (Size 1 Kg) with intentions of buy the same futures contract at the end of hedging period.SHORT HEDGE EXAMPLE SITUATION Owned asset 1 Kg of Gold Need to sell after 3 months Risk – falling price of asset.000 Spot price of Gold. Need to cover risk and protect value MARKET SCENARIO = Rs 30. S0 Futures price at Exchange F0 = Rs 31. after 3 months.350 HEDGING STRATEGY  Long on Asset . Derivatives and Risk Management Rajiv Srivastava 44 .

000 33.350 Cash flow from futures exchange Effective Price 2.000 Sell gold in spot market 29.650 31.000 Spot price increases to Rs 33.350 31.SHORT HEDGE OUTCOME After 3 months  Sell gold in spot market and offset position in futures.350 Derivatives and Risk Management Rajiv Srivastava -1.350 45 .000 33.000 Buy futures back in futures exchange 29.  The price of the futures now would be same as spot due to convergence.000 Initial futures contract sold at 31.350 31. ACTIONS Spot price decreases to Rs 29.

Sold at F Sold at S0 Bought at S If F > F0 Gain F – F0 If S > S0 Loss S – S0 If S < S0 Gain S0 – S If F < F0 Loss F0 – F Profit Profit F0 Loss F S0 S Loss Derivatives and Risk Management Rajiv Srivastava 46 .LONG HEDGE Asset and Futures PAY OFF – LONG HEDGE Long on Futures Short on Asset Bought at F0.

LONG HEDGE EXAMPLE SITUATION Short on asset. Need to cover risk and protect value MARKET SCENARIO = Rs 30. Derivatives and Risk Management Rajiv Srivastava 47 .000 Spot price of Gold. To buy 1 Kg of Gold Need to buy after 3 months Risk – rising price of asset. S0 Futures price at Exchange F0 = Rs 31.350 HEDGING STRATEGY  Short on Asset .Go Long of Futures  Buy 3-m futures contract on gold now (Size 1 Kg) with intentions of sell the same futures contract at the end of hedging period. after 3months.

ACTIONS Spot price decreases to Rs 29.350 Derivatives and Risk Management Rajiv Srivastava 31.  The price of the futures now would be same as spot due to convergence.350 48 .000 Spot price increases to Rs 33.000 .1.29.31.000 Buy gold in spot market .31.33.000 Sell futures back in futures exchange + 29.350 .350 Cash flow from futures exchange .LONG HEDGE OUTCOME After 3 months  Buy gold in spot market and offset position in futures.000 + 33.000 Initial futures contract bought at .650 Effective Price 31.350 +1.

PAYOFF AND EFFECTIVE PRICE SHORT HEDGE S Value of asset owned S0 Sell Asset Sold futures F0 Bought back futures F – Pay off = (S – S0) + (F0 – F) = (S – F) .(S0 – F0) – Price realised = S + (F0 – F) = F0 LONG HEDGE Value of asset short S0 Buy Asset S Bought futures F0 Sold futures F – Pay off = (S – S0) + (F0 – F) = (S – F) .(S0 – F0) – Price paid = S + (F0 – F) = F0 (F = S due to convergence) Derivatives and Risk Management Rajiv Srivastava 49 .

PERFECT HEDGE Long Hedge Short Hedge Profit Long Future F0 Profit Price F0 Short Asset Loss Long Asset Price Short Future Loss Derivatives and Risk Management Rajiv Srivastava 50 .PERFECT HEDGE Profit/loss in position of asset is completely offset loss/profit in position on futures.

BASIS AND BASIS RISK  Basis is defined as difference between spot price and futures price at any point of time.  Effective price is Price paid/realised = S + (F0 – F) = F0  Since S ≠ F when hedge is lifted price would be S + (F0 – F) = F0 + (S– F) = F0 + Basis when hedge is lifted  The price risk gets replaced by basis risk Derivatives and Risk Management Rajiv Srivastava 51 .  As contract approaches maturity the basis declines.  It becomes zero on the maturity.

 Futures hedge is seldom perfect.HEDGE FORWARD Vs FUTURES  Forward hedge is always a perfect hedge as it is a customised contract. Gold) – Differences in timing: maturity of cash position and futures contract may not coincide exactly. Hedging through the futures does not exactly and completely offsets the gains/losses in the cash asset.5 m Contract available for 2 or 3 m) – Differences in quantity/amount: The amount of exposure may not match with amount of futures contract.) Derivatives and Risk Management Rajiv Srivastava 52 . (Gold Ornaments vs.  Perfect hedge is not possible due to – Difference in the asset: The underlying asset may not be same as that of the futures. Price is fixed now.50 Kg Gold Contract available in multiples of 1 Kg. (Need to buy/sell 2. (Need to buy/sell Gold at 2.

 Is co-efficient of correlation.  Optimum Hedge Ratio h* = ρ σs/σf Derivatives and Risk Management Rajiv Srivastava 53 .  Is the relationship of futures price and spot price perfect. σs.OPTIMAL HEDGE RATIO  Futures price moves according to spot price and principle of convergence applies. ρ = 1??  When cross hedge (Hedging through related asset but not the same asset) is used co-efficient of correlation ρ would not be 1 nor would be the changes in the price of futures. σf and spot.

com Derivatives and Risk Management Rajiv Srivastava 54 .ac.in rajiv1234@hotmail.Rajiv Srivastava rajiv@iift.