A Short Course in Futures Pricing, Portfolio Management, and Trading

Futures are contracts to buy or sell things in the future. Holding a futures contract gives an exposure very similar to holding the physical asset since the two prices are related by arbitrage (buying the asset and selling the future or visa-versa).

Liquid exchange traded futures markets exist for equity indices, currencies, government bonds, interest rates, and commodities and many other assets. In many cases futures are a more efficient way of gaining exposure to movements in the asset price.

This is a short course through theory and practice of futures in three chapters:

Chapter 1: Pricing: Methods for pricing futures contracts on different assets
(mainly equities, bonds, and commodities).
Chapter 2: Portfolio Management:
Methods for managing a portfolio of futures.
Chapter 3: Trading: Practical
aspects of futures trading.