About this document
1.1 Pricing and Valuation of Forward Commitments by Jack Peterson is a document available to read on EtoBox.
The document discusses the principles of arbitrage-free pricing, focusing on forward commitments and the law of one price, which states that equivalent investments should have the same current price. It explains the pricing of forward and futures contracts, including the concept of convergence and the importance of maintaining no arbitrage profits. Additionally, it covers the valuation of Forward Rate Agreements (FRAs) and fixed income forward contracts, emphasizing the need for proper calculations to elimi
- Author
- Jack Peterson
- Language
- EN