Hi,I am interested in the pricing of average rate forwards. I found this topic and was wondering if anyone got any material on the topic?Thanks for your help!

<t>Hey all.I lately had a discussion with a colleague about wheter one could say that the current stock price is the best predictor for future stock prices. Now I am not sure if I could argue that this is true from a theoretical point of view. If I accept random walk, then I could argue that the pri...

Thank you both!the collateral returns would then mean the interest on the margin placed in my margin account?

<t>Hi allI am trying to calculate returns for a futures position, but am not sure anymore if I am calculating the correct return for my short positionI can calculate the simple return of a long futures contract by V(final)/V(initial)-1, but how does the calculation look for the short position?Thank ...

ok thanks

Thank you for the reply and for the article.So would it be generally wrong to compare return distributions using mean and standard deviation in an academic context, when the returns don't pass the tests?

<t>Hi there!I know this might be a basic question, but I am kind of stuck at a point where I don't know how to continue.I have to compare the characteristics of the the return distributions of options and futures strategies during past periods on a monthly basis.I have approx. 4years of data. In gen...

Thank you both!

Thanks for the fast answer.Sorry for the question, but if I then have a position of 100 straddles, net delta would be 5000 and the hedgeeither 20 SP500 futures or 100 Emini SP500 futures, right?Thanks

<t>Hi AllSorry this may be a stupid question, but I am just not sure if I get it right...I have a little question concering the delta hedge of spx options. I am not sure wheter my calculations are correct.I am long an SPX ATM straddle and want to delta hedge it. I have a delta of 0.2 for the call an...

Thank you for the fast answer.Thats what I had in mind. I was wondering how for example market makers trade the IV using options. Or how in general IV and not the IV-RV spread is traded using options.

Could a portfolio consisting of:- long-term atm call options - short short-term call options, and - a hedge using delta shares of the underlyingbe classified as a vega trade?