 # 1. 2 3 4 5 6 7 8 Table 12.1: Cash Flows to a Cash and Carry Trading Strategy.

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8 Table 12.1: Cash Flows to a Cash and Carry Trading Strategy

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10 Figure 12.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

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13 Figure 12.2: An Example of a Forward Contract Initiated at Time 0 on a 3-Period Zero-Coupon Bond. The forward contract expires at time 2, with value (v(t;s t )) and forward price (F(t,2:3;s t )). time01 2

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17 Figure 12.3: An Example of a Forward Contract Initiated Time 0 on a Four-Period Zero-Coupon Bond. The forward contract expires at time 3, with value (v(t;s t )) and forward price (F(t,3:4;s t )).

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25 Figure 12.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

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29 Figure 12.4: An Example of a Futures Contract with Expiration Date 2 on the 3-Period Zero- Coupon Bond. Futures prices ( F (t,2:3)) are given at each node. Pseudo-probabilities are on each branch of the tree. The synthetic futures contract (n 0 (t;s t ), n 3 (t;s t )) in the money market account and the 3-period bond are also provided. time01 2

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35 Figure 12.5: An Example of a Futures Contract with Expiration Date 3 on a 4-Period Zero-Coupon Bond. Futures prices ( F (t,3:4)) are given at each node. Pseudo-probabilities are along the branches of the tree. The synthetic futures contract (n 0 (t;s t ), n 4 (t;s t )) in the money market account and 4- period bond is also provided. time01 2 3

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37 Table 12.2: A Comparison of Forward and Futures Prices for a Two-Period Contract on the Three-Period Zero-Coupon Bond. Spot Prices are also Included.

38 Table 12.3: A Comparison of Forward and Futures Prices for a Three-Period Contract on the Four-Period Zero-Coupon Bond. Spot Prices are also Included.

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43 Figure 12.1: An Example of a One-Factor Bond Price Curve Evolution. The Money Market Account Values and Spot Rates are Included on the Tree. Pseudo-Probabilities Are Along Each Branch of the Tree.

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