Markus K. Brunnermeier LECTURE 10: MULTI-PERIOD MODEL ...

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LECTURE 10: MULTI-PERIOD MODEL FUTURES & SWAPS Markus K. Brunnermeier. FIN501 Asset Pricing Lecture 10 Futures & Swaps (2) Overview 1. Futures o Forwards versus Futures Price o Interest Rate Forwards and Futures o Currency Futures o Commodity Futures • Backwardation and Contango 2. Swaps. ... An example of an interest rate swap

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