This chapter discusses, including detailed mathematical descriptions, trading strategies involving futures contracts such as hedging risk with futures, including cross-hedging risk exposure for one asset by the futures for another asset with similar characteristics, hedging interest rate risk with interest rate futures using hedge ratio models such as the conversion factor model and the modified duration based model, which can be used for both deliverable and non-deliverable bonds, bull and bear futures calendar spreads, which exploit greater sensitivity of the futures contract prices to supply and demand for near-month contracts than for deferred-month contracts, mean-reversion futures trading strategies, including with filters based on market activity indicators such as open interest and traded volume, and trend following/momentum strategies, which make bets in the direction of the past returns.


Futures contract Cross-hedging Interest rate risk Interest rate futures Optimal hedge ratio Conversion factor Dollar duration Basis risk Deliverable bond Non-deliverable bond Calendar spread Near-month contract Deferred-month contract Mean-reversion strategies Market activity Open interest Volume Trend following Momentum Market index Overreaction Optimization strategy Dollar-neutrality Winners Losers 


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Copyright information

© The Author(s) 2018

Authors and Affiliations

  1. 1.Quantigic Solutions LLCStamfordUSA
  2. 2.Universidad del CEMABuenos AiresArgentina

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