THE MAIN PRICING MODELS OF THE FORWARD COMMITMENTS IN THE DERIVATIVES MARKET

Article Sidebar

Abstract views: 18
PDF Downloads: 7
pdf (rus) (Русский)
Published: Apr 30, 2019
Keywords:
форвардные обязательства, условные требования, форвардная цена, стоимость дериватива forward commitments, contingent claims, forward price, derivative’s value

Main Article Content

L. MASKO
Polotsk State University
P. PANKOV
Polotsk State University

Abstract

The models of derivatives pricing, as well as the formation of forward prices in their relationship with the spot market were analyzed. The difference between price and value of the forward commitment at different time points is presented in the article. According to the results of the study, the factors, influencing the assessment of two enlarged groups of derivatives – forward commitments and contingent claims, were allocated.

Article Details

How to Cite
MASKO, L., & PANKOV, P. (2019). THE MAIN PRICING MODELS OF THE FORWARD COMMITMENTS IN THE DERIVATIVES MARKET. Vestnik of Polotsk State University. Part D. Economic and Legal Sciences, (6), 18-25. Retrieved from https://journals.psu.by/economics/article/view/2263
Issue
No. 6 (2019)
Section
Экономика и управление
Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Author Biography

L. MASKO, Polotsk State University

канд. экон. наук, доц.

References

Wendy, L. Pirie Derivatives / L.P. Wendy [et al.]. – Hoboken, New Jersey : John Wiley & Sons, 2017. – 624 p.

Деривативы. Курс для начинающих [Электронный ресурс] ; пер. Б. Зуев. – 2-е изд. – М. : Альпина Паблишер, 2019. – 208 c.

Зуев, Д.В. Структурированные деривативы: универсальная модель ценообразования / Д.В. Зуев // Финансовый журнал. – 2015. – № 4. – С. 72–84.

Порядок определения справедливой стоимости финансовых инструментов [Электронный ресурс] // Абсолютбанк. – Режим доступа: https://absolutbank.ru/documents/about/disclosure/general/poryadok270616.pdf. – Дата доступа: 03.04.2019.

Методика определения справедливой стоимости финансовых инструментов [Электронный ресурс] // Ситибанк.

Gottesman, A. Derivatives essentials : An introduction to forwards, futures, options and swaps / A. Gottesman. – Hoboken : John Wiley & Sons, 2016. – 353 p.

Jacque Laurent Global derivatives debacles: from theory to malpractice [Electronic resource] / by Laurent Jacque. World Scientific Publishing Co. Pte. Ltd. Second edition, 2015. – Mode of access: https://doi.org/10.1142/9789814663267_0002.

Keynes, J.M. A treatise on money. Pt. 2 : The applied theory of money / J.M. Keynes ; Managing ed. A. Robinson, D. Moggridge. – Cambridge [etc.] : Cambridge University Press, 2013. – 390 p.

Масько, Л.В. Деривативы и операции хеджирования в системе бухгалтерского учета / Л.В. Масько, П.И. Паньков // Вестник Полоцкого гос. ун-та. Серия D, Экон. и юрид. науки. – 2017. – № 13. − С. 66–72.