World Scientific Handbook of Futures Markets

The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics.
Contents:Introduction:Futures Markets: An Overview (Anastasios G Malliaris and William T Ziemba)Classical Contributions:Proof that Properly Anticipated Prices Fluctuate Randomly (Paul A Samuelson)The Variation of Certain Speculative Prices (Benoit Mandelbrot)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (Eugene F Fama and Kenneth R French)Volume and Volatility in Foreign Currency Futures Markets (Ramaprasad Bhar and A G Malliaris)The Strategic and Tactical Value of Commodity Futures (Claude B Erb and Campbell R Harvey)Institutions: New Invited Papers:Central Counterparty Clearing and Systemic Risk Regulation (Robert S Steigerwald)The Fast Track to the Futures: Technological Innovation, Market Microstructure, Market Participants, and the Regulation of High-Frequency Trading (Barbara J Mack)Established Markets: Invited Contributions:Agricultural Futures Markets (Paul E Peterson and Jin Wook Choi)World Metal Markets (Raj Aggarwal, Brian Lucey, and Fergal O'Connor)Interest Rate Futures: Elements of a Successful Financial Innovation (Bluford H Putnam)Currency Futures (Tim Weithers)Energy Futures Markets (Betty Simkins and Yuecheng Jia)New Markets: Invited Contributions:Volatility as an Asset Class (Tom Nohel and Steven K Todd)Housing Futures Markets (Jin Wook Choi and Jin Man Lee)Freight Futures Markets (Fotis Giannakoulis, Nikos Gavriilidis and Nikolas Arachovas)Modeling the Dynamics of Temperature with a View to Weather Derivatives (Eirini Konstantinidi, Gkaren Papazian and George Skiadopoulos)Electricity Futures (Paolo Falbo, Daniele Felletti and Silvana Stefani)Climate Futures Markets (Rita l D'Ecclesia) The European Sovereign Debt Crisis and the Role of Credit Swaps (Eleftherios I Thalassinos, Theodoros Stamatopoulos and Pantelis E Thalassinos)Advanced Topics: Invited Papers:Returns from Investing in S&P500 Futures Options, 1985–2010 (Alexandre Ziegler and William T Ziemba)How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments (Sebastien Lleo and William T Ziemba)Nominal GDP Futures Contract Targeting (W William Woolsey and Scott Sumner)The Ethics of Financial Speculation in Futures Markets (Ingo Pies, Matthias Georg Will, Thomas Glauben, and Sören Prehn)Readership: Graduate students and researchers who are interested in the topic of futures markets.“Financial futures have spawned enormous innovation in the investment industry over the past four decades. Hedging and speculation in financial markets have been revolutionized. More recently, commodity futures have served as a gateway for institutional investors to a new investible asset class, and not without some interesting controversy over the implications for the underlying commodity markets. The World Scientific Handbook of Futures Markets helps us make sense of these developments with its carefully selected compendium of classic articles by the pioneering giants along with a tasteful assortment of new work that helps bring us to up date with the current state of the field. With this volume, Malliaris and Ziemba have significantly lowered the cost of entry of readers from industry and academia.”
Darrell DuffieDean Witter Distinguished Professor of FinanceGraduate School of Business, Stanford University“Twenty years after their inception, Nobel Laureate in Economics, Merton Miller, named financial futures as ‘the most significant innovation of the past two decades’. He peered into the future. These instruments have become an integral part of the financial system in the world's leading economies and are used to hedge and manage risk by international and domestic banks, public and private pension funds, mutual funds, hedge funds, asset and liabilities managers, swap dealers, insurance and mortgage companies, and energy companies. This process has improved national productivity, growth, and standards of living … The World Scientific Handbook of Futures Markets is a welcome addition to the body of expert work providing comprehensive information on futures markets to the world. The papers selected read like the ‘who's who’ of futures markets offering invaluable theoretical and practical information.”
Leo MelamedChairman Emeritus, CME Group“The World Scientific Handbook of Futures Markets is a unique volume thoughtfully edited by Professors Tassos Malliaris and Bill Ziemba, two experts in the field. Classic papers authored by Samuelson, Fama, French and Mandelbrot, among others, demonstrate how the area of futures markets has attracted seminal economists and finance thinkers. The volume also includes 18 original essays covering traditional futures markets, such as agricultural, energy, metals, the more recent financial futures markets such as interest rates, equities and currencies, and finally, new markets such as weather, housing, climate, electricity and freight futures. With its innovative and comprehensive coverage, this forward-looking Handbook instructs and guides both researchers and practitioners in the field of futures markets.”
George ConstantinidesLeo Melamed Professor of FinanceUniversity of Chicago Booth School of Business