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Significance of the differences between futures and forward contracts

Brazilian Review of Finance

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Title Significance of the differences between futures and forward contracts
Relevância das diferenças entre contratos futuros e a termo
 
Creator Andrade, Rafael de Godoy Oliveira
Pinto, Afonso de Campos
 
Subject Contratos futuros
Contratos a termo
Monte Carlo
Hedging
C02
C63
Futures contracts
Forward contracts
Monte Carlo
Hedging
C02
C63
 
Description With the goal of studying the differences between futures contracts and forward contracts in the Brazilian foreign exchange market, we focus on the U.S. Dollar future contract (Dólar Futuro) traded on the BM&FBOVESPA. For illiquid maturities, it is marked to market at the theoretical price of forward contracts. Monte Carlo simulations of a hedged portfolio containing Dollar Future, DI Future and DDI Future contracts clearly show that this mark-to-market methodology should, at least, be reviewed.
Visando estudar as diferenças entre contratos futuros e contratos a termo no mercado cambial brasileiro, este trabalho foca no contrato de Dólar Futuro negociado na BM&FBOVESPA que, para vencimentos sem liquidez, é marcado a mercado pelo preço teórico dos contratos a termo. Simulações de Monte Carlo de uma carteira protegida contendo contratos de Dólar Futuro, DI Futuro e DDI Futuro mostram claramente que essa metodologia de marcação a mercado deveria, ao menos, ser revista.
 
Publisher Lociedade Brasileira de Finanças
 
Date 2021-09-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Double blind reviewed articles
Avaliado por Pares
 
Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/54979
10.12660/rbfin.v19n3.2021.54979
 
Source Brazilian Review of Finance; Vol. 19 No. 3 (2021): July-September; 1-30
Revista Brasileira de Finanças; v. 19 n. 3 (2021): July-September; 1-30
1984-5146
1679-0731
 
Language por
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/54979/80236
 
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