Markets: A Rigorous Course
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Readings and resources

Core about 5 min

Read first (in this order)

  1. Hull, J. C., Options, Futures, and Other Derivatives, 11th ed., Pearson, 2021. The chapters on the mechanics of futures markets, hedging strategies using futures, and the determination of forward and futures prices (chapters 2, 3 and 5 in recent editions; numbering drifts between editions). Read alongside 7.1–7.3 and 7.6.
  2. This module's 7.2 (margins and daily settlement), 7.4 (index futures in India) and 7.5 (open interest) cover the Indian conventions; M00 · 0.4 places futures on the instrument map.
  3. NISM Series VIII (Equity Derivatives) syllabus, units 3 (equity futures and forwards), 6 (trading mechanism) and 7 (clearing, settlement and risk management): the most structured treatment of Indian F&O plumbing. https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/

For depth (papers)

  • Cox, J. C., Ingersoll, J. E. and Ross, S. A. (1981), "The relation between forward prices and futures prices", Journal of Financial Economics 9(4), 321–346. The source of Props 7.5–7.6.
  • Jarrow, R. A. and Oldfield, G. S. (1981), "Forward contracts and futures contracts", Journal of Financial Economics 9(4), 373–382.
  • Harrison, J. M. and Pliska, S. R. (1981), "Martingales and stochastic integrals in the theory of continuous trading", Stochastic Processes and their Applications 11(3), 215–260. The risk-neutral pricing principle used in 7.2.4.
  • Johnson, L. L. (1960), "The theory of hedging and speculation in commodity futures", Review of Economic Studies 27(3), 139–151; Ederington, L. H. (1979), "The hedging performance of the new futures markets", Journal of Finance 34(1), 157–170. Minimum-variance hedging and R2R^2 as effectiveness.
  • Culp, C. L. and Miller, M. H. (1995), "Metallgesellschaft and the economics of synthetic storage", Journal of Applied Corporate Finance.
  • Mello, A. S. and Parsons, J. E. (1995), "Maturity structure of a hedge matters: lessons from the Metallgesellschaft debacle", Journal of Applied Corporate Finance.
  • Pirrong, S. C. (1997), "Metallgesellschaft: a prudent hedger ruined, or a wildcatter on NYMEX?", Journal of Futures Markets.

Lectures and courses

Indian sources and data

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