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For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation is the result, primarily, of commodity futures' different behavior over a business cycle. Commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.

Contents: Foreword, Barbara Adam. Time, Temporality and the Social Construction of the Future: Introducing contested futures: from looking into the future to looking at the future, Nik Brown, Brian Rappert and Andrew Webster Futures of the present: from performativity to prehension, Mike Michael. Language and the Social Rhetoric of Technical Futures: Forceful futures: from promise to requirement, Harro van Lente The narrative shaping of a product creation process, J. Jasper Deuten and Arie Rip Organizing/disorganizing the breakthrough motif: Dolly the cloned ewe meets Astrid the hybrid pig, Nik Brown Talking about the future: metaphors of the internet, Sally Wyatt. Passed Futures: Lessons from failed technology futures: potholes in the road to the future, Frank W. Geels and Wim A. Smit Science fiction's memory of the future, Hilary Rose. Future Science, Future Policy and the Management of Uncertainty Scripts for the future: using innovation studies to design foresight tools, Bastiaan de Laat Genetics and uncertainty, Annemiek Nelis Expectations and learning as principles for shaping the future, Luis Sanz-Menendez and Cecilia Cabello Contested health futures, Tom Ling Index.

I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reject complete integration of futures and asset markets. As predicted, estimates of the “zero-beta” rate for futures are close to zero, and premiums for systematic risk do not differ significantly across assets and futures. There is, however, evidence consistent with a specific alternative model presented by Hirshleifer (1988). Returns in foreign currency and agricultural futures vary with the net holdings of hedgers, after controlling for systematic risk. These results imply a degree of market segmentation and support hedging pressure as a determinant of futures premiums.

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess return of the average individual commodity futures has been approximately zero and commodity futures returns have been largely uncorrelated with one another. The prospective annualized excess return of a rebalanced portfolio of commodity futures, however, can be "equity-like." Some security characteristics (such as the term structure of futures prices) and some portfolio strategies have historically been rewarded with above-average returns. It is important to avoid naive extrapolation of historical returns and to strike a balance between dependable sources of return and possible sources of return.

Abstract Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean‐squared prediction error sense than no‐change forecasts. This result is driven by the variability of the futures price about the spot price, as captured by the oil futures spread. This variability can be explained by the marginal convenience yield of oil inventories. Using a two‐country, multi‐period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline. Increased uncertainty also causes precautionary demand for oil to increase, resulting in an immediate increase in the real spot price. Thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand. An empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil. Copyright © 2010 John Wiley & Sons, Ltd.

Abstract Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures. The estimated OHRs reveal that the standard assumption of a time‐invariant OHR is inappropriate. For each commodity the estimated OHR path appears non‐stationary, which has important implications for hedging strategies.

While the concept of the Anthropocene reflects the past and present nature, scale and magnitude of human impacts on the Earth System, its true significance lies in how it can be used to guide attitudes, choices, policies and actions that influence the future. Yet, to date much of the research on the Anthropocene has focused on interpreting past and present changes, while saying little about the future. Likewise, many futures studies have been insufficiently rooted in an understanding of past changes, in particular the long-term co-evolution of bio-physical and human systems. The Anthropocene perspective is one that encapsulates a world of intertwined drivers, complex dynamic structures, emergent phenomena and unintended consequences, manifest across different scales and within interlinked biophysical constraints and social conditions. In this paper we discuss the changing role of science and the theoretical, methodological and analytical challenges in considering futures of the Anthropocene. We present three broad groups of research questions on: (1) societal goals for the future; (2) major trends and dynamics that might favor or hinder them; (3) and factors that might propel or impede transformations towards desirable futures. Tackling these questions requires the development of novel approaches integrating natural and social sciences as well as the humanities beyond what is current today. We present three examples, one from each group of questions, illustrating how science might contribute to the identification of desirable and plausible futures and pave the way for transformations towards them. We argue that it is time for debates on the sustainability of the Anthropocene to focus on opportunities for realizing desirable and plausible futures.

1. Introduction. 2. Futures Markets. 3. Forward and Futures Prices. 4. Interest Rate Futures. 5. Swaps. 6. Options Markets. 7. Properties of Stock Option Prices. 8. Trading Strategies Involving Options. 9. A Model of the Behavior of Stock Prices. 10. The Black-Scholes Analysis. 11. Options on Stock Indices, Currencies and Futures Contracts. 12. A General Approach to Pricing Derivative Securities. 13. Hedging Positions in Options and Other Derivative Securities. 14. Numerical Procedures. 15. Interest Rate Derivative Securities. 16. Alternatives to Black-Scholes for Option Pricing. 17. Credit Risk. 18. Exotic Options. 19. Review of Key Concepts.

In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investigates the time series properties of 5-minute, intraday returns of stock index and stock index futures contracts, and finds that S&P 500 and MM index futures returns tend to lead stock market returns by about five minutes, on average, but occasionally as long as 10 minutes or more, even after stock index returns have been purged of infrequent trading effects; however, the effect is not completely unidirectional, with lagged stock index returns having a mild positive predictive impact on futures returns.

We present a simple model implying that futures risk premia depend on both own‐market and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross‐hedging pressures from within the group significantly affect futures returns. These effects remain significant after controlling for a measure of price pressure. Finally, we show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model.

Standard approaches to designing a futures hedge often suffer from two major problems. First, they focus only on minimizing risk, so no account is taken of the impact on expected return. Second , in estima ting the hedge ratio, no allowance is made for time variation in the distribution of cash and futures price changes. This paper describes a technique for estimating the optimal futures hedge that corrects these problems and illustrates its use in hedging Treasury bonds with T-bond futures. Copyright 1988 by MIT Press.

This article examines intraday transaction data for S&P 500 stock index futures prices and the intraday quotes for the underlying index. The data indicate that the futures price changes are uncorrelated and that the variability of these price changes exceeds the variability of price changes in the S&P 500 index. This excess variability of the futures over the index remains even after controlling for the nonsynchronous prices in the index quotes, which induces auto-correlation in the index changes. We advance and examine empirically two hypotheses regarding the difference between the futures price and its theoretical value: that this ‘mispricing’ increases on average with maturity, and that it is path-dependent. Evidence supporting these hypotheses is presented.

• Narratives for the Shared Socio-Economic Pathways (SSPs) focusing on the land sector are presented. • Integrated Assessment Models have been applied for the SSPs to assess potential future developments for land use, greenhouse gas emissions, food provision and prices. • Model results reflect the general storylines of the SSPs and indicate a broad range of potential land-use futures. • SSP-based land use pathways aim at supporting future climate research, climate impact analysis, biodiversity research and sustainability science. In the future, the land system will be facing new intersecting challenges. While food demand, especially for resource-intensive livestock based commodities, is expected to increase, the terrestrial system has large potentials for climate change mitigation through improved agricultural management, providing biomass for bioenergy, and conserving or even enhancing carbon stocks of ecosystems. However, uncertainties in future socio-economic land use drivers may result in very different land-use dynamics and consequences for land-based ecosystem services. This is the first study with a systematic interpretation of the Shared Socio-Economic Pathways (SSPs) in terms of possible land-use changes and their consequences for the agricultural system, food provision and prices as well as greenhouse gas emissions. Therefore, five alternative Integrated Assessment Models with distinctive land-use modules have been used for the translation of the SSP narratives into quantitative projections. The model results reflect the general storylines of the SSPs and indicate a broad range of potential land-use futures with global agricultural land of 4900 mio ha in 2005 decreasing by 743 mio ha until 2100 at the lower (SSP1) and increasing by 1080 mio ha (SSP3) at the upper end. Greenhouse gas emissions from land use and land use change, as a direct outcome of these diverse land-use dynamics, and agricultural production systems differ strongly across SSPs (e.g. cumulative land use change emissions between 2005 and 2100 range from −54 to 402 Gt CO 2 ). The inclusion of land-based mitigation efforts, particularly those in the most ambitious mitigation scenarios, further broadens the range of potential land futures and can strongly affect greenhouse gas dynamics and food prices. In general, it can be concluded that low demand for agricultural commodities, rapid growth in agricultural productivity and globalized trade, all most pronounced in a SSP1 world, have the potential to enhance the extent of natural ecosystems, lead to lowest greenhouse gas emissions from the land system and decrease food prices over time. The SSP-based land use pathways presented in this paper aim at supporting future climate research and provide the basis for further regional integrated assessments, biodiversity research and climate impact analysis.

We examine two models of commodity futures prices. The theory of storage explains the difference between contemporaneous futures and spot prices (the basis) in terms of interest changes, warehousing costs, and convenience yields. We find evidence of variation in the basis in response to both interest rates and seasonals in convenience yields. The second model splits a futures price into an expected premium and a forecast of the maturity spot price. We find evidence of forecast power for 10 of 21 commodities and time-varying expected premiums for five commodities.

Purpose The purpose of this paper is to present a new approach to the study of the future. Design/methodology/approach The paper describes six foundational concepts (the used future, the disowned future, alternative futures, alignment, models of social change, and uses of the future), six questions (will, fear, missing, alternatives, wish, and next steps as related to the future) and six pillars (mapping, anticipating, timing, deepening, creating alternatives, and transforming), giving examples and case studies where appropriate. Findings In an increasingly complex and heterogeneous world, futures studies can help people to recover their agency, and help them to create the world in which they wish to live. Originality/value The paper integrates and builds on a variety of futures studies' concepts, ways of thinking and techniques and integrates them into a new approach.

Research Article| March 01 2017 Indigenous Climate Change Studies: Indigenizing Futures, Decolonizing the Anthropocene Kyle Whyte Kyle Whyte Michigan State University kwhyte@msu.edu Kyle Whyte holds the Timnick Chair in the Humanities and is Associate Professor of Philosophy and Community Sustainability at Michigan State University. His research addresses ethical and political issues relating to Indigenous peoples and climate change. He is an enrolled member of the Citizen Potawatomi Nation. Search for other works by this author on: This Site Google English Language Notes (2017) 55 (1-2): 153–162. https://doi.org/10.1215/00138282-55.1-2.153 Cite Icon Cite Share Icon Share Facebook Twitter LinkedIn MailTo Permissions Search Site Citation Kyle Whyte; Indigenous Climate Change Studies: Indigenizing Futures, Decolonizing the Anthropocene. English Language Notes 1 March 2017; 55 (1-2): 153–162. doi: https://doi.org/10.1215/00138282-55.1-2.153 Download citation file: Zotero Reference Manager EasyBib Bookends Mendeley Papers EndNote RefWorks BibTex toolbar search Search Dropdown Menu toolbar search search input Search input auto suggest filter your search Books & JournalsAll JournalsEnglish Language Notes Search Advanced Search The text of this article is only available as a PDF. Copyright © 2017 Regents of the University of Colorado2017 Article PDF first page preview Close Modal Issue Section: Alternatives To You do not currently have access to this content.

"Options, Futures, and other Derivatives" an often suggested and recommended book by Professor John C. Hull, has over the years emerged the most preferred textbooks, especially in business management community and fraternity. Derivatives Management is taught as subject in various Bschools For business graduates, derivative instruments are introduced through a progression where the levels of intricacies and difficulty is progressed slowly to levels where one is involved in pricing, monitoring, comparing the price movements, feasibility, and even predicting the changes.

Inspired by the energy democracy movement, this conceptual review critically explores relationships between concentrated or distributed renewable energy and political power. Advocates assert that because the renewable energy transition is fundamentally a political struggle, efforts to shift from fossil fuels and decarbonize societies will not prove effective without confronting and destabilizing dominant systems of energy power. The objectives of this paper include: 1) theorizing and exploring the relationships between renewable energy and political power, 2) critically assessing tensions associated with an energy democracy agenda, and 3) drawing out the implications for democratizing renewable energy development in practice. Distributed energy-politics posits that distributed energy sources and technologies enable and organize distributed political power and vice versa. Efforts are underway to find ways to re-organize distributed energy flows into aggregated and concentrated stocks of energy and other forms of political power. More democratic renewable energy futures may benefit from strengthening democratic practices and outcomes, extending democratization of energy systems across all components, stages and end uses, and sharpening positions relative to dominant pressures of capitalism and market ideology, the ideology of unlimited growth, and the modernist/industrialist agenda. Renewable energy systems offer a possibility but not a certainty for more democratic energy futures.

Can we imagine a future in which physical education in schools no longer exists? In this controversial and powerful meditation on physical education, David Kirk argues that a number of different futures are possible. Kirk argues that multi-activity, sport-based forms of physical education have been dominant in schools since the mid-twentieth century and that they have been highly resistant to change. The practice of physical education has focused on the transmission of de-contextualised sport-techniques to large classes of children who possess a range of interests and abilities, where learning rarely moves beyond introductory levels. Meanwhile, the academicization of physical education teacher education since the 1970s has left teachers less well prepared to teach this programme than they were previously, suggesting that the futures of school physical education and physical education teacher education are intertwined. Kirk explores three future scenarios for physical education, arguing that the most likely short-term future is ‘more of the same’. He makes an impassioned call for radical reform in the longer-term, arguing that without it physical education faces extinction. No other book makes such bold use of history to interrogate the present and future configurations of the discipline, nor offers such a wide-ranging critique of physical culture and school physical education. This book is essential reading for all serious students and scholars of physical education and the history and theory of education.