Sumários

21 Outubro 2026, 14:30 • André Teixeira

1. Pricing FX futures: Covered Interest Rate Parity (CIP)

2. Two independent no-arbitrage derivations, verified numerically both ways

3. Hedging a EUR receivable (long spot exposure)

4. Hedging a EUR payable (short spot exposure)

20 Outubro 2026, 14:30 • André Teixeira

1. Reading FX Quotes

2. A FUT on EUR/USD

3. Value of FX Futures

14 Outubro 2026, 14:30 • André Teixeira

1. Hedging a diversified portfolio with stock index futures — the CAPM connection

2. Deriving and applying the optimal number of contracts, NC

3. Examples of different betas

13 Outubro 2026, 14:30 • André Teixeira

1. Why we treat forwards and futures as equivalent from here on

2. The underlying: what is a stock index, and the dividend-yield technique

3. The futures contract definition and payoff

4. Valuing an existing futures position (daily settlement)

5. Pricing the futures contract: cost-of-carry with a dividend yield

7 Outubro 2026, 14:30 • André Teixeira

1. Hedging a long position in the underlying with a forward

2. Hedging a short position in the underlying with a forward

3. Why the hedge works perfectly: a no-risk result, verified both algebraically and

numerically

4. Exercises