Futures Markets

Rating:
Summary: Introductory, but it is not easy
Review: This is an introductory book on future markets, but it is not so easy, because it tackles some tough things (such as hedge and martingal) in an advanced level.

Maybe it is the best basic and useful text about Future Markets ever written. It is very well divided, the exposition is clear, and relevant problems are discussed. Therefore I recommend it for all those who wish to begin to study future markets.

Duffie begins explaining how future markets work - this is really basic. Then he explores the concept of hedge, and how to calculate it - by minimum variance, for example. The important things are how to chain the contracts, and, mainly, how to calculate the hedge when the change in prices is calculated in absolute or in relative terms (this is hard to learn and understand intuitively, but Duffie makes it easy - that's why it is a brilliant topic.)

Concepts such as utility function, martingal, risk aversion and others are explored, nonetheless they are not so difficult if the reader has been already introduced to them.