Spot-futures pricing model (with time to maturity and volatility)

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Spot-futures pricing model (with time to maturity and volatility)

posted Apr 24, 2015

I am looking for price model for spot and futures Maybe you can recommend something intresting? Price can include (time until expiration) and volatility in spot,price of spot What i should looking for?

Maybe books which can describe correlation between spot and futures?

Something like this paper "Time-Varying Spot and Futures Oil Prices Dynamics"  
http://www.brunel.ac.uk/__data/assets/pdf_file/0015/82032/1006.pdf

HOW futures become equal to spot price.  
http://www3.cs.stonybrook.edu/~skiena/691/2007/lectures/lecture3.pdf  
F=S*EXP(r*T) where F -forwad price S price for basic(for example stock or commodities oil) T-time period  
But i am looking for price model near time expiration(maturity of futures) wheref tures price almost equal to spot price and will be soon(after few hors,day) equal to spotprice)


http://www.investopedia.com/ask/answers/06/futuresconvergespot.asp  
Why do futures' prices converge upon spot prices during the delivery month? (i need formula for this)




Relationship between the price volatility and the time- to-maturity of a futures contract Futures price

What i should read,what you can recommend for price models of futures and spot?(like Black Scholes but for spot-futures only) What quants use for modeling futures price Maybe some R packages?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.