TY - JOUR T1 - Forward Prices and Futures Prices JF - The Journal of Alternative Investments SP - 80 LP - 86 DO - 10.3905/jai.2005.591580 VL - 8 IS - 2 AU - Emanuele Amerio Y1 - 2005/09/30 UR - https://pm-research.com/content/8/2/80.abstract N2 - This article provides an overview on the literature (mainly theoretical) about forward prices and futures prices on the same underlying security with the same expiration. The well-known fundamental relationship between the two prices is derived. In particular, forward prices are expressed in terms of futures prices by means of a convexity drift adjustment that takes into account the instantaneous correlation between those futures prices and discount bonds, driven by two imperfectly correlated Brownian motions. The derivation of the drift adjustment is original. ER -