Hi David,
Could you explain why if the correlation is strongly positive: futures > forward? (I understand it is related to daily mark to market, but I do not understand why strongly positive correlation leads to "futures > forward".)
Also how is this related to convexity adjustment?
Thanks.
Could you explain why if the correlation is strongly positive: futures > forward? (I understand it is related to daily mark to market, but I do not understand why strongly positive correlation leads to "futures > forward".)
Also how is this related to convexity adjustment?
Thanks.