Currently (on June 23) the value of August BIST 30 index futures is 1560 while the spot BIST 30 index has a value of 1512. Given that the current annual interest rate in Turkey is 20% and the annual dividend yield of the BIST 30 index is 4%; b) Is there an arbitrage gap? If so; what may be the arbitrage gain in case of an arbitrage with 50 contracts? Note: Contract Multiplier is 10
Macrohedging
Hedging or hedge accounting is a risk-mitigation technique used to protect the current financial position from potential losses. Hedging is often confused with speculating. The major difference between the two is that hedging does not involve guessing, whereas speculation is based on guessing the direction of movement of the underlying asset to book profits.
Finance Mathematics
The area of applied mathematics known as mathematical finance, also known as quantitative finance or financial mathematics is concerned with the mathematical modeling of financial markets. The application of mathematical methods to financial problems is known as financial mathematics. A financial market is a place where people can exchange low-cost financial securities and derivatives. Stocks and bonds, raw materials, and precious metals, both of which are regarded as commodities in the stock markets, are examples of securities. It uses probability, statistics, stochastic processes, and economic theory as methods.
Currently (on June 23) the value of August BIST 30 index futures is 1560 while the spot BIST 30 index has a value of 1512. Given that the current annual interest rate in Turkey is 20% and the annual dividend yield of the BIST 30 index is 4%;
b) Is there an arbitrage gap? If so; what may be the arbitrage gain in case of an arbitrage with 50 contracts?
Note: Contract Multiplier is 10
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