On futures prices in supermartingale term structure models
Dr Dirk Becherer, Department of Mathematics, Imperial College London

The talk is on general futures prices in the framework of supermartingale pricing kernel models. We show how recent results on supermartingale term structure models plus stochastic backward integration allow for a unifying view on discretely and continuously resettled contingent claims, and discuss the structure behind the natural numeraires for obtaining the futures price process.