Pricing of forward and futures contracts

There has long been substantial interest in understanding the relative pric ing of forward and futures contracts. This has led to the development of tw o standard theories of forward and futures pricing, namely, the Cost-of-Car ry and the Risk Premium (or Unbiased Expectations) hypotheses. These studie s have modelled the relationship between spot and forward/futures prices ei ther through a no-arbitrage condition or a general equilibrium setting. Rel atively few studies in this area have considered the impact of stochastic t rends in the data. with the emergence of non-stationarity and cointegration in recent years, more sophisticated models of futures/forward prices have been specified. This paper surveys the significant contributions made to th e literature on the pricing of forward/futures contracts, and examines rece nt empirical studies pertaining to the estimation and testing of univariate and systems models of futures pricing.