ABSTRACT
The intertemporal asset pricing model was extended a few years ago to price nominal assets in an international setting (for example, Lucas 1982). Many applications of the model to financial forward markets followed, including those by Hansen and Hodrick (1983), Hodrick and Srivastava (1984) and Mark (1985). However, it is only recently that the work of Cox et al. (1981) and Richard and Sundaresan (1981) on futures has been adapted for financial futures. Applications to foreign currency futures include those by Hodrick and Srivastava (1987) and McCurdy and Morgan (1987, 1988a).
