Narrow search
Showing 1 - 10 of 180,745
Cover Image
'Stop-Loss' Strategies : Theory and Application to the Matif Bond Future Contract (In French)
bensaid, bernard - 2011
To explain the existence of stop-loss rules in financial institutions, we develop a principal/agent model, where an investment firm (the principal) has to rely on the expertise of a trader (the agent) to invest in a risky asset (a future contract, say). When the trader faces a limited liability...
Persistent link: https://www.econbiz.de/10013131855
Cover Image
Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10012062155
Cover Image
Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted...
Persistent link: https://www.econbiz.de/10011892699
Cover Image
Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N. - 2003
gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …
Persistent link: https://www.econbiz.de/10014404000
Cover Image
Synthetic Eurocurrency Interest Rate Futures Contracts : Theory and Evidence
Koh, Annie - 2007
measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining … interest rate parity relationship. In theory, the cash flows of the synthetic contract perfectly replicate the cash flows of a … hedging non-dollar borrowing rates. These results have implications for the practice of hedging non-dollar interest rate risk …
Persistent link: https://www.econbiz.de/10012777151
Cover Image
Tail Hedging Strategies
Strub, Issam S. - 2018
This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm … adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate … 2015 and its performance is compared to cash and options based tail hedging strategies. The cash based methods are shown to …
Persistent link: https://www.econbiz.de/10012938485
Cover Image
Synthetic Eurocurrency Interest Rate Futures Contracts : Theory and Evidence
Koh, Annie - 1989
measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining … interest rate parity relationship. In theory, the cash flows of the synthetic contract perfectly replicate the cash flows of a … hedging non-dollar borrowing rates. These results have implications for the practice of hedging non-dollar interest rate risk …
Persistent link: https://www.econbiz.de/10012475991
Cover Image
The tail wags the dog : time-varying information shares in the bund market
Upper, Christian; Werner, Thomas - 2007
Persistent link: https://www.econbiz.de/10003424678
Cover Image
Does the “Bund” dominate price discovery in Euro bond futures? : examining information shares
Fricke, Christoph; Menkhoff, Lukas - 2010
This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant -...
Persistent link: https://www.econbiz.de/10003979748
Cover Image
The pricing and efficiency of Australian treasury bond futures
Frino, Alex; He, William Peng; Lepone, Andrew - In: Australasian accounting business and finance journal : AABF 8 (2014) 2, pp. 3-14
Persistent link: https://www.econbiz.de/10010520035