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The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?

Bird, Ron; Reddy, Krishna; Yeung, Danny - Finance Discipline Group, Business School - 2011

Numerous empirical studies dating back to Ball and Brown (1968) have investigated how markets react to the receipt of new information. However, it is only recently that authors have focussed on differentiating between, and learning from, how investors react to good and bad news. In this paper we...

Persistent link: https://www.econbiz.de/10009493157

The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets

Eldridge, R. M.; Peat, Maurice; Stevenson, Max - Finance Discipline Group, Business School - 2003

In order to explain the incidence of Granger causality between indices from the futures and the underlying cash market, as reported by numerous empirical studies in the literature, it is important to account for mean and volatility (second-order) persistence effects in the data. Further, there...

Persistent link: https://www.econbiz.de/10005112889

Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model

Bhar, Ram; Chiarella, Carl - Finance Discipline Group, Business School - 1996

This paper builds upon the authors' previous work on transformation of the Heath-Jarrow-Morton (HJM) model of the term structure of interest rates to state space form for a fairly general class of volatility specification including stochastic variables. Estimation of this volatility function is...

Persistent link: https://www.econbiz.de/10005112892

Option Valuation in Multivariate SABR Models

Kienitz, Jörg; Wittke, Manuel - Finance Discipline Group, Business School - 2010

We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility model. Using the Markovian Projection methodology we approximate a univariate displaced diffusion SABR dynamic for the basket to price caps and floors in closed form. This enables...

Persistent link: https://www.econbiz.de/10008506968

Hedging for the Long Run

Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008

In the years following the publication of Black and Scholes [7], numerous alternative models have been proposed for pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump diffusion models, and models based on Levy processes. These all have their own...

Persistent link: https://www.econbiz.de/10004984487

A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models

Bhar, Ram; Chiarella, Carl; To, Thuy Duong - Finance Discipline Group, Business School - 2002

is quantified and shown to be non-negligible. Then futures contracts are treated as derivative instruments written on …

Persistent link: https://www.econbiz.de/10004984491

Exchange Options Under Jump-Diffusion Dynamics

Cheang, Gerald H. L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

price processes also contain compound Poisson jump components. A Radon-Nikod´ym derivative process that induces the change … Radon-Nikod´ym derivative allows us to price the option under different financial-economic scenarios. We also consider …

Persistent link: https://www.econbiz.de/10004984495

A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate

To, Thuy-Duong - Finance Discipline Group, Business School - 2004

The note shows that there is a non-negligible bias in using the futures rates as a proxy for the instantaneous forward rates in the estimation of forward rate models. It is therefore desirable to derive the evolution of observable rates, then use the distributional properties of this evolution...

Persistent link: https://www.econbiz.de/10004984534

Hedge Portfolios in Markets with Price Discontinuities

Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008

relation by adopting a Radon-Nikodym derivative based on the exponential martingale of a correlated Brownian motion process and … a multivariate compound Poisson process. The parameters in the Radon-Nikodym derivative define a family of equivalent … parameters in the Radon-Nikodym derivative used in the alternative derivation of the integro-partial differential equation. …

Persistent link: https://www.econbiz.de/10004984596

Performance Implications of Active Management of Institutional Mutual Funds

Bird, Ron; Pellizzari, Paolo; Yeung, Danny - Finance Discipline Group, Business School - 2011

Although mutual fund performance has been dissected from almost every angle, very little attention has been paid to the connection between the actual active decisions made by management and the subsequent performance outcomes. In this paper we use information on institutional mutual funds to...

Persistent link: https://www.econbiz.de/10009493156

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