In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook...

In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury...

Options markets display interesting features. Most options are executed when they are near the money. However, the underlying asset price varies significantly during the life-time option. It is therefore difficult to predict the future option position. In order to make options' markets more...

This paper presents a classroom experiment where students participate in a simulated futures market. This experiment can be run in about an hour and allows students to interact, negotiate, try different strategies, see how their accounts are closed, and observe how spot and futures markets...

Given that a significant proportion of the Chilean education system is financed with household resources, we present human capital contracts (HCC) as an option for higher education financing for students facing financial constraints, but who could use their expected future income flows as...

In this paper, valuation of a derivative partially collateralized in a specific foreign currency defined in its credit support annex traded between default-free counterparties is studied. Two pricing approaches -- by hedging and by expectation -- are presented to obtain the same valuation...

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and futures prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence...

Natural gas flows in pipelines as a consequence of the pressure difference at the inlet and outlet. Adjusting these pressures makes it possible to inject natural gas at one rate and withdraw at a different rate, hence using the pipeline as storage as well as transport. We study the value of...