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The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...
Persistent link: https://www.econbiz.de/10005621718
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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early contributions to the postwar literature on exchange rate economics are to a large extent concerened with the role of speculation in foreign exchange markets. However, the world...
Persistent link: https://www.econbiz.de/10005619306
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Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
Huang, Huichou; MacDonald, Ronald - Volkswirtschaftliche Fakultät, … - 2012
This is the first study that employs option pricing model to measure the position-unwinding risk of currency carry trade portfolios, which covers moment information as the proxy for crash risk. We show that high interest-rate currencies are exposed to higher position-unwinding risk than low...
Persistent link: https://www.econbiz.de/10011107339
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Borrowing Constraint and the Effect of Option Introduction
Amira, Khaled; Bennour, Khaled - Volkswirtschaftliche Fakultät, … - 2010
This paper studies how options trading, by circumventing constraints on borrowing, permits optimistic investors to hold …. We show that aggregate demand for the stock is what prevails when options do not exist and no constraints hold …
Persistent link: https://www.econbiz.de/10008695108
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Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review
Hiremath, Gourishankar S - Volkswirtschaftliche Fakultät, … - 2009
The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research …. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the … consensus, but there is little evidence for the destabilization effect of options. Given increasing growth of options in …
Persistent link: https://www.econbiz.de/10011258169
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Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover
Behera, Harendra - Volkswirtschaftliche Fakultät, … - 2010
The paper empirically examines the onshore-offshore linkages of the Indian rupee using recently developed multivariate GARCH techniques. The empirical results show that offshore non deliverable forward (NDF) market does not have mean spillover impact on onshore spot, forward and futures market...
Persistent link: https://www.econbiz.de/10008622263
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Analogy Based Valuation of Currency Options
Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2015
The two most intriguing anomalies in currency markets are: 1) the implied volatility smile in currency options, and 2 …) the forward discount bias in currency exchange rates. I show that if currency options are valued in analogy with the …
Persistent link: https://www.econbiz.de/10011184598
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An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies
Arizmendi, Luis-Felipe - Volkswirtschaftliche Fakultät, … - 2013
-Kohlhagen formula for currency options, this research extends it with the Taylor-rule expression used for inflation targeting, thus … obtaining the corresponding Call and Put options and higher-degree partial derivatives known as "Greeks" for key variables such …
Persistent link: https://www.econbiz.de/10011107280
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The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2013
Forward exchange rate bias explanation generally falls into two categories – assumption of rational expectation resulting in a risk premium and expectation errors which is systematic. The paper tests the bias in the Indian forward exchange markets using one-month and three month forward...
Persistent link: https://www.econbiz.de/10011111648
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Hedging Effectiveness under Conditions of Asymmetry
Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...
Persistent link: https://www.econbiz.de/10005837212