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Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
Ardia, David - Volkswirtschaftliche Fakultät, … - 2002
This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.
Persistent link: https://www.econbiz.de/10008528725
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On the demand pressure hypothesis in option markets: the case of a redundant option
Bennour, Khaled - Volkswirtschaftliche Fakultät, … - 2011
Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …
Persistent link: https://www.econbiz.de/10011113296
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On the liquidity of CAC 40 index options Market
François-Heude, Alain; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2013
enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …
Persistent link: https://www.econbiz.de/10011113793
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Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo
Ibañez, Francisco; Romero-Meza, Rafael; … - Volkswirtschaftliche Fakultät, … - 2015
This paper is aimed at examining the theoretical determinants and empirical evidence on the use of derivatives in Latin America for risk management. The contingent claims, the development of their market, and their use, is undoubtedly one of the most powerful financial innovations available to...
Persistent link: https://www.econbiz.de/10011210477
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Explaining the Smile in Currency Options: Is it Anchoring?
Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2015
An anchoring adjusted currency option pricing formula is developed in which the risk of the underlying currency is used …
Persistent link: https://www.econbiz.de/10011250911
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Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
Lee, Y.; So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2013
This research aims to construct a model for pricing counterparty credit risk (CCR) for synthetic collateralized debt obligation (CDO) tranches by considering the relationship between the counterparty and the credit port- folio. A stochastic intensity model is adopted to describe the default...
Persistent link: https://www.econbiz.de/10011258998
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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...
Persistent link: https://www.econbiz.de/10011259157
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Do financial investors affect the price of wheat?
Girardi, Daniele - Volkswirtschaftliche Fakultät, … - 2012
It is widely debated whether financial speculation was a significant force behind recent food price fluctuations. As a matter of fact, during the 2000s agricultural commodity derivatives markets were flooded by a ‘wall of money’ coming from financial investors. In agricultural exchanges, the...
Persistent link: https://www.econbiz.de/10011259522
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Noncommercial Trading in the Energy Futures Market
Dale, Charles; Zyren, John - Volkswirtschaftliche Fakultät, … - 1996
This paper utilizes a new approach to an examination of price impacts of speculators on futures markets. It focuses initially on specially obtained data on commodity “pools,” which are large funds of money that may move quickly between and across futures markets and other financial markets;...
Persistent link: https://www.econbiz.de/10011259576
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Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz; Yildizhan, Celim - Volkswirtschaftliche Fakultät, … - 2009
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...
Persistent link: https://www.econbiz.de/10011259646