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Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Ahn, Dong-Hyun - 1999

This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...

Persistent link: https://www.econbiz.de/10012471575

Derivatives Usage in Risk Management by US and German Non-Financial Firms : A Comparative Survey

Bodnar, Gordon M. - 1998

This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In … choice of instruments, and the influence of their market view when taking derivative positions. These differences appear to …

Persistent link: https://www.econbiz.de/10012472108

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives

Das, Sanjiv R. - 1998

to compute more complicated derivative securities …

Persistent link: https://www.econbiz.de/10012472175

Derivatives in International Capital Flows

Garber, Peter M. - 1998

This paper will discuss the role of derivative products in international capital flows, especially in providing a means …

Persistent link: https://www.econbiz.de/10012472188

Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash

Bates, David - 1998

Futures market clearinghouses are intermediaries that make large volume trading between anonymous parties feasible. During the October 1987 market crash rumors spread that a major clearinghouse might fail. This paper presents estimates of three measures of the default exposure on the popular...

Persistent link: https://www.econbiz.de/10012472298

Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model

Bertsimas, Dimitris - 1997

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …

Persistent link: https://www.econbiz.de/10012472561

Fixing Capital Gains : Symmetry, Consistency and Correctness in the Taxation of Financial Instruments

Bradford, David F. - 1996

A great deal of effort and ingenuity has been addressed to patching holes in the income tax attributable to realization accounting. A classic instance of the problem is the headachescreated by capital gains, whereby the taxpayer can choose to postpone recognition of gain and accelerate...

Persistent link: https://www.econbiz.de/10012473080

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Ait-Sahalia, Yacine - 1995

Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...

Persistent link: https://www.econbiz.de/10012473518

Nonparametric Pricing of Interest Rate Derivative Securities

Ait-Sahalia, Yacine - 1995

We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative …

Persistent link: https://www.econbiz.de/10012473524

Banks and Derivatives

Gorton, Gary - 1995

In the last ten to fifteen years financial derivative securities have become an important, and controversial, product …, the difficulties with accurately reporting timely information concerning the value of firms' derivative positions, and the …

Persistent link: https://www.econbiz.de/10012473787

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