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Multi-market trading in the Eurodollar futures market

Tse, Yiuman; Bandyopadhyay, Paramita - In: Review of quantitative finance and accounting 26 (2006) 3, pp. 321-341

Persistent link: https://www.econbiz.de/10003307608

A new paradigm for forecasting security returns in a market regulated by price limits

Harel, Arie; Harpaz, Giora; Yagil, Joseph - In: Review of quantitative finance and accounting 35 (2010) 1, pp. 113-121

Persistent link: https://www.econbiz.de/10008797141

The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394

Persistent link: https://www.econbiz.de/10003600297

Pricing futures on geometric indexes : a discrete time approach

Harel, Arie; Harpaz, Giora; Francis, Jack Clark - In: Review of quantitative finance and accounting 28 (2007) 3, pp. 227-240

Persistent link: https://www.econbiz.de/10003492800

Spill over effects of futures contracts initiation on the cash market : a regime shift approach

Karathanassis, George A.; Sogiakas, Vasilios I. - In: Review of quantitative finance and accounting 34 (2010) 1, pp. 95-143

This paper investigates possible spillover effects on the spot market due to the initiation of derivatives markets. Although speculation, which is apparent because of the low transaction cost of derivatives markets, produces noise in the financial system, the speculative forces and the rational...

Persistent link: https://www.econbiz.de/10003942174

Volatilities implied by price changes in the S&P 500 options and futures contracts

Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626

Persistent link: https://www.econbiz.de/10010431376

A multi-factor Markovian HJM model for pricing : American interest rate derivatives

Kramin, Marat V.; Nandi, Saikat; Shulman, Alexander L. - In: Review of quantitative finance and accounting 31 (2008) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10003799579

The value-relevance of derivative disclosures by commercial banks: a comprehensive study of information content under SFAS Nos. 119 and 133

Wang, Li; Alam, Pervaiz; Makar, Stephen D. - In: Review of quantitative finance and accounting 25 (2005) 4, pp. 413-427

Persistent link: https://www.econbiz.de/10003230340

A simple induction approach and an efficient trinomial lattice for multi-state variable interest rate derivatives models

Kramin, Marat V.; Kramin, Timur V.; Younger, Stephen D.; … - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 199-226

Persistent link: https://www.econbiz.de/10002851875

Hedging multiperiod forward commitments : the case of period-by-quantity uncertainty

Lien, Da-hsiang Donald; Shaffer, David R. - In: Review of quantitative finance and accounting 16 (2001) 2, pp. 171-181

Persistent link: https://www.econbiz.de/10001748022