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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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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a …
Persistent link: https://www.econbiz.de/10011083673
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Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)
Aydin, Halil Ibrahim; Degerli, Ahmet; Ozlu, Pinar - Türkiye Cumhuriyet Merkez Bankası - 2010
This paper uses over-the-counter currency options data to investigate market expectations on Turkish Lira-U.S. Dollar …
Persistent link: https://www.econbiz.de/10008629912
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The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1997
Persistent link: https://www.econbiz.de/10005800346
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Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options
AYDIN, Halil İbrahim; DEĞERLİ, Ahmet; ÖZLÜ, Pınar - In: Iktisat Isletme ve Finans 25 (2010) 291, pp. 9-26
This paper uses over-the-counter currency options data to investigate market expectations on Turkish Lira-U.S. Dollar …
Persistent link: https://www.econbiz.de/10008494032
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Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10005750168
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Recent Developments in Financial Economics and Econometrics:An Overview
Chang, Chia-Lin; Allen, David E; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10010860064
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Department of Economics and Finance, College of … - 2013
bank relation-ship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing op-tions on stocks …-free implied vola-tility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options …
Persistent link: https://www.econbiz.de/10010907402
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012
cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS …
Persistent link: https://www.econbiz.de/10010907433
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, Allen, D.E. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10010732636