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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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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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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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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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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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Modeling and Pricing in Financial Markets for Weather Derivatives
Benth, Fred Espen; Benth, Jūratė Šaltytė - World Scientific Publishing Co. Pte. Ltd.
>Extensions of Temperature and Wind Speed Models</li> <li>Options on Temperature and Wind</li> <li>Precipitation Derivatives</li> <li … derivatives like futures and options based on modern mathematical finance theory</li> <li>This book is unique in combining …
Persistent link: https://www.econbiz.de/10011156372
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 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/10011256871
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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
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 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/10010778692