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Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012

sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …

Persistent link: https://www.econbiz.de/10010907433

Liquidity commonality in commodities

Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of Banking & Finance 37 (2013) 1, pp. 11-20

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997–2003 when...

Persistent link: https://www.econbiz.de/10011065589

Pinning in the S&P 500 futures

Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585

We show that Standard & Poor's (S&P) 500 futures are pulled toward the at-the-money strike price on days when serial options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price right before the expiration of options on the S&P 500...

Persistent link: https://www.econbiz.de/10010587978

Predictability of currency carry trades and asset pricing implications

Bakshi, Gurdip; Panayotov, George - In: Journal of Financial Economics 110 (2013) 1, pp. 139-163

This paper studies the time series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the US dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict...

Persistent link: https://www.econbiz.de/10010702377

Pricing Kernels with Stochastic Skewness and Volatility Risk

Chabi-Yo, Fousseni - 2012

. The price of the market volatility is negative. Consistent with economic theory, I find that the pricing kernel decreases …

Persistent link: https://www.econbiz.de/10012712521

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes

Bakshi, Gurdip S. - 2012

This paper studies the structure of stock market crashes, rallies, their jump arrival rates, and extremes. Large market moves are characterized in a pure-jump modeling framework. Based on both raw and devolatized returns, it is shown empirically that crashes are more severe in intensity than...

Persistent link: https://www.econbiz.de/10012712509

HEDGE RATIO AND HEDGING EFFICIENCY: EVIDENCE FROM INDIAN DERIVATIVE MARKET

NALINIPRAVA, Tripathy - In: Journal of Applied Research in Finance Bi-Annually III (2011) 1, pp. 62-75

This paper examines the hedge ratio & hedging effectiveness of S&P CNX Nifty stock index futures, Gold futures and …

Persistent link: https://www.econbiz.de/10010744682

Regime-Dependent Smile-Adjusted Delta Hedging

Alexander, Carol; Rubinov, Alexander; Kalepky, Markus; … - Henley Business School, University of Reading - 2010

Most research on option hedging has compared the performance of delta hedges derived from different stochastic … their hedging performance clearly demonstrate that even the simplest of the regime-dependent smile adjustments will … consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether …

Persistent link: https://www.econbiz.de/10011206320

Trois modèles de structure par terme des prix du pétrole : une comparaison

Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2002

La présentation de la théorie du stockage et de la notion de convenience yield permet d’exposer les fondements …

Persistent link: https://www.econbiz.de/10011071877

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014

that the convenience yield curve is well explained by a level and a slope factor. Consistent with the theory of storage …

Persistent link: https://www.econbiz.de/10010960394