In this article, we test performance persistence and measure the historical, the implied volatility, the credit spread volatility and the value at risk,VaR, of the credit derivatives swaptions contracts. We examine contracts of US leveraged loans, mortgage backed securities, high grade corporate...

In this article, we test performance persistence and volatility fluctuations of the prices of the treasury note futures contracts based on the US term structure of interest rates. The sample investigated is over the period 2010 to 2020. We test 50 Treasury note futures commodity trading...

In this article, we are going to analyze the redistribution of incomes from the derivative market to the poors. The purpose is to create money funds that help the poors, the beggars and any persons that are financially in a minority group. The various problems of Africa would be addressed within...

In this article, we test the backwardation and contango effects on a 3 – month Eurodollar futures contract by applying a vector error correction, VEC, model. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying...

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract using the option delta. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...

Credit derivative swap of the Greek market is a financial instrument the value of which is derived from an underlying market value incorporating the credit risk of a bond or a loan. They are used to hedge, to speculate on the spreads through arbitrage. The premium that is incorporated in the...

This book is designed to provide an overview and introduction to the financial derivatives. Derivatives are a very complicated subject in terms of mathematics and understanding, so it becomes very important to use simple definition and basic mathematics. A lot of students and especially the one...

his paper examines the monthly interrelation of option volume and price return for actively traded Frankfurt Stock Exchange stocks and their European Derivatives Exchange traded options during the trading period of May to August 2002. The purpose is to investigate whether microfinance...

We analyze the gamma effect on a call Nordea option delta and how a hedge position is achieved. There is significant time variation in the gamma effect on a call Nordea option delta and the traditional Black – Scholes model can not explain this deviation. The Black – Scholes model is used to...