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Impact of transaction taxes on commodity derivatives trading in India
Ray, Saon; Malik, Neha - 2014
management in the commodities market. A transaction tax (of 0.01 per cent) on commodity futures trading was introduced in the … imposition on the total volume traded of a few select commodity futures as well as on the overall efficiency of the commodity … market. Results for the event study suggest a significant drop in traded volumes of commodity futures such as gold, copper …
Persistent link: https://www.econbiz.de/10010354169
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The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets
Bachmair, Kilian - 2023
.By studying 3-months LIBOR futures, this paper evaluates the consequences four scandal-related events have had on liquidity and …
Persistent link: https://www.econbiz.de/10014255066
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … suggests that option traders increase bid-ask spreads to account for trading against investors who are skilled processors of …
Persistent link: https://www.econbiz.de/10010472845
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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913
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Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model
Persistent link: https://www.econbiz.de/10013113731
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Average Option Pricing in Volatile Market
Joseph, Angelo - 2011
Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and uncertain investment returns. Financial institutions therefore, usually opt to hedge their investment portfolios against the high volatility using a suitable hedging structure. One...
Persistent link: https://www.econbiz.de/10013120482
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Consistent Pricing and Hedging Volatility Derivatives with Two Volatility Surfaces
Chen, Ke - 2013
Abstract Using the joint characteristic function of equity price and state variables, we can price contingent claims on both equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX future contract of different maturities are...
Persistent link: https://www.econbiz.de/10013088143
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Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets
Chiang, I-Hsuan Ethan - 2013
We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing non-oil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is...
Persistent link: https://www.econbiz.de/10013091009
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Pricing Forward Skew Dependent Derivatives : Multifactor Versus Single-Factor Stochastic Volatility Models
Marabel Romo, Jacinto - 2014
Empirical evidence shows that, in equity options markets, the slope of the skew is largely independent of the volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew. On the other hand, multifactor stochastic...
Persistent link: https://www.econbiz.de/10013064470