The volatility structure of 90-day bill futures traded on the the Sydney Futures Exchange is analysed within the framework of the Heath-Jarrow-Morton model. The method involves characterisation of the transition probability density function for the forward rate process represented by the...

There is a huge literature on the existence of risk premia in the foreign exchange markets and its influence in explaining the divergence between the forward exchange rate and the subsequently realised spot exchange rate. In this paper, we seek to model directly the risk premium as a...

This paper examines the martingale behaviour in the Yen Futures return trading at the two exchanges, SIMEX and IMM. The IMM exchange is the larger and more established of the two exchanges. It is, therefore, hypothesised that IMM exhibits a higher rate of information flow than that of SIMEX....

This paper examines the structure of yield on Australian Treasury securities ranging in maturities from thirteen weeks to fifteen years using unit roots tests and cointegration tests. There is strong evidence to suggest that the six treasury securities considered, are cointegrated irrespective...

An appropriate stochastic model was fitted to one year data on the implied volatility of options on 90 day bank accepted bill futures contracts traded in the Sydney Futures Exchange. The model used was ARIMA augmnented with day of the week variables, an option time to maturity variable, and...