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Currency derivatives in internationally diversified investment portfolios

In: Economics Update (1997) Oct, pp. 5-5

Persistent link: https://www.econbiz.de/10005379847

Interest rate models : an introduction

Cairns, Andrew J. G. - 2004

Persistent link: https://www.econbiz.de/10004510684

Using interest-rate options to hedge interest rate-dependent securities

Ronn, Ehud I.; Xuan, Changneng - Federal Reserve Bank of Chicago - 1997

Persistent link: https://www.econbiz.de/10010723855

The role of currency derivatives in internationally diversified portfolios

Abken, Peter A.; Shirkhande, Milind M. - In: Economic Review (1997) Q 3, pp. 34-59

Diversification is widely practiced by investors seeking to reduce risk. In recent years investors have been turning to foreign markets to obtain even greater scope for diversification than domestic markets offer. With the internationalization of security portfolios, however, also comes an...

Persistent link: https://www.econbiz.de/10005498217

Dynamic valuation of weather derivatives under default risk

Härdle, Wolfgang Karl; Osipenko, Maria - 2017

Weather derivatives are contingent claims with payo based on a pre-speci ed weather index. Firms exposed to weather risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives in over-the-counter markets under...

Persistent link: https://www.econbiz.de/10011663446

Long-term information, short-lived derivative securities

Bernhardt, Dan; Davies, Ryan; Spicer, John - 2000

This paper explores strategic trade in short-lived derivative securities by agents that possess long-term information …, trading short-lived securities is profitable only if the price impounds the private information before expiry. A consequence …-term derivative securities, we provide a possible explanation for why most markets for longer-term derivative securities have little …

Persistent link: https://www.econbiz.de/10011940621

Interest rate model theory with reference to the South African market

Van Wijck, Tjaart - 2006

An overview of modern and historical interest rate model theory is given with thespecific aim of derivative pricing. A variety of stochastic interest rate models arediscussed within a South African market context. The various models arecompared with respect to characteristics such as mean...

Persistent link: https://www.econbiz.de/10009442156

Aspects of some exotic options

Theron, Nadia - 2007

. This versatility and leverage, however, come at a price. Options are complex securities and can be extremely risky.In this …

Persistent link: https://www.econbiz.de/10009442181

An investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives market

Jordaan, F. Y.; Van Rooyen, J. H. - 2010

This study set out to draw a pricing comparison between two similar contracts in the South African derivatives market. These contracts, a normal option and a warrant on the same underlying stock are considered. The research shows that although the two derivatives are the same in all respects,...

Persistent link: https://www.econbiz.de/10009442277

Price Uncertainty and Derivative Securities in a General Equilibrium Model

Chichilnisky, Graciela; Dutta, Jayasri; Heal, Geoffrey - 1992

-contingent commodities or securities and further derivative securities removes all endogenous uncertainty associated with lack of knowledge … also give an important resource-allocation role to derivative securities based on price indices. …

Persistent link: https://www.econbiz.de/10009472288

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