This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...

This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...

The most pernicious effect of the global financial crisis is that it triggers a sequence of unpleasant consequences for the banking sector and for the entire economy as a whole. The recent financial crisis has compelled regulators to focus on the necessity of resilience of banks towards risks...

This study looks into the price behavior of five base metals – aluminum, copper, zinc, lead and nickel traded on Multi Commodity Exchange (MCX), using near month futures contracts and spot contracts for the period from November 2007 to January 2013. To assess the impact of the recent Global...

India has emerged as one of the fastest growing economies even in the difficult financial downturn era. In coming years, India will be demanding a large number of infrastructure services to match the demand and keep an upward sloping growth curve. Indian infrastructure including both soft (port...

The study examines influence of FIIs on the Indian equity market and its role in integration with US equity market. It provides insight for policy formulation in order to move towards greater liberalized FII’s policy regime for regaining FIIs confidence in the Indian equity market. The time...

This paper studies the effect of Securities Transaction Tax (STT) on the behavior of the returns on the Indian stock market using a switching first order autocorrelation model. It is found that an increase in STT doesn’t influence the return on American Depository Receipts (ADRs) which are...

In this study the price, return and volatility behaviour of base metals (aluminium, copper, nickel, lead and zinc) which are traded on Indian commodity exchange - Multi Commodity Exchange (MCX) and International commodity exchange – London Metal Exchange (LME) are analysed. The time period...