In recent years financial engineers have created instruments that facilitate the efficient transfer of the risk associated with certain forms of entertainment revenues. This paper focuses on one particular instrument, options on streams of movie revenues. These options enable film distributors...

We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forwards and futures options. The proposed model extends Bates' model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized...

Black (1976) model assumes a lognormal distribution for futures prices, and has been shown to misprice deep in-the-money and deep out-of-the-money futures options. In this paper, the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a) is fitted to currency...

We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forwards and futures options. The proposed model extends Bates' model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized...

We develop a method for determining the significance of the effect of a certain event (stock split, corporate restructuring, change in regulation, etc.) on unsystematic volatility of asset returns. Simulations show that the suggested tests reject the true null hypothesis of no effect on...

We extend the procedures developed by Nelson and Ramaswamy (RFS, 1990) and Hull and White (JFQA, 1990) to accomodate more generalized diffusions and two possible correlated state variables thus yielding a bivariate vinomial options pricing technique. The advantage this technique offers is the...

In a highly publicized example, a marketing and refining subsidiary of AG Metallgesellschaft controlled short term forward positions reportedly equivalent to 160 million barrels of oil, 60 times the daily output of Kuwait. Presumably, the short term positions were taken to hedge oil contracts to...