The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic...

The dual role of houses as durable consumption goods and as financial investments makes the option approach a suitable method for evaluating them. When the buyer of an owner-occupied home spends a large amount of money on a house, he pays the bill to cover not only construction costs but also...

The dual role of houses as durable consumption goods and as financial investments makes the option approach a suitable method for evaluating them. When the buyer of an owner-occupied home spends a large amount of money on a house, he pays the bill to cover not only construction costs but also...

This research aims to construct a model for pricing counterparty credit risk (CCR) for synthetic collateralized debt obligation (CDO) tranches by considering the relationship between the counterparty and the credit port- folio. A stochastic intensity model is adopted to describe the default...