The paper describes a method for selecting prices and quantities at auctions of government securities, with special reference to Italian Treasury bill auctions. As suggested by portfolio selection theory, there are three logically distinct steps: in the first, the joint distribution of stop-out...

The first part of the paper presents some basic relationships linking multiple options, i.e. options written on several risky assets and, specifically, options on the maximum and the minimum of n assets. This is followed by a description of the features of currency option bonds, which offer...

After describing the various concepts of efficiency (information, valuation, full-insurance and functional) with special reference to the Italian stock market, the paper analyzes the impact of particular dates and periods of the civil year and stock exchange calendars on stock price changes to...

Riporti contracts defer obligations to deliver or pay for shares from one monthly clearing to the next. Through what amount to double loans of lire against shares, the riporti market makes possible short selling and the buying of shares on credit. About 1,000 billion lire is lent monthly to long...

This paper studies the valuation of floaters and options on floaters under the assumption of a square root interest rate model. By incorporating the extension proposed by Duffie (1995) into the Cox, Ingersoll and Ross model (1985) in order to accommodate the presence of special repo rates, we...

The pricing of bonds and bond options with default risk is analyzed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter,...

The search for derivative contracts with complex features can also be explained as the market's attempt to elude the restrictions imposed by the law on money loans. This is an undesirable effect of anti-usury rules. It can be added to the one mentioned by Montesquieu and Adam Smith, who pointed...

The Basle Committee is seeking to amend the 1988 Accord by introducing a new capital adequacy framework for credit institutions. The proposals, put forward in a consultative paper issued in June 1999 (A New Adequacy Framework), have been submitted for comments to the international banking...

Euro-deposit futures play a relevant role among the derivative products traded in official markets. As opposed to most futures contracts, the underlying instrument is not represented by a traded asset but by a linear transformation of an interest rate, the Libor. The options written on...