In this paper we analyze the problem of determining standby underwriting fees within the framework of option-pricing theory. Financial institutions that provide standby underwriting for a stock placement bear the risk of having to buy unplaced stocks if the offered quantity is not completely...

According to the prescriptions of the Basle Committee on Banking Supervision, as from the end of 1997, or earlier if their supervisory authority so prescribes, banks will be required to measure and apply capital requirements in respect of their market risks in addition to their credit risks. The...

Some introductory remarks concerning the approach adopted in the paper are followed by a survey of the main derivatives available in the Italian market (BTP and Eurolira futures, options on BTP and Eurolira futures, interest rate swaps, etc.) and their risk features examined in a number of...

This note contains a survey of the financial literature on derivatives, starting from Bachelier's contribution to option pricing theory. After a brief analysis of forward, futures, options and repos (swaps have not been considered), we concentrated on options whose underlying assets are stocks...

The paper describes a method for valuing floating rate notes. A short introduction surveying the literature in this field and outlining the organization of the work is followed by a description of the features of floating rate Italian Treasury credit certificates (CCTs) and a breakdown of their...

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...

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,...