Exorbitant Privilege and Exorbitant Duty
... Table: Exorbitant Duty over Time. The table reports the results from an OLS regression of the U.S. net foreign asset position relative to GDP (nagdp) on the VIX index extended before 1986 with the volatility of the MSCI-ex US index. vagdp refers to the valuation component (relative to GDP) defined a ...
... Table: Exorbitant Duty over Time. The table reports the results from an OLS regression of the U.S. net foreign asset position relative to GDP (nagdp) on the VIX index extended before 1986 with the volatility of the MSCI-ex US index. vagdp refers to the valuation component (relative to GDP) defined a ...
Stock Market Valuation in a Dynamic Monopolistically
... If a firm's monopoly profits were independent of all other variables in the economy, our model would reduce to the Lucas asset pricing model. By letting general equilibrium determine these profits, our model also captures the feed-back from the aggregate economy onto the individual firm, one of the ...
... If a firm's monopoly profits were independent of all other variables in the economy, our model would reduce to the Lucas asset pricing model. By letting general equilibrium determine these profits, our model also captures the feed-back from the aggregate economy onto the individual firm, one of the ...
Long-term interest rates, GDP and inflation in Poland
... = Duration risk premium for holding a long-term bond yield: the compensation investors get for locking up their money for long stretches rather than constantly rolling it over Cannot be observed, has to be estimated Some approaches based solely on term structure models using bond yields at a range o ...
... = Duration risk premium for holding a long-term bond yield: the compensation investors get for locking up their money for long stretches rather than constantly rolling it over Cannot be observed, has to be estimated Some approaches based solely on term structure models using bond yields at a range o ...
Interest Rate Swaps
... respect of the transaction on an item by item basis. For example, margin equal to the difference in market value between a Government of Canada bond and Government of Canada Treasury bill is required in a case where the parties exchanged the cash flows resulting from this transaction. ...
... respect of the transaction on an item by item basis. For example, margin equal to the difference in market value between a Government of Canada bond and Government of Canada Treasury bill is required in a case where the parties exchanged the cash flows resulting from this transaction. ...
Margin and capital requirements for options, futures contracts and
... Margin Requirements on Interest Rate Related Derivatives ...
... Margin Requirements on Interest Rate Related Derivatives ...
Document
... 2. a. A stronger than expected employment news implies that the economy is speeding up. Hence sometime in future, the economic upturn (business cycle expansion) will result in a higher interest rate, as explained in Figure 7 of chapter 5 of the textbook. In other words, the markets expect that inter ...
... 2. a. A stronger than expected employment news implies that the economy is speeding up. Hence sometime in future, the economic upturn (business cycle expansion) will result in a higher interest rate, as explained in Figure 7 of chapter 5 of the textbook. In other words, the markets expect that inter ...
The benefits of growth with lower volatility
... of diversification between these two major asset classes. Typically, when equities have stumbled, bonds have rallied, as we saw in the first half of 2016. However, this has not always been the case. Should the relationship between equities and bonds change, these portfolios may lack diversification. ...
... of diversification between these two major asset classes. Typically, when equities have stumbled, bonds have rallied, as we saw in the first half of 2016. However, this has not always been the case. Should the relationship between equities and bonds change, these portfolios may lack diversification. ...
Financing Terms in the EOQ Model
... value model, is the cycle stock? In the traditional EOQ model, the cycle stock cost can actually be ‘seen.’ Each order cycle, units arrive and are drawn down. Consequently, we see the inventory value cycle in the same way. But in the present value model, where is the cycling? We have an increasing s ...
... value model, is the cycle stock? In the traditional EOQ model, the cycle stock cost can actually be ‘seen.’ Each order cycle, units arrive and are drawn down. Consequently, we see the inventory value cycle in the same way. But in the present value model, where is the cycling? We have an increasing s ...
Commodity markets (overview)
... the filter consists of a system of two equations, the "measurement equation" connecting the observable quantities (e.g., historical futures prices) to the state variables (say, spot price and convenience yield) and the "transition equation" governing the evolution of the state variables. The Kalman ...
... the filter consists of a system of two equations, the "measurement equation" connecting the observable quantities (e.g., historical futures prices) to the state variables (say, spot price and convenience yield) and the "transition equation" governing the evolution of the state variables. The Kalman ...
Heaps - WordPress.com
... The first is as a way of implementing a special kind of queue, called a priority queue. Recall that in an ordinary queue, elements are added at one end of the queue and removed from the other end, so that the elements are removed in the same order they are added (FIFO). In a priority queue, each ele ...
... The first is as a way of implementing a special kind of queue, called a priority queue. Recall that in an ordinary queue, elements are added at one end of the queue and removed from the other end, so that the elements are removed in the same order they are added (FIFO). In a priority queue, each ele ...
Governance, Transparency and Good Portfolio Management
... Integrated system that allows user to follow specific process steps: 1. Specify a clear investment process (i.e., who makes what decisions at what level of the fund) = GOVERNANCE 2. Understand all the risks taken by the fund = GOVERNANCE 3. Model decisions in a TRANSPARENT way (i.e., simple so that ...
... Integrated system that allows user to follow specific process steps: 1. Specify a clear investment process (i.e., who makes what decisions at what level of the fund) = GOVERNANCE 2. Understand all the risks taken by the fund = GOVERNANCE 3. Model decisions in a TRANSPARENT way (i.e., simple so that ...
May in perspective – global markets May proved to be another
... latest growth data. We would not be surprized if the SA economy is already be in a recession technically, although hopefully it will not last too long. The US economy: Data emanating out of the US was generally mixed with a stronger tone. However, the initial estimate of Q1 growth of 0.1%, which ...
... latest growth data. We would not be surprized if the SA economy is already be in a recession technically, although hopefully it will not last too long. The US economy: Data emanating out of the US was generally mixed with a stronger tone. However, the initial estimate of Q1 growth of 0.1%, which ...
Tree Introduction
... • A node that points to (one or more) other nodes is the parent of those nodes while the nodes pointed to are the children • Every node (except the root) has exactly one parent • Nodes with no children are leaf nodes • Nodes with children are interior nodes ...
... • A node that points to (one or more) other nodes is the parent of those nodes while the nodes pointed to are the children • Every node (except the root) has exactly one parent • Nodes with no children are leaf nodes • Nodes with children are interior nodes ...
the discussion note
... might, for example, be the sum of the next i i i period’s dividend and price: x t+1 = d t+1 + p t+1. In a world where the discount factor for asset i does not vary over time, the pricing formula can be expressed via the standard present value formula, pti = Et (x t+1) / Ri , where Ri represents a co ...
... might, for example, be the sum of the next i i i period’s dividend and price: x t+1 = d t+1 + p t+1. In a world where the discount factor for asset i does not vary over time, the pricing formula can be expressed via the standard present value formula, pti = Et (x t+1) / Ri , where Ri represents a co ...
Binary Search Trees
... Inorder, preorder, and postorder The binary-search-tree property allows us to print out all the keys in a binary search tree in sorted order by a simple recursive algorithm, called an inorder tree walk. This algorithm is so named because the key of the root of a subtree is printed between the val ...
... Inorder, preorder, and postorder The binary-search-tree property allows us to print out all the keys in a binary search tree in sorted order by a simple recursive algorithm, called an inorder tree walk. This algorithm is so named because the key of the root of a subtree is printed between the val ...
The information content of interest rate futures options
... had a combined trading volume of 27,939 and a combined open interest of 748,664. The numbers for the eurocanada futures contract pale in comparison; on 14 January 1999 the March 99 futures contract had zero trading volume and an open interest of only 190. Statistics from the ME reveal that the BAX ...
... had a combined trading volume of 27,939 and a combined open interest of 748,664. The numbers for the eurocanada futures contract pale in comparison; on 14 January 1999 the March 99 futures contract had zero trading volume and an open interest of only 190. Statistics from the ME reveal that the BAX ...
The information content of interest rate futures options
... had a combined trading volume of 27,939 and a combined open interest of 748,664. The numbers for the eurocanada futures contract pale in comparison; on 14 January 1999 the March 99 futures contract had zero trading volume and an open interest of only 190. Statistics from the ME reveal that the BAX ...
... had a combined trading volume of 27,939 and a combined open interest of 748,664. The numbers for the eurocanada futures contract pale in comparison; on 14 January 1999 the March 99 futures contract had zero trading volume and an open interest of only 190. Statistics from the ME reveal that the BAX ...
Lattice model (finance)
For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.