Managed Futures: Portfolio Diversification Opportunities
... As the world’s leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign ...
... As the world’s leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign ...
219.3 million 0.1875% convertible bonds due 15
... existing and/or new Ordinary Shares of the Issuer. In case of bankruptcy or default of payment of the Issuer, the risk exists that the investors do not recover amounts due to them and that they suffer a total or partial loss of their investment. The Convertible Bonds are meant to investors who are a ...
... existing and/or new Ordinary Shares of the Issuer. In case of bankruptcy or default of payment of the Issuer, the risk exists that the investors do not recover amounts due to them and that they suffer a total or partial loss of their investment. The Convertible Bonds are meant to investors who are a ...
Transaction Costs, Trade Throughs, and Riskless Principal Trading
... elsewhere. Such trades may be risky to the dealer if the dealer is committing capital (trading for its inventory account). But most dealers immediately offset these trades by taking the better price offered elsewhere because doing so guarantees that they profit with little risk. For example, if the ...
... elsewhere. Such trades may be risky to the dealer if the dealer is committing capital (trading for its inventory account). But most dealers immediately offset these trades by taking the better price offered elsewhere because doing so guarantees that they profit with little risk. For example, if the ...
VANDEMOORTELE NV public limited liability company (naamloze
... These Bonds constitute debt instruments. An investment in the Bonds involves risks. By subscribing to the Bonds, investors lend money to the Issuer who undertakes to pay interest on an annual basis and to reimburse the principal on the maturity date. In case of bankruptcy or default by the Issuer, h ...
... These Bonds constitute debt instruments. An investment in the Bonds involves risks. By subscribing to the Bonds, investors lend money to the Issuer who undertakes to pay interest on an annual basis and to reimburse the principal on the maturity date. In case of bankruptcy or default by the Issuer, h ...
Download Dissertation
... The prevalence of non-zero bases and the rejection of cointegration between CDS premiums and bond yield spreads do not, in and of themselves, indicate a different price for credit risk. Pricing model shows that deeply discounted bond prices account for positive bases. The basis does remain, however, ...
... The prevalence of non-zero bases and the rejection of cointegration between CDS premiums and bond yield spreads do not, in and of themselves, indicate a different price for credit risk. Pricing model shows that deeply discounted bond prices account for positive bases. The basis does remain, however, ...
Do Noise Traders Move Markets?
... We study the trading behavior of individual investors using the Trade and Quotes (TAQ) and Institute for the Study of Security Markets (ISSM) transaction data over the period 1983 to 2001. We document four results: (1) Order imbalance based on buyer- and sellerinitiated small trades from the TAQ/ISS ...
... We study the trading behavior of individual investors using the Trade and Quotes (TAQ) and Institute for the Study of Security Markets (ISSM) transaction data over the period 1983 to 2001. We document four results: (1) Order imbalance based on buyer- and sellerinitiated small trades from the TAQ/ISS ...
Option Spread and Combination Trading
... determinants of option prices and reduced sensitivity to others, option spreads and combinations, such as straddles, strangles, bull and bear spreads, and butterflies enable traders to exploit expected changes in either the price of the underlying asset, its volatility, and/or the time to expiration ...
... determinants of option prices and reduced sensitivity to others, option spreads and combinations, such as straddles, strangles, bull and bear spreads, and butterflies enable traders to exploit expected changes in either the price of the underlying asset, its volatility, and/or the time to expiration ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... stochastic volatility, and jumps. The generality of our model also makes it applicable to other markets. Consistent with our model’s predictions, Wurgler and Zhuravskaya (2002) find that stocks that are hard to hedge experience larger price jumps when included into the S&P 500 index. Greenwood (200 ...
... stochastic volatility, and jumps. The generality of our model also makes it applicable to other markets. Consistent with our model’s predictions, Wurgler and Zhuravskaya (2002) find that stocks that are hard to hedge experience larger price jumps when included into the S&P 500 index. Greenwood (200 ...
volatility as an asset class
... The three main concepts of investing into volatility that we discussed are 1. To take a directional view on volatility in the short to medium term; 2. Volatility arbitrage to profit from the risk premium between implied and realised volatilities and 3. A portfolio mix of volatility and other asset c ...
... The three main concepts of investing into volatility that we discussed are 1. To take a directional view on volatility in the short to medium term; 2. Volatility arbitrage to profit from the risk premium between implied and realised volatilities and 3. A portfolio mix of volatility and other asset c ...
I Should We Fear Derivatives? Rene´ M. Stulz
... to pay on the swap depended on the five-year Treasury note yield and the price of the 30-year Treasury bond. Another example of an exotic derivative is a binary option, which pays a fixed amount if some condition is met. For instance, a binary option might pay $10 million if before a given future da ...
... to pay on the swap depended on the five-year Treasury note yield and the price of the 30-year Treasury bond. Another example of an exotic derivative is a binary option, which pays a fixed amount if some condition is met. For instance, a binary option might pay $10 million if before a given future da ...
NBER WORKING PAPER SERIES SHOULD WE FEAR DERIVATIVES? Rene M. Stulz
... on the five-year Treasury note yield and the price of the 30-year Treasury bond. Another example of an exotic derivative is a binary option, which pays a fixed amount if some condition is met. For instance, a binary option might pay $10 million if before a given future date one of the three largest ...
... on the five-year Treasury note yield and the price of the 30-year Treasury bond. Another example of an exotic derivative is a binary option, which pays a fixed amount if some condition is met. For instance, a binary option might pay $10 million if before a given future date one of the three largest ...
Demand-Based Option Pricing
... other option by an amount proportional to the covariance of their unhedgeable parts. Hence, while demand pressure in a particular option raises its price, it also raises the prices of other options on the same underlying. Our main theoretical results relating option-price effects to the variance or ...
... other option by an amount proportional to the covariance of their unhedgeable parts. Hence, while demand pressure in a particular option raises its price, it also raises the prices of other options on the same underlying. Our main theoretical results relating option-price effects to the variance or ...
strAtegIc FINANcIAL MANAgeMeNt (sFM)
... financial analysis of long-term investment decisions basically involves estimating cost of the asset / project and benefits receivable thereon over the economic life of the asset or project for which investments are made. Estimating cost is relatively easier as it is made in the current period, but ...
... financial analysis of long-term investment decisions basically involves estimating cost of the asset / project and benefits receivable thereon over the economic life of the asset or project for which investments are made. Estimating cost is relatively easier as it is made in the current period, but ...
Takeovers, Freezeouts, and Risk Arbitrage
... More than 90 percent of all tender o¤ers in the U.S. and the U.K. are any-or-all o¤ers immediately followed by a second-step freezeout merger in which the acquiror ends up with full ownership of the target. In a freezeout merger, untendered shares are compulsorily acquired at the tender o¤er price, ...
... More than 90 percent of all tender o¤ers in the U.S. and the U.K. are any-or-all o¤ers immediately followed by a second-step freezeout merger in which the acquiror ends up with full ownership of the target. In a freezeout merger, untendered shares are compulsorily acquired at the tender o¤er price, ...