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Time Consistent Multi-period Robust Risk Measures and
Time Consistent Multi-period Robust Risk Measures and

The pricing of volatility risk across asset classes
The pricing of volatility risk across asset classes

dollar cost averaging - the role of cognitive error
dollar cost averaging - the role of cognitive error

Causes and Consequences of Margin Levels in Futures Markets
Causes and Consequences of Margin Levels in Futures Markets

Managed Futures: Portfolio Diversification Opportunities
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 ...
219.3 million 0.1875% convertible bonds due 15
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 ...
Transaction Costs, Trade Throughs, and Riskless Principal Trading
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 ...
VANDEMOORTELE NV public limited liability company (naamloze
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 ...
On the history of the Growth Optimal Portfolio
On the history of the Growth Optimal Portfolio

(2007), Paul Wilmott Introduces Quantitative
(2007), Paul Wilmott Introduces Quantitative

... Equities can go down as well as up ...
Download Dissertation
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, ...
Zvi Wiener slide 1
Zvi Wiener slide 1

The Impact of Leverage on Hedge Fund Performance
The Impact of Leverage on Hedge Fund Performance

Do Noise Traders Move Markets?
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 ...
Option Spread and Combination Trading
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 ...
Basic Financial Derivatives - Sanjeev Institute of Planning and
Basic Financial Derivatives - Sanjeev Institute of Planning and

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... 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
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 ...
I Should We Fear Derivatives? Rene´ M. Stulz
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 ...
PRINCIPLES OF FINANCIAL ENGINEERING
PRINCIPLES OF FINANCIAL ENGINEERING

NBER WORKING PAPER SERIES SHOULD WE FEAR DERIVATIVES? Rene M. Stulz
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 ...
Demand-Based Option Pricing
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 ...
The Choice between Non-Callable and Callable Bonds
The Choice between Non-Callable and Callable Bonds

strAtegIc FINANcIAL MANAgeMeNt (sFM)
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 ...
Takeovers, Freezeouts, and Risk Arbitrage
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, ...
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Arbitrage

In economics and finance, arbitrage (US /ˈɑrbɨtrɑːʒ/, UK /ˈɑrbɨtrɪdʒ/, UK /ˌɑrbɨtrˈɑːʒ/) is the practice of taking advantage of a price difference between two or more markets: striking a combination of matching deals that capitalize upon the imbalance, the profit being the difference between the market prices. When used by academics, an arbitrage is a transaction that involves no negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state; in simple terms, it is the possibility of a risk-free profit after transaction costs. For instance, an arbitrage is present when there is the opportunity to instantaneously buy low and sell high.In principle and in academic use, an arbitrage is risk-free; in common use, as in statistical arbitrage, it may refer to expected profit, though losses may occur, and in practice, there are always risks in arbitrage, some minor (such as fluctuation of prices decreasing profit margins), some major (such as devaluation of a currency or derivative). In academic use, an arbitrage involves taking advantage of differences in price of a single asset or identical cash-flows; in common use, it is also used to refer to differences between similar assets (relative value or convergence trades), as in merger arbitrage.People who engage in arbitrage are called arbitrageurs /ˌɑrbɨtrɑːˈʒɜr/—such as a bank or brokerage firm. The term is mainly applied to trading in financial instruments, such as bonds, stocks, derivatives, commodities and currencies.
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