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
... 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 ...
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 ...
... 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 ...
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 ...
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
... 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 ...
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 ...
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
... 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, ...
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.