"Leverage Effect" a Leverage Effect?
... balance sheet and the volatility of its stock. With traded stock options, another measure of expected volatility is available. The implied volatility (IV) derived from market option prices is commonly thought of as "the market's" volatility forecast. If so, one may see directly what impact investors ...
... balance sheet and the volatility of its stock. With traded stock options, another measure of expected volatility is available. The implied volatility (IV) derived from market option prices is commonly thought of as "the market's" volatility forecast. If so, one may see directly what impact investors ...
08 Managing Financial Risk
... pressure on the defaulters. In the case of Arvind Mills, ICICI has even taken possession of the company’s retail brands as security. Non-finance companies also encounter credit risk. Consider Sun Microsystems, one of the trendsetters in the IT industry and a leading manufacturer of high end servers. ...
... pressure on the defaulters. In the case of Arvind Mills, ICICI has even taken possession of the company’s retail brands as security. Non-finance companies also encounter credit risk. Consider Sun Microsystems, one of the trendsetters in the IT industry and a leading manufacturer of high end servers. ...
Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong
... amount of HKD1358 billion (approx. USD174 billion). The recent amount of CBBC issuance exceeds that of the exchange-traded derivative warrants (DWs). The market turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW t ...
... amount of HKD1358 billion (approx. USD174 billion). The recent amount of CBBC issuance exceeds that of the exchange-traded derivative warrants (DWs). The market turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW t ...
Risk and Return in Equity and Options Markets
... two markets within the context of a specific model, what we observe in the data rarely fits any single option pricing model with perfect precision. In fact, there seems to be little consensus on a single option pricing model with superior performance above all others. The broad purpose of this thesi ...
... two markets within the context of a specific model, what we observe in the data rarely fits any single option pricing model with perfect precision. In fact, there seems to be little consensus on a single option pricing model with superior performance above all others. The broad purpose of this thesi ...
More Than You Ever Wanted to Know About
... rates, volatilities appear to revert to the mean; high volatilities will eventually decrease, low ones will likely rise. Finally, volatility is often negatively correlated with stock or index level, and tends to stay high after large downward moves in the market. Given these tendencies, several uses ...
... rates, volatilities appear to revert to the mean; high volatilities will eventually decrease, low ones will likely rise. Finally, volatility is often negatively correlated with stock or index level, and tends to stay high after large downward moves in the market. Given these tendencies, several uses ...
Long term spread option valuation and hedging
... spot spreads in both the risk neutral and market measures. Third, we give the first latent multi-factor model of the spread term structure which is calibrated using standard state-space techniques, i.e. Kalman filtering. The paper is organized as follows. Section 2 gives a brief review of price cointe ...
... spot spreads in both the risk neutral and market measures. Third, we give the first latent multi-factor model of the spread term structure which is calibrated using standard state-space techniques, i.e. Kalman filtering. The paper is organized as follows. Section 2 gives a brief review of price cointe ...