What is Arbitrage? - Palladium Capital Advisors
... seniority will be affected by differences in maturities or coupons. These price differentials will be eliminated on a reorganization or bankruptcy, providing opportunities to capture the spread between them. ...
... seniority will be affected by differences in maturities or coupons. These price differentials will be eliminated on a reorganization or bankruptcy, providing opportunities to capture the spread between them. ...
Lecture notes (part 1)
... Let’s replace our betting game by a more realistic situation. This will require us to define some terminology. Our convention, for the whole of the course, is that when we introduce a new piece of financial terminology we’ll write it in bold. A market is any setting where it is possible to buy and s ...
... Let’s replace our betting game by a more realistic situation. This will require us to define some terminology. Our convention, for the whole of the course, is that when we introduce a new piece of financial terminology we’ll write it in bold. A market is any setting where it is possible to buy and s ...
Forecasting Volatility: Evidence From The Swiss Stock Market
... risk of financial assets.1 Therefore, volatility is a key element in the decision making process of investors and traders as well as input to a wide range of financial models.2 One such model is option pricing introduced by Black and Scholes (1973). It provides an easy way to calculate the price of ...
... risk of financial assets.1 Therefore, volatility is a key element in the decision making process of investors and traders as well as input to a wide range of financial models.2 One such model is option pricing introduced by Black and Scholes (1973). It provides an easy way to calculate the price of ...
Does Global Fear Predict Fear in BRICS Stock Markets?
... Aloui et al. (2011) show that the stock markets of Brazil and Russia are more dependent on the US stock market conditions than China and India. Similar results are reported by Bianconi et al. (2013). Dimitriou et al. (2013) use the multivariate fractionally integrated asymmetric power ARCH dynamic ...
... Aloui et al. (2011) show that the stock markets of Brazil and Russia are more dependent on the US stock market conditions than China and India. Similar results are reported by Bianconi et al. (2013). Dimitriou et al. (2013) use the multivariate fractionally integrated asymmetric power ARCH dynamic ...
The Tax Treatment of Contingent Options
... [a]t the time the payments were made it was impossible to determine whether they were taxable or not. In the event the sale should be completed, the payments became return of capital, taxable only if a profit should be realized on the sale. Should the option be surrendered it would then become certa ...
... [a]t the time the payments were made it was impossible to determine whether they were taxable or not. In the event the sale should be completed, the payments became return of capital, taxable only if a profit should be realized on the sale. Should the option be surrendered it would then become certa ...
Dynamic Portfolio Execution - Jacobs Levy Center
... Extending the analysis to portfolios with heterogeneous liquidity across assets (e.g., portfolios composed of small-cap and large-cap stocks, ETFs and underlying basket securities, stocks and OTM options, etc.), we find that the presence of illiquid assets in the portfolio drastically affects the op ...
... Extending the analysis to portfolios with heterogeneous liquidity across assets (e.g., portfolios composed of small-cap and large-cap stocks, ETFs and underlying basket securities, stocks and OTM options, etc.), we find that the presence of illiquid assets in the portfolio drastically affects the op ...
Good news-Bad news: Information revelation
... In this respect our research fits with the argument that a possible account for financial anomalies can be the existence of un-modeled risk factors (such as ambiguity) that can be interpreted as an additional factor regarding the evaluation of risk. We use Ellsberg’s procedure to introduce ambiguity ...
... In this respect our research fits with the argument that a possible account for financial anomalies can be the existence of un-modeled risk factors (such as ambiguity) that can be interpreted as an additional factor regarding the evaluation of risk. We use Ellsberg’s procedure to introduce ambiguity ...
Systematic Mortality Risk
... as well as their interactions. We use risk measures and the profit and loss (P&L) distribution in order to identify, assess and partially mitigate financial and demographic risks, for the GLWB guarantee. P&L analysis has proven to be useful in assessing systematic mortality risk in pension annuities ...
... as well as their interactions. We use risk measures and the profit and loss (P&L) distribution in order to identify, assess and partially mitigate financial and demographic risks, for the GLWB guarantee. P&L analysis has proven to be useful in assessing systematic mortality risk in pension annuities ...
ISE Option Traders Statistics with Applications to Options
... Alan Tucker was the Founding Editor of the Journal of Financial Engineering and is currently on the editorial boards of the Journal of Derivatives and Global Finance Journal. He is the author of three textbooks and numerous articles appearing in such journals as the Journal of Finance, Review of Eco ...
... Alan Tucker was the Founding Editor of the Journal of Financial Engineering and is currently on the editorial boards of the Journal of Derivatives and Global Finance Journal. He is the author of three textbooks and numerous articles appearing in such journals as the Journal of Finance, Review of Eco ...
Option Trading: Information or Differences of
... for differences of opinion, the proxies are stock return volatility (Shalen, 1993), dispersion of earnings forecasts (Diether, Malloy and Scherbina, 2002), sidedness (Sarkar and Schwartz, 2009) and the number of analysts following the firm. Small firms, higher PIN and wider spreads are expected to be ...
... for differences of opinion, the proxies are stock return volatility (Shalen, 1993), dispersion of earnings forecasts (Diether, Malloy and Scherbina, 2002), sidedness (Sarkar and Schwartz, 2009) and the number of analysts following the firm. Small firms, higher PIN and wider spreads are expected to be ...
A Model of Intertemporal Asset Prices Under Asymmetric
... key assumption that leads to their result is that some investors have finite investment horizons. The current model assumes an infinite horizon for all investors. It is shown that the unconditional expected excess returns on the stocks only depend on the risk in the stocks' future cash flows (the st ...
... key assumption that leads to their result is that some investors have finite investment horizons. The current model assumes an infinite horizon for all investors. It is shown that the unconditional expected excess returns on the stocks only depend on the risk in the stocks' future cash flows (the st ...
Contingent-Claim-Based Expected Stock Returns
... results in the closed-form solution for the time-varying stock-cash flow sensitivity. We therefore first estimate the two policy parameters and back out the latent risk-neutral rate and volatility and then use them to calculate the time based on a closed-form solution from our parsimonious model. Ou ...
... results in the closed-form solution for the time-varying stock-cash flow sensitivity. We therefore first estimate the two policy parameters and back out the latent risk-neutral rate and volatility and then use them to calculate the time based on a closed-form solution from our parsimonious model. Ou ...