Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong
... A bull contract is similar to a call warrant with underlying stock price S, maturity date T, strike price X and barrier H, where S > H ≥ X. If the contract is not called back before time T, it matures with a payoff of ST – X. ...
... A bull contract is similar to a call warrant with underlying stock price S, maturity date T, strike price X and barrier H, where S > H ≥ X. If the contract is not called back before time T, it matures with a payoff of ST – X. ...
Chapter XV (pdf format)
... Eurodeposits. The most popular instrument in this market is the certificate of deposit (CD), which is a negotiable and often bearer instrument. We also mentioned that for long-term CDs (up to ten years), there is the possibility of selecting a CD with floating-rate coupons. For CDs with floating-rat ...
... Eurodeposits. The most popular instrument in this market is the certificate of deposit (CD), which is a negotiable and often bearer instrument. We also mentioned that for long-term CDs (up to ten years), there is the possibility of selecting a CD with floating-rate coupons. For CDs with floating-rat ...
Risk and Risk Aversion
... In this margin transaction, the amount of your own money relative to the total position is called the percentage margin. The current legal limit on initial margin is 50%. At least 50% of the total position must be your own (unborrowed) money. There is also something called the maintenance margin, wh ...
... In this margin transaction, the amount of your own money relative to the total position is called the percentage margin. The current legal limit on initial margin is 50%. At least 50% of the total position must be your own (unborrowed) money. There is also something called the maintenance margin, wh ...
paper - Kellogg School of Management
... Fourier series and ordinary differential equations. The double-jump model presumes rare jumps, e.g., compound Poisson process, for both asset prices and their variances. It has been applied empirically by Broadie et al. (2007), Chernov et al. (2003), Eraker et al. (2003), Eraker (2004) among others ...
... Fourier series and ordinary differential equations. The double-jump model presumes rare jumps, e.g., compound Poisson process, for both asset prices and their variances. It has been applied empirically by Broadie et al. (2007), Chernov et al. (2003), Eraker et al. (2003), Eraker (2004) among others ...
Managerial incentives to take asset risk
... Volatility Vega and total Asset Delta. Similarly, the Equity Incentive Ratio is the ratio of total Equity Volatility Vega and total Equity Delta. This basic analysis yields four results. First, the Asset Incentive Ratio suggests significant asset risk-taking incentives even when a CEO is compensated ...
... Volatility Vega and total Asset Delta. Similarly, the Equity Incentive Ratio is the ratio of total Equity Volatility Vega and total Equity Delta. This basic analysis yields four results. First, the Asset Incentive Ratio suggests significant asset risk-taking incentives even when a CEO is compensated ...
PDF
... and wheat futures, and concludes that the seasonal components for all three commodities peak about two to three months before the beginning of harvest. For the literature on how fundamentals affect volatility, it has been established that volatility is time-varying (Koekebakker and Lien 2004), high ...
... and wheat futures, and concludes that the seasonal components for all three commodities peak about two to three months before the beginning of harvest. For the literature on how fundamentals affect volatility, it has been established that volatility is time-varying (Koekebakker and Lien 2004), high ...
Introduction - Drake University
... Operational Advantages – generally derivative markets have lower transaction costs and greater liquidity compared to the spot market. Additionally they allow easier short sales helping to “complete” the market. Market Efficiency - Spot market prices are sometimes not consistent with assets true econ ...
... Operational Advantages – generally derivative markets have lower transaction costs and greater liquidity compared to the spot market. Additionally they allow easier short sales helping to “complete” the market. Market Efficiency - Spot market prices are sometimes not consistent with assets true econ ...
Chapter 13 Answers
... Even though we are solving for the and expected return of a portfolio of one stock and the risk-free asset for different portfolio weights, we are really solving for the SML. Any combination of this stock, and the risk-free asset will fall on the SML. For that matter, a portfolio of any stock and ...
... Even though we are solving for the and expected return of a portfolio of one stock and the risk-free asset for different portfolio weights, we are really solving for the SML. Any combination of this stock, and the risk-free asset will fall on the SML. For that matter, a portfolio of any stock and ...
Option Spread and Combination Trading
... options markets are the most heavily traded short-term interest rate futures and options markets respectively in the world. Like some other executing brokers, Bear Brokerage regularly stations an observer at the periphery of the Eurodollar option and futures pits with instructions to record all opt ...
... options markets are the most heavily traded short-term interest rate futures and options markets respectively in the world. Like some other executing brokers, Bear Brokerage regularly stations an observer at the periphery of the Eurodollar option and futures pits with instructions to record all opt ...
"Leverage Effect" a Leverage Effect?
... leverage seems to die out over a few months; and there is no apparent effect on volatility when leverage changes because of a change in outstanding debt or shares, only when stock prices change. In short, our evidence suggests that the "leverage effect" is really a "down market effect" that may have ...
... leverage seems to die out over a few months; and there is no apparent effect on volatility when leverage changes because of a change in outstanding debt or shares, only when stock prices change. In short, our evidence suggests that the "leverage effect" is really a "down market effect" that may have ...
The Equilibrium Term Structure of Equity and Interest Rates
... growth process in an otherwise standard long-run risks model à la Bansal and Yaron (2004) to generate the downward sloping term structure of equity risk premia. However, unlike Belo et al. (2015), we generate an upward-sloping term structure of (real and nominal) bond risk premia at the same time. ...
... growth process in an otherwise standard long-run risks model à la Bansal and Yaron (2004) to generate the downward sloping term structure of equity risk premia. However, unlike Belo et al. (2015), we generate an upward-sloping term structure of (real and nominal) bond risk premia at the same time. ...
Chapter 2: More on the `Bad News Principle`
... Suppose that the current profit is Pi. The standard N.P.V. rule tells us that the policy “enter now” is better than the policy “never enter” if V(Pi)-I>0. However, other policies are possible too, including the policy “enter when the profit is Pi+1 or above it”. The value of this policy when the cur ...
... Suppose that the current profit is Pi. The standard N.P.V. rule tells us that the policy “enter now” is better than the policy “never enter” if V(Pi)-I>0. However, other policies are possible too, including the policy “enter when the profit is Pi+1 or above it”. The value of this policy when the cur ...
