Asset Liquidity and Stock Liquidity

... Using this approach we come up with 4 alternative measures of asset liquidity that vary based on the liquidity scores assigned to the different assets. In our 1st set of tests we estimate the time-series and cross-sectional relation between asset liquidity and stock liquidity. These tests help us un ...

... Using this approach we come up with 4 alternative measures of asset liquidity that vary based on the liquidity scores assigned to the different assets. In our 1st set of tests we estimate the time-series and cross-sectional relation between asset liquidity and stock liquidity. These tests help us un ...

Gain/loss Asymmetry and the Leverage Effect

... another point of view and asked an inverse question: ‘For a given velocity difference between two fluid molecules, what is the typical, averaged, distance where such a velocity difference is obtained for the first time?’ [28]. Performing this analysis leads to so-called inverse structure functions, ...

... another point of view and asked an inverse question: ‘For a given velocity difference between two fluid molecules, what is the typical, averaged, distance where such a velocity difference is obtained for the first time?’ [28]. Performing this analysis leads to so-called inverse structure functions, ...

JOHN C.HULL

... It is sometimes hard for me to believe that the first edition of this book was only 330 pages and 13 chapters long! There have been many developments in derivatives markets over the last 15 years and the book has grown to keep up with them. The fifth edition has seven new chapters that cover new der ...

... It is sometimes hard for me to believe that the first edition of this book was only 330 pages and 13 chapters long! There have been many developments in derivatives markets over the last 15 years and the book has grown to keep up with them. The fifth edition has seven new chapters that cover new der ...

How Does A Firm`s Default Risk Affect Its Expected Equity Return?

... default risk due to changes in expected profitability and the debt level are always positively related to changes in the expected equity return. Second, if asset volatility varies, then changes in default risk due to varying asset volatility are also always positively related to changes in the expec ...

... default risk due to changes in expected profitability and the debt level are always positively related to changes in the expected equity return. Second, if asset volatility varies, then changes in default risk due to varying asset volatility are also always positively related to changes in the expec ...

Lévy Processes in Finance: Theory, Numerics, and Empirical Facts

... law, which states that humans perceive the intensity of stimuli on a log scale rather than a linear scale. In a more systematic manner, the same process exp(Bt ), which is called exponential—or geometric— Brownian motion, was introduced as a stock price model by Samuelson (1965). One of the first to ...

... law, which states that humans perceive the intensity of stimuli on a log scale rather than a linear scale. In a more systematic manner, the same process exp(Bt ), which is called exponential—or geometric— Brownian motion, was introduced as a stock price model by Samuelson (1965). One of the first to ...

Volatility Markets Consistent modeling, hedging and practical

... Conceptually quite different from this fitting approach are stochastic volatility models. In these models, a parsimonious description of the dynamics of both the stock price and its instantaneous variance is the starting point. Such a model is based on “structural” assumptions on the underlying stoc ...

... Conceptually quite different from this fitting approach are stochastic volatility models. In these models, a parsimonious description of the dynamics of both the stock price and its instantaneous variance is the starting point. Such a model is based on “structural” assumptions on the underlying stoc ...

Dedicated Short Bias Hedge Funds

... the markets fall in value, the perfect vehicle to capitalize on the market conditions of 2007 and 2008. Some critics may argue that DSB hedge funds strong performance during the financial crisis was just a product of the times. A period when all forces conspired to provide DSB funds with ideal condi ...

... the markets fall in value, the perfect vehicle to capitalize on the market conditions of 2007 and 2008. Some critics may argue that DSB hedge funds strong performance during the financial crisis was just a product of the times. A period when all forces conspired to provide DSB funds with ideal condi ...

Index Derivatives Reference Manual

... 3. What is a Futures Contract and How Does it Work? A futures contract is an exchange-traded contract that is used for both hedging (risk management) and directional trading (income generation). The buyer of a futures contract establishes a long position; the seller establishes a short position. Su ...

... 3. What is a Futures Contract and How Does it Work? A futures contract is an exchange-traded contract that is used for both hedging (risk management) and directional trading (income generation). The buyer of a futures contract establishes a long position; the seller establishes a short position. Su ...

exam133

... 11. (03 Points) Suppose a company enters into an interest rate swap as a cash flow hedge of variable interest rate debt. Present value of each swap settlement is computed according to which of the following answers assuming an upward sloping yield curve? a. Use a constant discount rate computed as ...

... 11. (03 Points) Suppose a company enters into an interest rate swap as a cash flow hedge of variable interest rate debt. Present value of each swap settlement is computed according to which of the following answers assuming an upward sloping yield curve? a. Use a constant discount rate computed as ...

Interest Rate Derivatives – Fixed Income Trading Strategies

... of the fixed income derivatives traded on Eurex. You will be asked a variety of questions based on the brochure “Interest Rate Derivatives – Fixed Income Trading Strategies”. The answers should familiarize you with this particular market segment and enhance your understanding of the contracts traded ...

... of the fixed income derivatives traded on Eurex. You will be asked a variety of questions based on the brochure “Interest Rate Derivatives – Fixed Income Trading Strategies”. The answers should familiarize you with this particular market segment and enhance your understanding of the contracts traded ...

Downside Risk Neutral Probabilities

... relative marginal utility of wealth in this state. Another (equivalent) approach is to adjust the probabilities of states of the world in such a way that the asset price is simply equal to the discounted expected payoff of the asset under the risk neutral measure. Thus, “risk neutral probabilities” ...

... relative marginal utility of wealth in this state. Another (equivalent) approach is to adjust the probabilities of states of the world in such a way that the asset price is simply equal to the discounted expected payoff of the asset under the risk neutral measure. Thus, “risk neutral probabilities” ...