The properties of interest rate swaps
... The LIBOR curve is constructed from a number of different instruments, namely swaps, FRAs, futures and deposits. For the time points of which we have market data for liquid instruments, the prices will be exactly reconstructed. We then get a curve, by interpolating between these time points, which w ...
... The LIBOR curve is constructed from a number of different instruments, namely swaps, FRAs, futures and deposits. For the time points of which we have market data for liquid instruments, the prices will be exactly reconstructed. We then get a curve, by interpolating between these time points, which w ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... in zero net supply, a representative investor holds no options. We reconcile this finding for dealers who have significant short index option positions. Intuitively, an investor will short index options, but only a finite number of options. Hence, while a standardutility investor may not be marginal ...
... in zero net supply, a representative investor holds no options. We reconcile this finding for dealers who have significant short index option positions. Intuitively, an investor will short index options, but only a finite number of options. Hence, while a standardutility investor may not be marginal ...
ASIC Market Integrity Rules - Federal Register of Legislation
... (1) Subject to Rule 1.2.3, ASIC may relieve any person or class of persons from the obligation to comply with a provision of these Rules, either generally or in a particular case or category, and either unconditionally or subject to such conditions as ASIC thinks fit. (2) If any conditions on a waiv ...
... (1) Subject to Rule 1.2.3, ASIC may relieve any person or class of persons from the obligation to comply with a provision of these Rules, either generally or in a particular case or category, and either unconditionally or subject to such conditions as ASIC thinks fit. (2) If any conditions on a waiv ...
Does high-frequency trading improve market quality?
... orders, and thus encourages their market order placements. It increases the execution opportunity of a limit order for non-HF traders, and thus contributes to their placements of limit orders with higher frequency. However, it also increases the chances for non-HF traders to be picked off by HF trad ...
... orders, and thus encourages their market order placements. It increases the execution opportunity of a limit order for non-HF traders, and thus contributes to their placements of limit orders with higher frequency. However, it also increases the chances for non-HF traders to be picked off by HF trad ...
Eighths, sixteenths, and market depth: changes in tick
... As Lee et al. (1993) note, any study of liquidity provision must examine the changes in both prices and depths. Moreover, Harris (1994) notes that to address properly whether or not liquidity has been enhanced or hampered requires an investigation into how the depth throughout the limit order book h ...
... As Lee et al. (1993) note, any study of liquidity provision must examine the changes in both prices and depths. Moreover, Harris (1994) notes that to address properly whether or not liquidity has been enhanced or hampered requires an investigation into how the depth throughout the limit order book h ...
A new approach for option pricing under stochastic volatility
... the risk-neutral process for instantaneous variance is a diffusion. Assuming that a money market account acts as numeraire, the coefficients of this risk-neutral diffusion process are independent of the variance swap maturity. In order to determine whether our approach can be rendered consistent wit ...
... the risk-neutral process for instantaneous variance is a diffusion. Assuming that a money market account acts as numeraire, the coefficients of this risk-neutral diffusion process are independent of the variance swap maturity. In order to determine whether our approach can be rendered consistent wit ...
View/Open
... higher prices.3 Pool revenues were then distributed such that all producers received the same final price per unit regardless of when and to whom their grain was sold. With the pool, producers received an initial payment when deliveries were made to the grain handling facility and additional payment ...
... higher prices.3 Pool revenues were then distributed such that all producers received the same final price per unit regardless of when and to whom their grain was sold. With the pool, producers received an initial payment when deliveries were made to the grain handling facility and additional payment ...
Good news-Bad news: Information revelation
... market where public information is sequentially released to traders. Our experimental design allows us to study how individual traders react to news in a context in which they receive information regarding dividend realizations. In our experiments, either the underlying process that generates divide ...
... market where public information is sequentially released to traders. Our experimental design allows us to study how individual traders react to news in a context in which they receive information regarding dividend realizations. In our experiments, either the underlying process that generates divide ...
Evidence about Bubble Mechanisms: Precipitating Event
... The Chinese put warrants bubble occurred on the Shanghai and Shenzhen stock exchanges during 2005–2008. Between November 2005 and June 2007 18 Chinese companies issued put warrants with maturities of between six months and two years.2 These warrants gave their holders the right to sell the issuing c ...
... The Chinese put warrants bubble occurred on the Shanghai and Shenzhen stock exchanges during 2005–2008. Between November 2005 and June 2007 18 Chinese companies issued put warrants with maturities of between six months and two years.2 These warrants gave their holders the right to sell the issuing c ...
Volatility Derivatives
... volatility swaps. As its name suggests, a volatility swap payoff is linear in realized volatility. Practitioners preferred thinking in terms of volatility, familiar from the notion of implied volatility, rather than variance, and this created a demand for volatility swaps. For example, an article in ...
... volatility swaps. As its name suggests, a volatility swap payoff is linear in realized volatility. Practitioners preferred thinking in terms of volatility, familiar from the notion of implied volatility, rather than variance, and this created a demand for volatility swaps. For example, an article in ...
Pricing and Hedging of swing options in the European electricity and
... Due to the underlying supply and demand structure of natural gas and electricity consumer and producers are faced with volumetric risk in their undertakings. The stochastic nature of the demand structure in both natural gas and electricity means that agents want to have optionality in their volumes. ...
... Due to the underlying supply and demand structure of natural gas and electricity consumer and producers are faced with volumetric risk in their undertakings. The stochastic nature of the demand structure in both natural gas and electricity means that agents want to have optionality in their volumes. ...
Document
... nonlinear relationship between the price of the option and the underlying security. Delta changes as the value of the underlying security changes. This change is measure by the gamma of the option. Gamma can be used to adjust the delta to better approximate the change in the option price. ...
... nonlinear relationship between the price of the option and the underlying security. Delta changes as the value of the underlying security changes. This change is measure by the gamma of the option. Gamma can be used to adjust the delta to better approximate the change in the option price. ...
Paper
... be used as collateral, for example in a repo transaction, or through rehypothecation. When available, this possibility is used in equilibrium by direct lenders to borrowers: lenders want to lever up into hedonic interest rates, which are higher than the returns to cash. These "pyramiding lending ar ...
... be used as collateral, for example in a repo transaction, or through rehypothecation. When available, this possibility is used in equilibrium by direct lenders to borrowers: lenders want to lever up into hedonic interest rates, which are higher than the returns to cash. These "pyramiding lending ar ...
Does Supply Curve Inelasticity Explain Abnormal Long
... market repurchases permanently remove supply from the market. The idea that repurchases remove supply and thereby raise equilibrium prices has been used to explain price changes around Dutch auctions (Bagwell (1992)). This is the first paper to explore whether open market repurchases have the same e ...
... market repurchases permanently remove supply from the market. The idea that repurchases remove supply and thereby raise equilibrium prices has been used to explain price changes around Dutch auctions (Bagwell (1992)). This is the first paper to explore whether open market repurchases have the same e ...
Global Trading Hours
... Volatility Auction Activated when the maximum price range deviation is exceeded, decided by the exchange. Generally ends after 3 or 5 minutes, depending on security. The change to the next scheduled trading phase is carried out whether or not a price occurs. Single volatility interruption occurs if ...
... Volatility Auction Activated when the maximum price range deviation is exceeded, decided by the exchange. Generally ends after 3 or 5 minutes, depending on security. The change to the next scheduled trading phase is carried out whether or not a price occurs. Single volatility interruption occurs if ...
An Empirical Analysis of Counterparty Risk in CDS Prices
... This credit risk transference function and potential portfolio yield improvement make CDS contracts very attractive to banks, mutual funds, pension funds, insurance companies, and hedge funds. The market for CDSs has thus grown exponentially since the first CDS was introduced by JP Morgan in 1997. A ...
... This credit risk transference function and potential portfolio yield improvement make CDS contracts very attractive to banks, mutual funds, pension funds, insurance companies, and hedge funds. The market for CDSs has thus grown exponentially since the first CDS was introduced by JP Morgan in 1997. A ...
Volatility at World`s End
... Researchers at Cornell estimated there were an additional 725 fatalities from car crashes the three months after 9/11 due to the greater number of people driving for fear of flying(6). In reality you have a 1 in 25 million chance of dying in an airplane related terrorist attack over your life compar ...
... Researchers at Cornell estimated there were an additional 725 fatalities from car crashes the three months after 9/11 due to the greater number of people driving for fear of flying(6). In reality you have a 1 in 25 million chance of dying in an airplane related terrorist attack over your life compar ...
CHAPTER 3: OVERVIEW OF EQUITIES MARKETS
... Measures the performance of the overall stock market Designed to track the value of all U.S.-headquartered equity securities with readily available price data Included 5,000 stocks when first introduced in 1974 ...
... Measures the performance of the overall stock market Designed to track the value of all U.S.-headquartered equity securities with readily available price data Included 5,000 stocks when first introduced in 1974 ...
Supply, Demand and Market Equilibrium
... • Choose one of the current markets running at the IEM • Read the prospectus to make sure you understand how the contracts work • Using various news sources, try to determine what events will affect prices in the IEM for two-weeks • Using your understanding of supply and demand, predict how prices s ...
... • Choose one of the current markets running at the IEM • Read the prospectus to make sure you understand how the contracts work • Using various news sources, try to determine what events will affect prices in the IEM for two-weeks • Using your understanding of supply and demand, predict how prices s ...
Trading Rules and Practices
... the change in taxation differences of ordinary income and capital gains. They conclude that the effects are more likely to be a short-term trading effect than a tax clientele effect. Booth and Johnston (1984) extend the work of Lakonishok and Vermaelen (1983) and investigate the ex-dividend day beha ...
... the change in taxation differences of ordinary income and capital gains. They conclude that the effects are more likely to be a short-term trading effect than a tax clientele effect. Booth and Johnston (1984) extend the work of Lakonishok and Vermaelen (1983) and investigate the ex-dividend day beha ...
does anonymity matter in electronic limit order markets?1
... In the last decade, the security industry has witnessed a proliferation of electronic trading systems. Several of these new trading venues (e.g. Island for equity markets, Reuters D2000-2 for the foreign exchange market or MTS in bond markets) are organized as limit order markets where traders can e ...
... In the last decade, the security industry has witnessed a proliferation of electronic trading systems. Several of these new trading venues (e.g. Island for equity markets, Reuters D2000-2 for the foreign exchange market or MTS in bond markets) are organized as limit order markets where traders can e ...
2017/ 590 - of 28 July 2016
... The persons or computer algorithms responsible for determining the venue to access or an investment firm to which the orders are to be transmitted or any other conditions related to the execution of the order may thereby be responsible for market abuse. Therefore, in order to ensure effective market ...
... The persons or computer algorithms responsible for determining the venue to access or an investment firm to which the orders are to be transmitted or any other conditions related to the execution of the order may thereby be responsible for market abuse. Therefore, in order to ensure effective market ...
MultiFractality in Foreign Currency Markets
... better explanatory paradigm of asset prices behavior. We merely wish to emphasize the need for revising the EMH and provide data to this end. The existing literature proposes several approaches for verifying whether a foreign exchange market is more or less efficient. In the remainder of this sectio ...
... better explanatory paradigm of asset prices behavior. We merely wish to emphasize the need for revising the EMH and provide data to this end. The existing literature proposes several approaches for verifying whether a foreign exchange market is more or less efficient. In the remainder of this sectio ...
Time-Varying Arrival Rates of Informed and Uninformed Trades
... can infer new information regarding the value of the asset from the composition and existence of trades. Thus, market parameters such as volume, volatility, market depth, and liquidity are all linked in the sense that each is influenced by the underlying order arrival processes. In this paper, we pro ...
... can infer new information regarding the value of the asset from the composition and existence of trades. Thus, market parameters such as volume, volatility, market depth, and liquidity are all linked in the sense that each is influenced by the underlying order arrival processes. In this paper, we pro ...
VaR Exceedances at Large Financial Institutions
... Another possibility is that the models cannot be made more accurate. In our experience VaR models are much more accurate than what we observe in the banks’ public filings, both in calm markets and volatile markets, across various security types and trading strategies. This seems an unlikely explanat ...
... Another possibility is that the models cannot be made more accurate. In our experience VaR models are much more accurate than what we observe in the banks’ public filings, both in calm markets and volatile markets, across various security types and trading strategies. This seems an unlikely explanat ...