Lecture 7: Quadratic Variation
... r.h.s represents the payoff of a hedging strategy which involves maintaining a constant dollar amount in stock (if the stock price increases, sell stock; if the stock price decreases, buy stock so as to maintain a constant dollar value of stock). Since the log payoff on the l.h.s can be hedged using ...
... r.h.s represents the payoff of a hedging strategy which involves maintaining a constant dollar amount in stock (if the stock price increases, sell stock; if the stock price decreases, buy stock so as to maintain a constant dollar value of stock). Since the log payoff on the l.h.s can be hedged using ...
DETERMINANTS OF IMPLIED VOLATILITY FUNCTION ON THE
... for mature markets, which exhibit negative asymmetry profiles in general. This may be owing to differences in investors' behaviour and market microstructure between mature and emerging markets. We also show that historical volatility and time to expiration are the potential determinants of smile asy ...
... for mature markets, which exhibit negative asymmetry profiles in general. This may be owing to differences in investors' behaviour and market microstructure between mature and emerging markets. We also show that historical volatility and time to expiration are the potential determinants of smile asy ...
Equity Quantitative Study - International Swaps and Derivatives
... derivatives are traded over-the counter and also in exchanges. There are, nevertheless, significant differences between OTC trading and exchange trading in these products. Listed derivatives are centrally cleared and prices are quoted continuously during trading sessions. They are highly standardize ...
... derivatives are traded over-the counter and also in exchanges. There are, nevertheless, significant differences between OTC trading and exchange trading in these products. Listed derivatives are centrally cleared and prices are quoted continuously during trading sessions. They are highly standardize ...
Weather, Stock Returns, and the Impact of Localized Trading Behavior
... addition, logit model results suggest that cloudiness is associated with a lower probability of positive returns for 25 of the 26 cities. These findings are consistent with the casual intuition that overcast weather is associated with downbeat moods and that moods affect stock prices. Coefficients f ...
... addition, logit model results suggest that cloudiness is associated with a lower probability of positive returns for 25 of the 26 cities. These findings are consistent with the casual intuition that overcast weather is associated with downbeat moods and that moods affect stock prices. Coefficients f ...
Internationalization of Stock Markets: Potential Problems for United
... This Comment will explore the potential problems faced by United States shareholders when the corporations in which they own stock list and offer equity securities on stock exchanges in foreign countries. In some ways, the Comment is in search of a question. It must be noted at the outset that no ca ...
... This Comment will explore the potential problems faced by United States shareholders when the corporations in which they own stock list and offer equity securities on stock exchanges in foreign countries. In some ways, the Comment is in search of a question. It must be noted at the outset that no ca ...
Why We Have Never Used the Black-Scholes
... option hedging and pricing were already far more firmly laid down before them. The Black-Scholes-Merton argument, simply, is that an option can be hedged using a certain methodology called “dynamic hedging” and then turned into a risk-free instrument, as the portfolio would no longer be stochastic. ...
... option hedging and pricing were already far more firmly laid down before them. The Black-Scholes-Merton argument, simply, is that an option can be hedged using a certain methodology called “dynamic hedging” and then turned into a risk-free instrument, as the portfolio would no longer be stochastic. ...
Why We Have Never Used the Black-Scholes
... in option pricing and hedging. He diffusely points to the put-call parity, and his book was not even meant to teach people about the technicalities in option trading. Our insistence on the use of Put-Call parity is critical for the following reason: The Black-Scholes-Merton’s claim to fame is removi ...
... in option pricing and hedging. He diffusely points to the put-call parity, and his book was not even meant to teach people about the technicalities in option trading. Our insistence on the use of Put-Call parity is critical for the following reason: The Black-Scholes-Merton’s claim to fame is removi ...
Xetra Market Model Continuous Auction
... 9. Order book transparency can vary for particular groups of securities and furthermore depends on the respective trading phase or auction phase. For market participants the order book can be partially closed or open. 10. The Specialist is able to enter orders (and quotes) on own behalf and on behal ...
... 9. Order book transparency can vary for particular groups of securities and furthermore depends on the respective trading phase or auction phase. For market participants the order book can be partially closed or open. 10. The Specialist is able to enter orders (and quotes) on own behalf and on behal ...
Stock Markets
... • U.S. stock markets are the world’s largest • European markets have increased their share of the global market with the advent of a common currency, the Euro • Growth has recently strengthened in the U.K., Canada, Japan, and Pacific Basin countries • International stock markets allow investors to d ...
... • U.S. stock markets are the world’s largest • European markets have increased their share of the global market with the advent of a common currency, the Euro • Growth has recently strengthened in the U.K., Canada, Japan, and Pacific Basin countries • International stock markets allow investors to d ...
Using futures and options to manage price volatility in food imports: practice
... futures markets with the added flexibility of tailor-made products in terms of size, maturity, expiry date and settlement procedure. However, there is a credit risk element associated with OTC products as transactions are executed directly between parties and are not necessarily collateralized. This ...
... futures markets with the added flexibility of tailor-made products in terms of size, maturity, expiry date and settlement procedure. However, there is a credit risk element associated with OTC products as transactions are executed directly between parties and are not necessarily collateralized. This ...
Financial Reporting for Derivatives and Risk Management Activities
... Speculation primarily domain of dealers and sophisticated traders Speculative trading based on investors’ views of future market movements Using interest rate swaps to reduce funding costs also requires “expressing a view” (i.e. form of speculation) Query: Is risk management much different from ...
... Speculation primarily domain of dealers and sophisticated traders Speculative trading based on investors’ views of future market movements Using interest rate swaps to reduce funding costs also requires “expressing a view” (i.e. form of speculation) Query: Is risk management much different from ...
Commodity Market Capital Flow and Asset Return Predictability ∗ Harrison Hong
... which starts in November 1978. Data for crude oil are available only since March 1983. Livestock consists of five commodities, and metals consists of six commodities. A potential concern with using a broad set of commodities is that not all contracts are liquid. In results that are not reported here, ...
... which starts in November 1978. Data for crude oil are available only since March 1983. Livestock consists of five commodities, and metals consists of six commodities. A potential concern with using a broad set of commodities is that not all contracts are liquid. In results that are not reported here, ...
Does Pre-trade Transparency Affect the Market Quality in an Order
... TSE 1st section, are commonly used as an index of the Japanese stock market. We use real-time TSE trade and quote data from the Nikkei Economic Electronic Database System (NEEDS) historical tick data. The database is time-stamped to the nearest minute; each datum includes information related to all ...
... TSE 1st section, are commonly used as an index of the Japanese stock market. We use real-time TSE trade and quote data from the Nikkei Economic Electronic Database System (NEEDS) historical tick data. The database is time-stamped to the nearest minute; each datum includes information related to all ...
Volatility trading in options market: How does it a ect where
... The assumption of equiprobability has no consequence since parameters SH , SL , σH , σL are unrestricted. ...
... The assumption of equiprobability has no consequence since parameters SH , SL , σH , σL are unrestricted. ...
Corporate Bond Trading on a Limit Order Book Exchange by
... This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bonds (and government bonds) have been traded for many years by the same open limit order book system as stocks and with no competing exchanges, dark pools, etc. The Israeli c-bond market is quite small (~$76 b ...
... This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bonds (and government bonds) have been traded for many years by the same open limit order book system as stocks and with no competing exchanges, dark pools, etc. The Israeli c-bond market is quite small (~$76 b ...
Volume and Liquidity After Cross
... whether arising from trading costs, from informational barriers or from regulatory obstacles –– that shelter less active trading venues from the gravitational pull of the larger one. Whether such frictions exist, so that an active foreign market can be sustained after a cross-listing, is an empirica ...
... whether arising from trading costs, from informational barriers or from regulatory obstacles –– that shelter less active trading venues from the gravitational pull of the larger one. Whether such frictions exist, so that an active foreign market can be sustained after a cross-listing, is an empirica ...
Greeks
... The gamma of a stock is zero. We can use traded options to adjust the gamma of a portfolio, similar to what we have done to vega. But if we are really concerned about large moves, we may want to try something else. Liuren Wu ...
... The gamma of a stock is zero. We can use traded options to adjust the gamma of a portfolio, similar to what we have done to vega. But if we are really concerned about large moves, we may want to try something else. Liuren Wu ...
Screen Information, Trader Activity, and Bid-Ask
... for model evaluation is then 15 weeks, the maximum that could be feasibly achieved with our data set. The data are obtained from trading activity in stock index futures contracts from the consolidated limit order book operated by OM Stockholm and the London Securities and Derivatives Exchange. The d ...
... for model evaluation is then 15 weeks, the maximum that could be feasibly achieved with our data set. The data are obtained from trading activity in stock index futures contracts from the consolidated limit order book operated by OM Stockholm and the London Securities and Derivatives Exchange. The d ...
Using Markets to Inform Policy: The Case of the Iraq War
... liquidity than the typical contract on the Iowa market, and Wall Street is well-represented among market participants. Evidence summarized in section 2 suggests that these data seem to reflect ...
... liquidity than the typical contract on the Iowa market, and Wall Street is well-represented among market participants. Evidence summarized in section 2 suggests that these data seem to reflect ...
Advances in Environmental Biology
... is a method for analyzing markets in which main features of firms such as revenues and costs, market situations, the annual growth rate and etc. are investigated [9]. Technical analysis, on the other hand, is based on the study of price volatility in the past. In fact, technical analysis studies the ...
... is a method for analyzing markets in which main features of firms such as revenues and costs, market situations, the annual growth rate and etc. are investigated [9]. Technical analysis, on the other hand, is based on the study of price volatility in the past. In fact, technical analysis studies the ...
Failure is an Option: Impediments to Short Selling and
... maker’s trading profits, net of rebate reductions and buy-ins, we document a significant average profit. This profit seems at odds with the competitiveness of options markets, but we show that it corresponds to the way the clearing corporation handles buy-ins. The highest-volume option market makers ...
... maker’s trading profits, net of rebate reductions and buy-ins, we document a significant average profit. This profit seems at odds with the competitiveness of options markets, but we show that it corresponds to the way the clearing corporation handles buy-ins. The highest-volume option market makers ...
Coalition Slide Presentation to House Agriculture Committee
... • End-users do not use derivatives to take on risk for speculative investment purposes and therefore do not meaningfully contribute to systemic risk. • End-users use swaps to hedge or mitigate commercial risks associated with their companies’ operations. • The use of swaps to hedge risk benefits the ...
... • End-users do not use derivatives to take on risk for speculative investment purposes and therefore do not meaningfully contribute to systemic risk. • End-users use swaps to hedge or mitigate commercial risks associated with their companies’ operations. • The use of swaps to hedge risk benefits the ...
Chapter 2 Securities Markets and Transactions
... • The secondary markets or the aftermarket, is the market in which securities are traded after they have been issued. Unlike the primary market, secondary market transactions don’t involve the corporation that issued the securities • The secondary market permits an investor to sell his or her holdin ...
... • The secondary markets or the aftermarket, is the market in which securities are traded after they have been issued. Unlike the primary market, secondary market transactions don’t involve the corporation that issued the securities • The secondary market permits an investor to sell his or her holdin ...
Credit Product Conventions - The Australian Financial Markets
... With the exception of Credit Indices transactions, the notional amount of each transaction is USD5million unless otherwise specified and agreed to by the parties at the time of dealing. The notional amount of Credit Indices transactions is USD10 million, unless otherwise specified and agreed to by t ...
... With the exception of Credit Indices transactions, the notional amount of each transaction is USD5million unless otherwise specified and agreed to by the parties at the time of dealing. The notional amount of Credit Indices transactions is USD10 million, unless otherwise specified and agreed to by t ...
A common factor analysis for the US and the German stock markets
... frequency. On the other hand, increasing the frequency to an arbitrary level is also counterfactual. Indices especially face infrequent trading problems since they contain also less liquid stocks. Hence, we regard minute by minute data as the best way to cope with the trade-off between the issues of ...
... frequency. On the other hand, increasing the frequency to an arbitrary level is also counterfactual. Indices especially face infrequent trading problems since they contain also less liquid stocks. Hence, we regard minute by minute data as the best way to cope with the trade-off between the issues of ...