A Study of Implied Risk-Neutral Density Functions in
... holder the right to buy the underlying asset by a certain date for a certain price. A put option gives the holder the right to sell the underlying asset by a certain date for a certain price. Note that the holder is not obliged to exercise this right. The underlying assets include stocks, stock indi ...
... holder the right to buy the underlying asset by a certain date for a certain price. A put option gives the holder the right to sell the underlying asset by a certain date for a certain price. Note that the holder is not obliged to exercise this right. The underlying assets include stocks, stock indi ...
exam133
... d. None of the answers above. 26. (03 Points) ABC loans $10 million to an oil company under terms where the bonds guarantee a coupon payment of 10% and repayment of all principal. In addition, however, the bonds make a knock-in added payment of 1% for each period’s average daily crude oil price in e ...
... d. None of the answers above. 26. (03 Points) ABC loans $10 million to an oil company under terms where the bonds guarantee a coupon payment of 10% and repayment of all principal. In addition, however, the bonds make a knock-in added payment of 1% for each period’s average daily crude oil price in e ...
Volatility Derivatives
... cash VIX. These European-style options cash-settle at their expiry. Like the futures, the VIX options mature on the one day each month when only a single maturity is used to compute the cash VIX. After the SPX index options, these VIX options are the CBOE’s most liquid option contract. Their popular ...
... cash VIX. These European-style options cash-settle at their expiry. Like the futures, the VIX options mature on the one day each month when only a single maturity is used to compute the cash VIX. After the SPX index options, these VIX options are the CBOE’s most liquid option contract. Their popular ...
MultiFractality in Foreign Currency Markets
... MacKinlay (1988), Lo (1991), Peters (1991, 1994), Evertsz (1995a, 1995b), Evertsz and Berkner (1995), Corazza (1996), Campbell, Lo and MacKinlay (1997) and Corazza, Malliaris and Nardelli (1997) provide statistical evidence that asset prices do not follow random walks. To account for this discrepanc ...
... MacKinlay (1988), Lo (1991), Peters (1991, 1994), Evertsz (1995a, 1995b), Evertsz and Berkner (1995), Corazza (1996), Campbell, Lo and MacKinlay (1997) and Corazza, Malliaris and Nardelli (1997) provide statistical evidence that asset prices do not follow random walks. To account for this discrepanc ...
Hedging volatility risk
... Only in March 2004 did the Chicago Futures Exchange (CFE) launch its first product, a futures contract on VIX. Options on VIX have been planned for some time now but have not been introduced yet. The main reason, in our opinion, that it has taken so long to introduce such derivatives is the lack of a ...
... Only in March 2004 did the Chicago Futures Exchange (CFE) launch its first product, a futures contract on VIX. Options on VIX have been planned for some time now but have not been introduced yet. The main reason, in our opinion, that it has taken so long to introduce such derivatives is the lack of a ...
NBER WORKING PAPER SERIES DEMAND-BASED OPTION PRICING Nicolae Garleanu Lasse Heje Pedersen
... impossibility of trading continuously, stochastic volatility, jumps in the underlying, and transaction costs (Figlewski (1989)).1 To capture this effect, we depart from the standard no-arbitrage literature that follows Black-Scholes-Merton by considering explicitly how options are priced by competit ...
... impossibility of trading continuously, stochastic volatility, jumps in the underlying, and transaction costs (Figlewski (1989)).1 To capture this effect, we depart from the standard no-arbitrage literature that follows Black-Scholes-Merton by considering explicitly how options are priced by competit ...
strategic asset allocation
... and volatility of return of any nondomestic investment. Investors in nondomestic markets must form expectations about exchange rates if they decide not to hedge currency exposures. – Increased correlations in times of stress. Investors should be aware that correlations across international markets t ...
... and volatility of return of any nondomestic investment. Investors in nondomestic markets must form expectations about exchange rates if they decide not to hedge currency exposures. – Increased correlations in times of stress. Investors should be aware that correlations across international markets t ...
Prudential Standard CPS 226 Margining and risk mitigation for non
... Refer to paragraphs 57 to 61 for the treatment of intra-group transactions. Genuine amendments to existing derivative transactions do not qualify as a new derivative transaction. Any amendment that extends an existing derivative transaction for the purpose of avoiding margin requirements must be con ...
... Refer to paragraphs 57 to 61 for the treatment of intra-group transactions. Genuine amendments to existing derivative transactions do not qualify as a new derivative transaction. Any amendment that extends an existing derivative transaction for the purpose of avoiding margin requirements must be con ...
Derivatives - Escuela FEF
... 5.3 Barrier option Options Barrier options: – Options where the payoff depends on whether the underlying asset’s price reaches a certain level during a certain period of time. – A number of different types of barrier options regularly trade in the over-the-counter market. – Can be classified as eith ...
... 5.3 Barrier option Options Barrier options: – Options where the payoff depends on whether the underlying asset’s price reaches a certain level during a certain period of time. – A number of different types of barrier options regularly trade in the over-the-counter market. – Can be classified as eith ...
A new approach for option pricing under stochastic volatility
... 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 with this now standard approach, we investigate the implications of this maturity indep ...
... 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 with this now standard approach, we investigate the implications of this maturity indep ...
Volatility at World`s End
... Volatility at World's End: Deflation, Hyperinflation and the Alchemy of Risk Imagine the world economy as an armada of ships passing through a narrow and dangerous strait leading to the sea of prosperity. Navigating the channel is treacherous for to err too far to one side and your ship plunges off ...
... Volatility at World's End: Deflation, Hyperinflation and the Alchemy of Risk Imagine the world economy as an armada of ships passing through a narrow and dangerous strait leading to the sea of prosperity. Navigating the channel is treacherous for to err too far to one side and your ship plunges off ...
Document
... Both set a price to be paid in the future for a specified contract. Forward Contracts are subject to counter party default risk, The futures exchange attempts to limit or eliminate the amount of counter party default risk. ...
... Both set a price to be paid in the future for a specified contract. Forward Contracts are subject to counter party default risk, The futures exchange attempts to limit or eliminate the amount of counter party default risk. ...
Prudential Standard CPS 226 Margining and risk mitigation for non
... securitisation schemes; equity and/or debt securities, futures and commodity trading and broking; custodial and safekeeping services; insurance and similar activities that are ancillary to the conduct of these activities. An authorised NOHC, a registered life NOHC, or any overseas equivalent is cons ...
... securitisation schemes; equity and/or debt securities, futures and commodity trading and broking; custodial and safekeeping services; insurance and similar activities that are ancillary to the conduct of these activities. An authorised NOHC, a registered life NOHC, or any overseas equivalent is cons ...
ACCOUNTING FOR FINANCIAL INSTRUMENTS
... (ii) to exchange financial assets or financial liabilities with another entity under conditions that are potentially unfavourable to the entity; or (b) a contract that will or may be settled in the entity’s own equity instruments and is: (i) a non-derivative for which the entity is or may be obliged ...
... (ii) to exchange financial assets or financial liabilities with another entity under conditions that are potentially unfavourable to the entity; or (b) a contract that will or may be settled in the entity’s own equity instruments and is: (i) a non-derivative for which the entity is or may be obliged ...
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. ...
Supply, Demand and Market Equilibrium
... • 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 should change • Determine if your predictions were corre ...
... • 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 should change • Determine if your predictions were corre ...
NBER WORKING PAPER SERIES RESOLVING MACROECONOMIC UNCERTAINTY IN STOCK AND BOND MARKETS
... to the median estimate of 75 economists surveyed by Bloomberg News. The Labor Department releases the figures at 8:30 a.m. in Washington. Traders expect 186,200 jobs new in April, an auction of economic derivatives showed. The derivatives, created by Deutsche Bank AG and Goldman Sachs Group Inc and ...
... to the median estimate of 75 economists surveyed by Bloomberg News. The Labor Department releases the figures at 8:30 a.m. in Washington. Traders expect 186,200 jobs new in April, an auction of economic derivatives showed. The derivatives, created by Deutsche Bank AG and Goldman Sachs Group Inc and ...
DETERMINANTS OF IMPLIED VOLATILITY FUNCTION ON THE
... 10:00 AM to 3:30 PM. The quoted options premium value is computed based on the Black-Scholes (1973) model; in fact, this is followed by most practitioners (Beber, 2001). The data comprises Nifty options daily call and put contracts closing prices and trading volumes for near month maturity for the c ...
... 10:00 AM to 3:30 PM. The quoted options premium value is computed based on the Black-Scholes (1973) model; in fact, this is followed by most practitioners (Beber, 2001). The data comprises Nifty options daily call and put contracts closing prices and trading volumes for near month maturity for the c ...
Notes on Stochastic Finance
... in the discrete and two-step models. In the sequel we will only consider admissible portfolio strategies whose total value Vt remains nonnegative for all times t ∈ [0, T ]. Definition 5.3. A portfolio strategy (ξt , ηt )t∈[0,T ] with price Vt = ξt St +ηt At , t ∈ R+ , constitutes an arbitrage opport ...
... in the discrete and two-step models. In the sequel we will only consider admissible portfolio strategies whose total value Vt remains nonnegative for all times t ∈ [0, T ]. Definition 5.3. A portfolio strategy (ξt , ηt )t∈[0,T ] with price Vt = ξt St +ηt At , t ∈ R+ , constitutes an arbitrage opport ...
The Impact of Collateralization on Swap Rates
... The traditional approach to interest rate swap valuation (Sundaresan (1991a) and Duffie and Singleton (1997)) treats a swap as a portfolio of forward contracts on the underlying floating interest rate. Under specific assumptions regarding the nature of default and the credit risk of the counterpartie ...
... The traditional approach to interest rate swap valuation (Sundaresan (1991a) and Duffie and Singleton (1997)) treats a swap as a portfolio of forward contracts on the underlying floating interest rate. Under specific assumptions regarding the nature of default and the credit risk of the counterpartie ...
Spot Market Competition and Long-Term
... this paper we extend our analysis to include long term financial contracts such as those traded in the UK electricity supply industry between the generators and electricity suppliers, or distribution companies. Our purpose is to explore the incentives that financial contracts give for altering bidd ...
... this paper we extend our analysis to include long term financial contracts such as those traded in the UK electricity supply industry between the generators and electricity suppliers, or distribution companies. Our purpose is to explore the incentives that financial contracts give for altering bidd ...
Option Spread and Combination Trading
... volatility, the time-to-expiration, and/or the interest rate.2 Like its price, a combination’s “Greeks”, delta, gamma, vega, theta, and rho, are simple linear combinations of the derivatives for each of its legs. For instance, if a combination consists of N1 contracts of option 1 and N2 of option 2, ...
... volatility, the time-to-expiration, and/or the interest rate.2 Like its price, a combination’s “Greeks”, delta, gamma, vega, theta, and rho, are simple linear combinations of the derivatives for each of its legs. For instance, if a combination consists of N1 contracts of option 1 and N2 of option 2, ...
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, ...
Examining Volatility Transmission in Major Agricultural Futures
... large number of low income, net food-importing countries. The recent escalation of several agricultural prices, particularly corn and wheat, and the prevailing high price volatility have all reinforced global fears about volatile food prices. Attention has turned, then, to further examining food pri ...
... large number of low income, net food-importing countries. The recent escalation of several agricultural prices, particularly corn and wheat, and the prevailing high price volatility have all reinforced global fears about volatile food prices. Attention has turned, then, to further examining food pri ...