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Oil prices increased dramatically during 2004–2006. Industry experts initially attributed these price increases to fundamental factors such as the rise in global demand, but also because of disruptions in the supply of oil. The price increases however were so substantial that additional...
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The phenomenal growth of individual retirement accounts in the US, and globally, challenges both individuals and their advisors to rationally manage these investments. The two essential differences between an individual retirement account and an institutional portfolio are the length of the...
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The creation and growth of economic integration as an area of economics is the result primarily of practical rather than academic interest. Although economic nationalism and antagonism still prevail as the basic form of world economic order, economic history presents us with specific examples...
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Options Markets presents an authoritative collection of the most important articles and papers on derivatives published during the last 35 years. These three volumes offer a unique and convenient resource for the reader to review the most important research at the frontier of this rapidly...
Persistent link: https://www.econbiz.de/10011254117
This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as a direct ‘ex-ante’ estimate for market variance, and hence the risk...
Persistent link: https://www.econbiz.de/10014620885
Hedging interest rate exposures using interest rate futures contracts requires some knowledge of the volatility function of the interest rates. Use of historical data as well as interest rate options like caps and swaptions to estimate this volatility function have been proposed in the...
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