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C.E.P.R. Discussion Papers
International Monetary Fund (IMF)
254
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
249
National Bureau of Economic Research
237
EconWPA
123
Université Paris-Dauphine (Paris IX)
106
National Bureau of Economic Research (NBER)
100
Finance Discipline Group, Business School
87
International Monetary Fund
83
University of Bonn, Germany
68
Society for Computational Economics - SCE
52
Henley Business School, University of Reading
43
School of Economics and Management, University of Aarhus
43
Institut für Schweizerisches Bankwesen <Zürich>
40
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
38
Université Paris-Dauphine
31
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
29
Tilburg University, Center for Economic Research
28
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
24
Bank of Canada
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
21
Tinbergen Instituut
20
HAL
19
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
19
Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
18
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18
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17
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17
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16
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16
Center for Financial Studies
15
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15
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14
National Centre of Competence in Research North South <Bern>
14
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1
Macro-
Hedging
for Commodity Exporters
Borensztein, Eduardo
;
Jeanne, Olivier
;
Sandri, Damiano
-
C.E.P.R. Discussion Papers
-
2009
commodity-exporting countries. We show that the introduction of
hedging
instruments such as futures and
options
enhances …This paper uses a dynamic optimization model to estimate the welfare gains of
hedging
against commodity price risk for …
Persistent link: https://www.econbiz.de/10008577805
Saved in:
2
New Techniques to Extract Market Expectations from Financial Instruments
Söderlind, Paul
;
Svensson, Lars E O
-
C.E.P.R. Discussion Papers
-
1997
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...
Persistent link: https://www.econbiz.de/10005504605
Saved in:
3
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
including global equities, global bonds, commodities, US Treasuries, credit, and
options
. This predictability rejects a …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
4
Option-Based Credit Spreads
Culp, Christopher L.
;
Nozawa, Yoshio
;
Veronesi, Pietro
-
C.E.P.R. Discussion Papers
-
2014
empirically show that indeed portfolios of long Treasuries and short traded put
options
("pseudo bonds") closely match the …
Persistent link: https://www.econbiz.de/10011145468
Saved in:
5
An
Options
-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999
Campa, José Manuel
;
Chang, Kevin
;
Refalo, James F
-
C.E.P.R. Discussion Papers
-
2000
options
data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of …. The Paper, one of the first to use
options
data from an emerging market, finds that target zone credibility was poor prior …
Persistent link: https://www.econbiz.de/10005656384
Saved in:
6
Extracting Expectations about 1992 UK Monetary Policy from Option Prices
Söderlind, Paul
-
C.E.P.R. Discussion Papers
-
1998
The UK pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to lower short interest rates and an inflation target was announced. This paper uses daily option prices to estimate how the market’s probability distribution of the future Deutsche...
Persistent link: https://www.econbiz.de/10005791268
Saved in:
7
Interpreting Prediction Market Prices as Probabilities
Wolfers, Justin
;
Zitzewitz, Eric
-
C.E.P.R. Discussion Papers
-
2006
While most empirical analysis of prediction markets treats prices of binary
options
as predictions of the probability …
Persistent link: https://www.econbiz.de/10005136573
Saved in:
8
Performance Maximization of Actively Managed Funds
Guasoni, Paolo
;
Huberman, Gur
;
Wang, Zhenyu
-
C.E.P.R. Discussion Papers
-
2010
literature suggests that even in the absence of any ability to predict returns, holding
options
positions on the benchmark assets …. The enhancement from holding
options
can be substantial if the implied volatilities of the
options
are higher than the …
Persistent link: https://www.econbiz.de/10008468707
Saved in:
9
The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
Bhamra, Harjoat Singh
;
Uppal, Raman
-
C.E.P.R. Discussion Papers
-
2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock-market returns. Our analysis uses a standard, continuous time, dynamic, general-equilibrium, full-information, frictionless, Lucas endowment economy where there are two classes of...
Persistent link: https://www.econbiz.de/10005114422
Saved in:
10
Demand-Based Option Pricing
Garleanu, Nicolae Bogdan
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2005
We model the demand-pressure effect on prices when
options
cannot be perfectly hedged. The model shows that demand … demand helps explain the overall expensiveness and skew patterns of both index
options
and single-stock
options
. …
Persistent link: https://www.econbiz.de/10005067592
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