This study is the first to use stochastic dominance theory to compare the performance of passive and active trading strategies for the Taiwan Stock Index Futures. In total, we test nine common trading strategies, including buy-and-hold (passive) and eight technical trading strategies (active)....

This study uses stochastic dominance theory, which is distribution free, to evaluate eight foreign exchange hedging strategies for six currencies in terms of US Dollar from 1990 to 2007. Our results show that 'always hedge' is the best performing strategy for European currencies such as British...

An empirical study of the Hull - White model for pricing Treasury bond futures contracts with quality option is presented. Japanese long-term Government Bond (JGB) futures contracts are chosen, because unlike US Treasury bond futures contracts, which embed both the quality and timing options,...