This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...

India is about to enter a new technological phase as far as mobile technology is concerned. After almost a decade of existence, Third Generation (3G) mobile technology will be rolled out in India. The licenses for the same were auctioned in April – May 2010 and 3G licenses were allocated to...

Forecasting the vote share for the upcoming US presidential elections involves multiple pivotal economic and non-economic factors. Critical macroeconomic forces such as the rate of economic growth, tax burden, inflation, and unemployment significantly influence the votes gained or lost by the...

The outcome of the US presidential election is one of the most significant events that impacts trade, investment, and geopolitical policies on the global stage. It also sets the direction of the world economy and global politics for the next few years. Hence, it is of prime importance not just...

Recently, a lot of questions were raised about the financial health of commercial banks in India. This paper analyzes the Indian banks' riskiness and the probability of book-value insolvency under the framework developed by Hannan and Hanweck (1988). A risk index, known as Z score, for Global...

The aim of this paper is to develop an algorithm for calculating and plotting payoff of option strategies for a portfolio of path independent vanilla and exotic options. A general algorithm for calculating the vector matrix for any arbitrary combination strategy is also developed for some of the...

This paper aims to study the sensitivity of Bayes estimate of location parameter of an Inverse Gaussian (IG) distribution to misspecification in the prior distribution. It also studies the effect of misspecification of the prior distribution on two-sided predictive limits for a future...