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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012
sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …
Persistent link: https://www.econbiz.de/10010907433
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Liquidity commonality in commodities
Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of Banking & Finance 37 (2013) 1, pp. 11-20
We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997–2003 when...
Persistent link: https://www.econbiz.de/10011065589
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Pinning in the S&P 500 futures
Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585
We show that Standard & Poor's (S&P) 500 futures are pulled toward the at-the-money strike price on days when serial options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price right before the expiration of options on the S&P 500...
Persistent link: https://www.econbiz.de/10010587978
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Utility maximization on the real line under proportional transaction costs
Bouchard, Bruno - In: Finance and Stochastics 6 (2002) 4, pp. 495-516
We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...
Persistent link: https://www.econbiz.de/10005390685
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Usefulness of Treasury Bill Futures as Hedging Instruments
Cicchetti, Paul; Dale, Charles; Vignola, Anthony - Volkswirtschaftliche Fakultät, … - 1981
In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio … model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were … misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years …
Persistent link: https://www.econbiz.de/10011107838
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Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979
The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...
Persistent link: https://www.econbiz.de/10011109710
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Is the Futures Market for Treasury Bills Efficient?
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1979
In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury...
Persistent link: https://www.econbiz.de/10011110375
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Performance of Delta-hedging strategies in interval models - A robustness study
Engwerda, Jacob; Schumacher, Johannes M.; Roorda, B. - Tilburg University, Center for Economic Research - 1999
Persistent link: https://www.econbiz.de/10011092341
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The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1980
Until the existence of financial futures, testing the determinants and the informational content of futures market prices has been difficult because of the vagaries associated with commodity markets. In the case of Treasury bill futures, the existence of an active secondary market and the...
Persistent link: https://www.econbiz.de/10011112305
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Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979
The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...
Persistent link: https://www.econbiz.de/10011196423