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A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - Department of Economics and Finance Research and … - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10005247726

A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - Department of Economics and Finance Research and … - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10005764203

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

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

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

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

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

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

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

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