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Hedge performance of SPX index options and S&P 500 futures
Benet, Bruce A. - In: The journal of futures markets 15 (1995) 6, pp. 691-717
Persistent link: https://www.econbiz.de/10001186693
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Corporate risk management : costs and benefits
Fatemi, Ali M.; Luft, Carl F. - In: Global finance journal 13 (2002) 1, pp. 29-38
Persistent link: https://www.econbiz.de/10001716562
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"Chicago mercantile exchange bitcoin futures : volatility, liquidity and margin"
Luft, Carl F.; Lee, Jin Man; Choi, Jin W. - In: Spoudai : journal of economics and business 69 (2019) 3, pp. 55-74
This paper explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September 17, 2018. The behavior of the bitcoin spot market and...
Persistent link: https://www.econbiz.de/10012172784
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AN EMPIRICAL TEST OF THE COMMODITY OPTION PRICING MODEL USING GINNIE MAE CALL OPTIONS
Luft, Carl F.; Fielitz, Bruce D. - In: Journal of Financial Research 9 (1986) 2, pp. 137-151
Persistent link: https://www.econbiz.de/10010889294
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Understanding & trading futures : a hands-on study guide for investors and traders
Luft, Carl F. - 1994 - Rev. ed.
Persistent link: https://www.econbiz.de/10004226967
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Further results on asymmetric stable distributions of stock price changes
Fielitz, Bruce D. - In: Journal of financial and quantitative analysis : JFQA 11 (1976) 1, pp. 39-55
Persistent link: https://www.econbiz.de/10002163434
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On the stationarity of transition probability matrices of common stocks
Fielitz, Bruce D. - In: Journal of financial and quantitative analysis : JFQA 10 (1975) 2, pp. 327-339
Persistent link: https://www.econbiz.de/10002163458
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Stationarity of random data : some implications for the distribution of stock price changes
Fielitz, Bruce D. - In: Journal of financial and quantitative analysis : JFQA 6 (1971) 3, pp. 1025-1034
Persistent link: https://www.econbiz.de/10002163464
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Loan fair values and the financial crisis
Chipalkatti, Niranjan; DiPierro, Massimo; Luft, Carl; … - In: The Journal of Risk Finance 21 (2020) 5, pp. 559-576
Purpose: In 2009, effective the second-quarter, the financial accounting standards board mandated that all banks need to disclose the fair value of loans in their 10-Q filings in addition to their 10-K filings. This paper aims to investigate whether these disclosures reduced the level of...
Persistent link: https://www.econbiz.de/10012413439