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Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2007

Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices. In many cases, due to paucity of...

Persistent link: https://www.econbiz.de/10005837492

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...

Persistent link: https://www.econbiz.de/10005837212

Hedging dynamics with gold futures

Singh, Saurabh; Saharawat, Swati - Volkswirtschaftliche Fakultät, … - 2011

People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...

Persistent link: https://www.econbiz.de/10011258372

Noncommercial Trading in the Energy Futures Market

Dale, Charles; Zyren, John - Volkswirtschaftliche Fakultät, … - 1996

This paper utilizes a new approach to an examination of price impacts of speculators on futures markets. It focuses initially on specially obtained data on commodity “pools,” which are large funds of money that may move quickly between and across futures markets and other financial markets;...

Persistent link: https://www.econbiz.de/10011259576

The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?

Reiffen, David; Buyuksahin, Bahattin - Volkswirtschaftliche Fakultät, … - 2010

futures market, the associated (but unrestricted) options market becomes the price discovery market: much of the trading that … would have occurred on the futures market migrates to the options market, and options prices accurately predict the … (unconstrained) futures price the next day. We also show that the presence of options mitigates the effect of price limits on …

Persistent link: https://www.econbiz.de/10009397172

Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA

Muñoz, García; Manuel, Luis; de Lope Contreras, Fernando - Volkswirtschaftliche Fakultät, … - 2015

As a byproduct of the 2007-2008 credit crunch, derivatives pricing and risk management are experiencing a dramatic transformation. Assumptions that were widely accepted not long ago, like absence of counterparty credit risk and the existence of a unique risk free curve available for every...

Persistent link: https://www.econbiz.de/10011168668

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10011107807

Collateral choice and the fundamental theorem of asset pricing

Manuel, Luis; Muñoz, García - Volkswirtschaftliche Fakultät, … - 2012

In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage opportunities, for a...

Persistent link: https://www.econbiz.de/10011109288

CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.

Muñoz, García; Manuel, Luis - Volkswirtschaftliche Fakultät, … - 2013

In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...

Persistent link: https://www.econbiz.de/10011110003

Interest rate modeling under multiple discounting curves

Muñoz, García; Manuel, Luis - Volkswirtschaftliche Fakultät, … - 2013

For deals denominated in a single currency, different collateralization schemes imply different accrual rates for funds posted as collateral, so that we can end up with different current accounts that accrue at different rates and their corresponding discount factors. In this paper we examine...

Persistent link: https://www.econbiz.de/10011112124

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