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Year of publication
Subject
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Derivat 10,754 Derivative 10,703 Theorie 4,393 Theory 4,377 USA 2,803 United States 2,782 Optionspreistheorie 1,798 Option pricing theory 1,790 Hedging 1,700 Volatilität 1,152 Volatility 1,143 Risikomanagement 1,018 Risk management 969 Portfolio-Management 910 Portfolio selection 909 Kreditrisiko 894 Credit risk 872 Optionsgeschäft 814 Option trading 781 Börsenkurs 760 Share price 757 Welt 751 World 745 Deutschland 629 Germany 606 CAPM 548 Zinsstruktur 460 Yield curve 457 Finanzmarkt 455 Financial market 450 Derivat <Wertpapier> 420 Risiko 416 Risk 412 Finanzkrise 409 Kreditderivat 407 Financial crisis 401 Stochastischer Prozess 400 Stochastic process 399 Schätzung 393 Estimation 392
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Online availability
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Free 2,453 Undetermined 1,194
Type of publication
All
Article 5,671 Book / Working Paper 5,225 Journal 54
Type of publication (narrower categories)
All
Article in journal 5,009 Aufsatz in Zeitschrift 5,009 Graue Literatur 1,503 Non-commercial literature 1,503 Working Paper 1,188 Arbeitspapier 1,160 Aufsatz im Buch 618 Book section 618 Hochschulschrift 572 Thesis 477 Lehrbuch 241 Textbook 231 Collection of articles of several authors 225 Sammelwerk 225 Bibliografie enthalten 128 Bibliography included 128 Glossar enthalten 104 Glossary included 104 Handbook 70 Handbuch 70 Collection of articles written by one author 68 Sammlung 68 Konferenzschrift 63 Aufsatzsammlung 61 Amtsdruckschrift 57 Government document 57 Conference proceedings 56 Ratgeber 45 Guidebook 35 Mehrbändiges Werk 26 Multi-volume publication 26 Bibliografie 23 Systematic review 23 Übersichtsarbeit 23 Dissertation u.a. Prüfungsschriften 22 Case study 21 Fallstudie 21 Conference paper 18 Konferenzbeitrag 18 Accompanied by computer file 11
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Language
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English 9,230 German 1,319 French 133 Spanish 104 Undetermined 57 Italian 47 Polish 26 Dutch 18 Swedish 14 Portuguese 10 Norwegian 8 Russian 8 Danish 4 Hungarian 4 Finnish 3 Czech 2 Croatian 2 Afrikaans 1 Arabic 1 Modern Greek (1453-) 1 Ukrainian 1
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Author
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Fabozzi, Frank J. 59 Hull, John 46 Lien, Da-hsiang Donald 46 Broll, Udo 37 Jarrow, Robert A. 35 Benth, Fred Espen 30 Gouriéroux, Christian 23 Härdle, Wolfgang 22 Kolb, Robert W. 22 Shiller, Robert J. 22 Platen, Eckhard 21 Brigo, Damiano 20 Kit, Pong Wong 20 Madan, Dilip B. 20 Kavussanos, Manolis G. 19 Whaley, Robert E. 19 Wolfers, Justin 19 Marcus, Alan J. 18 Puttonen, Vesa 18 Chance, Don M. 17 Kane, Alex 17 Rudolph, Bernd 17 White, Alan 17 Carr, Peter 16 Chiarella, Carl 16 Choudhry, Moorad 16 Leung, Tim 16 McAleer, Michael 16 Ryu, Doojin 16 Gannon, Gerard L. 15 Goss, Barry A. 15 Joshi, Mark S. 15 Korn, Olaf 15 Schlögl, Erik 15 Stulz, René M. 15 Subrahmanyam, Marti G. 15 Tunaru, Radu 15 Zimmermann, Heinz 15 Batten, Jonathan A. 14 Chen, Ren-Raw 14
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Institution
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National Bureau of Economic Research 49 Basel Committee on Banking Supervision 17 International Organization of Securities Commissions 8 OECD 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 7 Institute of Finance and Accounting <London> 6 Bank für Internationalen Zahlungsausgleich 5 Ekonomiska forskningsinstitutet <Stockholm> 5 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 5 Springer Fachmedien Wiesbaden 5 Universität Augsburg / Institut für Volkswirtschaftslehre 5 Universität Zürich / Institut für Schweizerisches Bankwesen 5 Frank J. Fabozzi Associates <New Hope, Pa.> 4 International Options Market Association 4 New York Institute of Finance 4 School of Accounting, Economics and Finance <Geelong> 4 School of Finance and Business Economics <Perth, Western Australia> 4 The Wharton Financial Institutions Center 4 USA / Commodity Futures Trading Commission 4 USA / General Accounting Office 4 Österreichische Termin- und Optionenbörse <Wien> 4 Bank für Internationalen Zahlungsausgleich / Committee on Payments and Market Infrastructures 3 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 3 Bank of England 3 Chambre de commerce et d'industrie de Paris 3 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 3 Deutsche Terminbörse <Frankfurt, Main> 3 Europäische Kommission 3 Federal Reserve Bank of St. Louis 3 Federal Reserve System / Board of Governors 3 Goethe-Universität Frankfurt am Main / Institut für Kapitalmarktforschung 3 Institute of Chartered Financial Analysts of India 3 International Bureau of Fiscal Documentation 3 USA / Congress / Senate / Committee on Agriculture, Nutrition and Forestry 3 USA / Division of Market Regulation 3 World Federation of Exchanges 3 Association d'Economie Financière 2 Australien / Companies and Securities Advisory Committee 2 Banco Central de Chile 2 Banque de France / Direction des Etudes Economiques et de la Recherche 2
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Published in...
All
The journal of futures markets 343 Journal of banking & finance 159 International journal of theoretical and applied finance 155 The journal of finance : the journal of the American Finance Association 79 Energy economics 69 Working paper / National Bureau of Economic Research, Inc. 64 Journal of financial economics 62 The journal of derivatives : the official publication of the International Association of Financial Engineers 62 Journal of financial and quantitative analysis : JFQA 58 Applied financial economics 57 Applied mathematical finance 55 Advances in futures and options research : a research annual 52 NBER working paper series 49 Review of derivatives research 48 Die Bank : Zeitschrift für Bankpolitik und Praxis 47 The journal of fixed income 43 The European journal of finance 40 The review of financial studies 39 Finance and stochastics 37 Mathematical finance : an international journal of mathematics, statistics and financial theory 37 International review of financial analysis 36 European journal of operational research : EJOR 34 Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen : journal of banking and financial research 32 Review of quantitative finance and accounting 32 Wiley finance series 32 The journal of structured finance 31 International review of economics & finance : IREF 30 Quantitative finance 30 Applied economics 29 Economics letters 29 Journal of economic dynamics & control 29 IMF working paper 28 Journal of risk and financial management : JRFM 28 Review of futures markets 28 The journal of credit risk : published quarterly by Incisive Media 28 WPg : Kompetenz schafft Vertrauen 28 The journal of business : B 27 The journal of computational finance 27 Derivatives & financial instruments 26 Europäische Hochschulschriften / 5 26
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Source
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ECONIS (ZBW) 10,776 USB Cologne (EcoSocSci) 129 EconStor 36 OLC EcoSci 9
Showing 1 - 50 of 10,950
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Imperfect competition in derivatives markets
Brinkmann, Christina - 2022 - This version: March 20, 2022
Since the push towards central clearing in derivatives markets after the global financial crisis, an open question has been how the development has affected competition. This paper models imperfect competition between dealers in derivatives markets. Two risk-neutral dealers offer derivatives to...
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Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets : the case of Borsa İstanbul
Gürbüz, Süleyman; Şahbaz, Ahmet - In: Borsa Istanbul Review 22 (2022) 2, pp. 321-331
Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables for the daily BIST 30 index and BIST 30 index...
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
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Time-discrete hedging of down-and-out puts with overnight trading gaps
Baule, Rainer; Rosenthal, Philip - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-20
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underlying is already close to the barrier and the...
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102
The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY)...
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Applying the central clearing mandate : different options for different markets
Kiff, John; Gullo, Alessandro; Hillier, Cory; … - 2022
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Arbitrage with financial constraints and market power
2022
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Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges
Emm, Ekaterina E.; Gay, Gerald D. - In: The journal of futures markets 42 (2022) 5, pp. 823-851
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CDS market structure and bond spreads
Bilan, Andrada; Gündüz, Yalın - 2022
We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our identification strategy exploits the exogenous exit of a large dealer from the single-name CDS market as well as granular data on CDS transactions and bond portfolio holdings of German...
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The no-arbitrage hypothesis and inertia in forward markets
Ferreira García, José Luis; Kujal, Praveen; Rassenti, … - 2022
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Implied Market Expectations on Interest Rate Derivatives Market
Almeida, Thiago; Arismendi-Zambrano, Juan; Reboredo, Juan C. - 2021
This paper examines the forecast power of subsets of the option-implied interest rate derivatives’ expectations. We use a string market model with three factors to extract the implied risk-neutral volatility of the short-end interest rate term structure. Using data from the Brazil derivatives...
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The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing
Arismendi-Zambrano, Juan; Belitsky, Vladimir; Amorim … - 2021
This paper investigates the counterparty credit risk of interest rate swaps positions using the credit valuation adjustment (CVA) measure, and examines the potential dependency relationships between the probability of default (PD) and exposure at default (EAD). We empirically tested, using...
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The M-Vector Model : Derivation and Testing of Extensions to M-Square
Nawalkha, Sanjay K.; Chambers, Donald R. - 2021
This article derives and tests a multiple-factor extension of the M-square model (see Fong and Vasicek [1984] and Fong and Fabozzi [1985]), termed as the M-vector model. Tests of the M-square model indicate that the model reduces the interest rate risk inherent in the traditional duration model...
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Spillovers of cum-ex and cum-cum trading with single stock futures
Laturnus, Valerie; Reichel, Arne; Wahrenburg, Mark - 2021
We examine single stock future (SSF) trading and respective underlyings around dividend ex-dates to study a specific form of dividend tax arbitrage, widely known as cum-ex and cum-cum trading, across Europe. Both strategies are designed to profit from illicit refunds of tax withheld from...
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A Macro Hedge for Implicit Options of Type §489
Miemiec, André - 2021
This paper considers loans containing implicit options according to §489 of the German civil code. Assuming a risk neutral framework a generalisation of the simple case of a 1:1 micro-hedge to the more advanced case of a macro-hedge will be presented. For this purpose, the proposed hedging...
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Derivatives and Market (Il)liquidity
Huang, Shiyang; Yueshen, Bart Z.; Zhang, Cheng - 2021
We study how derivatives (with nonlinear payoffs) affect the liquidity of the underlying asset. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect investors’ utility differently,...
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Futures Contract Collateralization and its Implications
Jarrow, Robert; Kwok, Simon - 2021
Defining a futures return as the rate of change of futures prices, as done in many empirical studies, implicitly implies that a futures contract is fully collateralized. We adjust futures' returns to explicitly account for holding the minimum margin (collateral) and the return to this...
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Financial Derivatives During the COVID-19 Health Crisis
Al Janabi, Mazin A. M. - 2021
La versión española de este artículo se puede encontrar en: http://ssrn.com/abstract=3858999During the last years, there has been an increase in the use of derivative instruments, in addition to significant losses reported by companies and financial institutions, putting the appropriate use...
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Pricing Exotic Derivatives for Cryptocurrency Assets - A Monte Carlo Perspective
Alfeus, Mesias; Kannan, Shiam - 2021
In the current paper, we develop a methodology to price lookback options for cryptocurrencies. We propose a discretely monitored window average lookback option, whose monitoring frequencies are randomly selected within the time to maturity, and whose monitoring price is the average asset price...
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Delta Hedging of Derivatives using Deep Reinforcement Learning
Giurca, Alexandru; Borovkova, Svetlana - 2021
Building on previous work of Kolm and Ritter (2019) and Cao et al. (2019), this paper explores the novel application of Deep Reinforcement Learning for Delta Hedging of options in an utility based framework where an agent is faced with a trade-off between hedging error and transaction costs...
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The Governance Role of Auditors : Evidence from Derivative Lawsuits
Shu, Susan; Li, Xu; Xin, Qian - 2021
This paper examines whether external auditors play a unique governance role distinct from other mechanisms of corporate governance. We exploit the staggered adoptions of the Universal Demand (UD) laws by U.S states, which have been shown to result in the decline of various corporate governance...
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An Empirical Study on Relationship between Future and Spot Price
Basha.V, Prof. Jeelan - 2021
Gold is a chemical element with symbol Au (from Latin: aurum) and atomic number 79. In its purest form, it is a bright, slightly reddish yellow, been a valuable and highly sought long before the beginning of recorded history. The world consumption of new gold produced is about 50% in jewellery,...
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Product Options
Madan, Dilip B.; Wang, King - 2021
Options paying the product of put and or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...
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Pricing Analysis of Wind Power Derivatives for Renewable Energy Risk Management
Kanamura, Takashi; Homann, Lasse; Prokopczuk, Marcel - 2021
The objective of this study is to analyse the theoretical pricing of wind power derivatives, which is important for renewable energy risk management but has a problem in the pricing due to the illiquidity of the assets and to show the application of the theory to the practical implementation of...
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Credit Derivatives and Corporate Default Prediction
Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021
There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...
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On micro-Corporate-Governance (micro-CG) issues regarding the Malliaris Single-Sentence (MSS) Derivation of the Black-Scholes-Merton (BSM) Equation, as a demonstration that Derivat...
Wurts, Henry - 2021
The Black-Scholes-Merton (BSM) Equation, a deterministic fundamental partial differential equation (PDE) used to characterize price-movement of broad derivative financial instruments based on a stochastic representation of price-movement of a primitive financial instrument, can be derived from a...
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Financially Constrained Index Futures Arbitrage
Glover, Kristoffer J.; Hulley, Hardy - 2021
We develop two models for index futures arbitrage that take the financing constraints faced by real-world arbitrageurs into account. Our models predict that the price of an index futures contract and the value of its underlying index should deviate further from their theoretical cost-of-carry...
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The Impacts of Futures Introduction on Spot Market Volatility : Evidence from the Bitcoin Market
Zhang, Chuanhai; Ma, Huan; ARKORFUL, GIDEON BRUCE; Peng, Zhe - 2021
The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic. Conflicting results had been obtained with different sample periods and methodologies. To address this debate, this study examines the impacts of Bitcoin futures trading on spot market...
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An Analysis of the Stabilizing and Welfare Effects of Intervention in Spot and Futures Markets
Campbell, Robert B.; Turnovsky, Stephen J. - 2021
This paper analyzes the effects of three alternative rules on the long-run distributions of both the spot and futures prices ina single commodity market, in which the key behavioral relationships are derived from the optimizing behavior of producers and speculators.The rules considered include:...
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An Analysis of Accounting Treatment for Agri-Commodity Derivatives Under IFRS
D, Preetham; Mahadevappa, B. - 2021
IFRS 7 and 9 have requirement, for recognition, measurement and disclosure of derivatives. Derivatives include futures and options for hedging foreign currency risks, interest rate risk, price risk etc. Derivatives include financial and commodity derivatives, commodity derivatives are of recent...
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FASB Disclosure and Bank Loan Contracting : Evidence from Derivative and Hedging Footnotes
Chen, Yi; Zhou, Qing; Han, Jianlei - 2021
This paper is the first to study the effect of enhanced derivative and hedging footnote disclosures on information asymmetries in bank loan contracting. Utilizing the issuance of SFAS 161, we employ a difference-in-differences design to evaluate 3,732 bank loans for 1,126 firms in the United...
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Predicting Future Implied Volatility Surface Using TDBP-Learning
Bloch, Daniel Alexandre; Böök, Arthur - 2021
Parametric volatility models can be seen as the result of some form of dimensionality reduction obtained by projecting the volatility surface into a basis of risk factors. Examples include polynomial models and stochastic volatility models having an explicit expression for the smile, such as the...
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Mark-to-Market (or Wealth) Taxation in the U.S : Evidence from Options
Mason, Paul; Utke, Steven - 2021
Recent U.S. tax proposals under various names (e.g., wealth taxes, estate tax reform, etc.) center on mark-to-market (MTM) taxation, which eliminates investors’ ability to defer or avoid capital gains taxes. To provide insight on potential effects of these tax proposals, we exploit a unique...
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The Cost of Hedging XVA
Burnett, Benedict; Williams, Ieuan - 2021
We generalise the results of Burnett (2021) to obtain a formula for the Hedging Valuation Adjustment (HVA) that is consistent with other XVAs. This HVA incorporates friction effects due to hedging both the underlying asset and counterparty credit, along with a contribution from hedge unwinds...
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Volatility Derivatives for Children
Rolloos, Frido - 2021
We describe the steps required to approximately price volatility derivatives by making use of only three near the money vanilla index options per maturity. The only assumption we make is that the index process is a diffusion with a volatility process that does not depend on the index level. No...
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Predictive Power of Implied Volatility of Structured Warrants : Evidence from Singapore
Ismail, Najmi; Mohamad, Azhar; Sifat, Imtiaz; Hamid, Zarinah - 2021
This paper examines the information content of implied volatility of structured call warrant in the Singapore Stock Exchange (SGX). The study is the first to examine implied volatility of equity options (structured warrants) outside the US. Using a daily dataset for 252 trading days for a period...
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A Black-Scholes User's Guide to the Bachelier Model
Choi, Jaehyuk; Kwak, Minsuk; Tee, Chyng Wen; Wang, Yumeng - 2021
To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical...
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Optimal Hedging Strategies for Options in Electricity Futures Markets
Hess, Markus - 2021
In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...
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Investment Performance of Derivative based Investment Strategies : Empirical Evidence
Bajaj, Sushil; Choudhary, Kapil - 2021
Empirical literature on finance indicates numerous investment strategies based on fundamental factors such as price-earnings ratio, book to market ratio, size effect, value premium etc. to magnify the returns of investor in investment jargon. In the present paper, an attempt has been made to...
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The Future of FATCA : Concerns and Issues
Paul, John - 2021
While tax evasion is an enormous problem, FATCA is not a solution to the problem. FATCA was primarily created to deal with the weaknesses of the QI system but it has turned out to be a case of overregulation that infringes upon the rights of Americans who live abroad. A strengthening of the QI...
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Derivative Pricing with Two Collateral Rates
Henrard, Marc P. A. - 2021
This note analyses derivative pricing in the context of a collateral rate switch during the life of a financial product or the existence of two overnight rates. In particular we analyse the impact of forward change of collateral, the impact on OISs when the collateral rate is different from the...
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The price effects of innovative security design
Célérier, Claire; Liao, Gordon; Vallée, Boris - 2021
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Some classical directional derivatives and their use in optimization
Giorgi, Giorgio - 2021
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An unintended consequence of holding dollar assets
Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu - 2021
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Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Guterding, Daniel - In: The Journal of finance and data science : JFDS 7 (2021), pp. 126-142
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price of VSTOXX futures through a combination of stochastic...
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Examination of the relationship between derivative financial instruments and the economic development of Lithuania
Garskaite-Milvydiene, Kristina; Martinkute-Kauliene, … - In: Contemporary economics 15 (2021) 2, pp. 240-255
Derivative financial instruments play a major role in financial markets. However, there are rather contradictory views regarding this issue. Their impact on the financial markets, their stability and the economy have not been thoroughly examined. The aim of this paper is to analyse derivatives...
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Equity funds and derivatives: evidence from linked fund-trade data
Bias, Daniel; Guagliano, Claudia; Haferkorn, Martin; … - 2021
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The risk of development of Lithuanian derivatives markets
Garškaitė-Milvydienė, Kristina - In: Journal of business economics and management 22 (2021) 2, pp. 346-368
Derivative financial instruments play a very important role in financial markets, but they are seen as rather contradictory and their impact on financial markets and the stability of these markets has not been comprehensively examined. Therefore, the aim of this article is to systematise the...
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Regulatory arbitrage : what's law got to do with it?
Langenbucher, Katja - In: Accounting, Economics, and Law : AEL ; a convivium 11 (2021) 2, pp. 91-117
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Three projects in the new law and finance
Awrey, Dan - In: Accounting, Economics, and Law : AEL ; a convivium 11 (2021) 1, pp. 9-25
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