Download or read book Essays on the Economics of Derivatives Markets written by Christophe Pérignon and published by . This book was released on 2001 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dans cette thèse de doctorat, nous abordons trois problématiques de la théorie des produits dérivés, en apportant pour chacune d'entre-elles un éclairage empirique. Dans le premier chapitre, nous proposons un modèle théorique d'évaluation d'options où deux sources de discontinuités sont considérées: l'arrivée d'informations prévues et imprévues. En nous basant sur un échantillon d'options suisses, nous comparons la performance empirique du modèle proposé avec celle des modèles classiques d'évaluation d'options. Dans le deuxième chapitre, nous étudions la dynamique de la volatilité implicite autour des annonces de bénéfices des firmes suisses. Une étude empirique sur le marché suisse entre 1989 et 1998 est proposée. Dans le troisième chapitre, des méthodes d'extraction d'informations sont appliquées à une base de données à haute fréquence d'options françaises. Les fonctions d'aversion relative au risque estimées sont positives et consistante avec l'hypothèse d'aversion relative au risque constante (CRRA).

Download or read book Three Essays in Financial Markets The Bright Side of Financial Derivatives Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.

Download or read book Essays on Modern Derivatives Markets written by Anestis Keremis and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.

Download or read book Essays on the Relations Between Derivatives and Underlying Asset Or Commodity Markets written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Social Life of Financial Derivatives written by Edward LiPuma and published by Duke University Press. This book was released on 2017-10-19 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Social Life of Financial Derivatives Edward LiPuma theorizes the profound social dimensions of derivatives markets and the processes, rituals, and belief systems that drive them. In response to the 2008 financial crisis and drawing on his experience trading derivatives, LiPuma outlines how they function as complex devices that organize speculative capital as well as the ways derivative-driven capitalism not only produces the conditions for its own existence, but also penetrates the fabric of everyday life. Framing finance as a form of social life and highlighting the intrinsically social character of financial derivatives, LiPuma deepens our understanding of derivatives so that we may someday use them to serve the public well-being.

Download or read book The Economics of Derivatives written by T. V. Somanathan and published by Cambridge University Press. This book was released on 2015-03-02 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the beneficial and adverse effects of derivatives trading from economic theory and the recent economic history.

Download or read book Essays in Derivatives Markets written by Mathis Mörke and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Modern Derivatives Markets written by Søren Bundgaard Brøgger and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Monetary Policy and Financial Markets written by Fatma S. Tepe and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the interaction between macroeconomic aggregates and financial markets in two different essays. The expansion of derivatives markets has prompted interest in estimating options-implied measures to analyze market participants’ beliefs about future movements in the prices of these derivatives’ underlying assets and the probability these participants assign to unlikely events (see Datta et al., 2014). In this spirit, analyzing oil market is important for two main reasons. First, among all commodities, crude oil futures and derivatives are the most traded and liquid asset in the whole commodity market. Second, the informational content of oil derivatives can be indicative of shifts in global economic expectations which may be of interests to producers, investors and policy makers. Because the risk neutral density (RND, hereafter) consists of information from various option series that have a wide range of strike prices and maturities, we can conjecture more detailed effects of news announcements on market sentiment by investigating the changes in the RND. Chapter 1 links the crude oil market to macroeconomic risk by studying the RND around the U.S. macroeconomic news announcements. I use a non-parametric method to recover the RND and conduct regression analysis using daily data. The analysis provides several noteworthy results. First, I find that the RND is systematically affected by certain macroeconomic news announcements. Second, after controlling for the content of the news, my results indicate that good news tend to make the distribution less negatively skewed, whereas bad news have an opposite effect. However, I do not find any systematic pattern between the content (bad/good) of the news and the implied volatility or kurtosis. Hence, my results show that better/worse-than-expected news in macroeconomic announcements may both increase and decrease implied volatility and kurtosis of the option implied distribution. Finally my estimates obtained from nonlinear regressions display that the magnitude of the surprise may play into this effect; for example worse-than-expected news in Housing Starts announcement decrease the implied volatility and increase the implied kurtosis only when the size of surprise is not too large. How should a central bank conduct monetary policy in the presence of financial shocks? In Chapter 2, I use different nonlinear policy rules and address this question. Most empirical work on monetary policy relies on simple linear policy rules, however it is not clear whether such a rule can be an adequate representation of a process as complex as that of monetary policy. I first estimate Markov Switching Taylor rules with constant transition probabilities to allow for state-contingent policy making during 1987.3-2008.4. As a proxy for financial stress, I use the Adjusted National Financial Conditions Index constructed by the Chicago Fed. Then, I allow transition probabilities driving the monetary policy stance to vary over time and be a function of economic and financial indicators. The paper provides clear-cut evidence that, during the Greenspan-Bernanke tenure, the U.S. monetary policy can be characterized falling into two distinct regimes; a conventional regime where the Fed puts a greater emphasis on targeting inflation while stabilizing the economic outlook and a distressed regime where the Fed responds aggressively to output gaps and is less concerned with inflation. The distressed regime is closely correlated with times of financial imbalances. The empirical results show that nonlinear models outperform the simple linear specification in terms of model fit and the ability to track the actual interest rate. Also, the economic and financial indicators are found to be informative in dating the evolution of the state of the monetary policy stance. The results have implications for nonlinear rules to be a useful guideline for forecasting and policy analysis.

Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.

Download or read book Are financial derivatives good or bad Benefits and threats of using financial derivatives written by Sinan Tunbek and published by GRIN Verlag. This book was released on 2019-06-04 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2016 in the subject Economics - Finance, grade: 2,7, University of Mannheim, course: The Evolution of Financial Markets, language: English, abstract: In the essay the author discusses some of the most important risks and threats of using financial derivatives by explaining them. The essay deals with questions like: Are financial derivatives really a threat for firms and, worse, for the whole economy? Do they increase welfare? If yes, who benefit the most? Are there losers? Warren Buffet, without any doubt one of the most famous investors of the world, once referred to financial derivatives as “Financial weapons of mass destruction”. Ed Murray, practicing lawyer and senior member of the Allen & Overy team advising ISDA (International Swaps and Derivatives Association), states that derivatives played an important role and worsened the Financial Crisis. Many more influential people seem to point accusing fingers to financial derivatives, stating that derivatives may bear significant problems people are underestimating. Since the derivatives market have been growing immensely since the 1970s to todays unbelievable estimated notional value of 1,2 quadrillion US dollars, more than ten times the gross world product (107,5 trillion US dollars), financial derivatives play an extremely important and growing role in todays financial system. Therefore we should be aware of the problems, risks and threats coming with the usage of derivatives instrument.

Download or read book Essays on the Modeling of Risks in Interest rate and Inflation Markets written by Allan Sall Tang Andersen and published by . This book was released on 2011 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topic of this thesis is the modeling of risks in interest-rate and inflation markets. Interest-rate risk is an important issue to investors. For instance, according to BIS (2010) the notional value of over-the-counter interest-rate derivatives markets is 465,260 billion US-dollar. This corresponds to 77 percent of the notional of the entire OTC derivatives market. Thus interest-rate derivatives is at the back-bone of the financial markets. According to ISDA (2009) 83 percent of Fortune 500 companies report using interest-rate derivatives in their risk management. Furthermore, many mortgage-based loans and pension contracts contain either explicit or implicit interest-rate options. Thus a better understanding of the interest-rate derivative markets, and the risk associated with the traded products is of great value, both to financial and non-financial companies as well as individuals....

Download or read book Three Essays on Financial Economics written by Haonan Qu and published by . This book was released on 2011 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I explore the interactions between financial markets and real economy activities. In the first chapter, I use the evidence from an emerging market to study how the development of its financial system could affect activities in its real economy. In the second chapter, I look at excess returns in the US treasury bond market and try to understand the economic fundamentals driving the risk premia. In the final chapter, I examine corporate financing decisions using publicly traded firms in the US. The patterns in their financing decision can be partially explained by the information embedded in the financial market. To what extent the development of sophisticated financial markets benefits emerging economies is an open question. In the first chapter, I use a unique data set on all currency derivative transactions by non-financial firms in 2006 and 2007 in Colombia to provide new evidence on one aspect of this question: the effect of participation in derivatives markets on firm capital formation. I use a difference-in-difference propensity score matching approach in order to control for self selection and common trends. I find a large positive effect: firms using currency derivatives invest on average 5.7 percent more, which is about 40 percent of their average investment rate. This investment-enhancing effect is entirely driven by firms taking long positions (i.e. dollar buying) in the derivatives market. For firms taking short positions, typically exporters, the use of derivatives does not have any discernible impact on investment. One possible explanation is the asymmetry in the impact of the exchange rate movement on exporting and importing firms. In the second chapter, I propose a latent variable approach within a present value model to estimate the expected short rate changes and bond risk premia. This approach aggregates information contained in the history of yield spreads and short rate changes to predict future bond excess returns and short rate changes. I find that the factor from Cochrane and Piazzesi (2005) fails to predict bond excess returns when I consider different maturities of the underlying short rate. From the proposed present value model, I find a significant predictable component in short rate changes with R-square ranging from 29 precent to 80 percent, and a moderate R-square about 12 percent for predicting bond excess returns. Both expected short rate changes and bond risk premia have a persistent component, but bond risk premia are more persistent than expected short rate changes. In addition, the bond risk premia become more persistent as I increase the maturity of the underlying short rate. Finally, I explore the source of the time variation in bond risk premia, and find that monetary policy plays an important role. In the third chapter, I document a strongly decreasing time trend in firms' leverage ratio at their IPO years over the period from 1975 to 2006. This trend survives when typical factors are controlled for, including industry fixed effect. Furthermore, I find that firms listed more recently are more adverse to debt financing. A deeper examination shows that the risk associated with firm's operation provides a limited explanation for this finding. However, the underpinnings of the observed pattern of firms' leverage ratios at IPO are still largely unresolved.

Download or read book Derivatives and the Wealth of Societies written by Benjamin Lee and published by University of Chicago Press. This book was released on 2016-11-02 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives were responsible for one of the worst financial meltdowns in history, one from which we have not yet fully recovered. However, they are likewise capable of generating some of the most incredible wealth we have ever seen. This book asks how we might ensure the latter while avoiding the former. Looking past the usual arguments for the regulation or abolition of derivative finance, it asks a more probing question: what kinds of social institutions and policies would we need to put in place to both avail ourselves of the derivative’s wealth production and make sure that production benefits all of us? To answer that question, the contributors to this book draw upon their deep backgrounds in finance, social science, art, and the humanities to create a new way of understanding derivative finance that does justice to its social and cultural dimensions. They offer a two-pronged analysis. First, they develop a social understanding of the derivative that casts it in the light of anthropological concepts such as the gift, ritual, play, dividuality, and performativity. Second, they develop a derivative understanding of the social, using financial concepts such as risk, hedging, optionality, and arbitrage to uncover new dimensions of contemporary social reality. In doing so, they construct a necessary, renewed vision of derivative finance as a deeply embedded aspect not just of our economics but our culture.

Download or read book Three Essays on Derivatives Markets written by Qianyin Shan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: