Download or read book Two Essays on Derivatives written by Riza Demirer and published by . This book was released on 2003 with total page 125 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 in Derivatives written by Don M. Chance and published by . This book was released on 1998 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Two Essays on Interest Rate Derivatives written by Ani Sanyal and published by . This book was released on 1999 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Merton Miller on Derivatives written by Merton H. Miller and published by John Wiley & Sons. This book was released on 1997-08-25 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses Buch ist die sorgfältig umgeschriebene und redigierte Bearbeitung von Reden und Aufsätzen des Nobelpreisträgers Merton Miller, die seine persönlichen Einschätzungen des Marktes widerspiegeln. Gut verständlich wird die Problematik der Derivative sowie wichtige Themen der modernen Finanzwelt - jedoch ohne mathematische Formeln - erörtert. (10/97)
Download or read book Three Essays in Theoretical and Empirical Derivative Pricing written by Ali Boloorforoosh and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Two Essays on the Exchange Listed Volatility Derivatives written by Yuqin Huang and published by Open Dissertation Press. This book was released on 2017-01-28 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Two Essays on the Exchange-listed Volatility Derivatives" by Yuqin, Huang, 黃瑜琴, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4327871 Subjects: Derivative securities - Prices - Mathematical models
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 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:
Download or read book Two Essays on the Exchange listed Volatility Derivatives written by Yuqin Huang (Ph. D.) and published by . This book was released on 2009 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Derivatives Pricing in Incomplete Financial Markets written by Qimou Su and published by . This book was released on 2007 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Not available.
Download or read book Essays on Derivatives written by Rodolfo Alejandro Oviedo-Helfenberger and published by . This book was released on 2005 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation comprises three essays that study three distinct derivative contracts. The first essay proves, in a model-free framework, that early exercise of futures-style options on futures, whether calls or puts, is suboptimal. The result is robust to transaction costs, liquidity constraints and collateral requirements. Assuming a frictionless market, three additional model-free results are obtained: (i) put-call parity, (ii) equality of time values of puts and calls with the same strike and expiration, and (iii) positivity of time value before expiration. The second essay develops a new invoice price formula for Treasury bond futures contracts as a more effective alternative to the current conversion factor system. The equilibrium "cheapest to deliver" and futures price at expiration are identified. The empirical part of the essay documents that the new function dramatically improves the ability of the futures invoice price to approximate the market prices of the corresponding deliverable bonds. The third essay offers a regression-based empirical study of the determinants of credit default swap premia. Leverage, volatility and interest rates are found to account for a large percentage of the variation of premia. A principal components analysis of the regression residuals finds no evidence of a missing factor. The results achieved for credit default premia more closely corroborate structural models of credit risk than those obtained by Collin-Dufresne et al. (2001) for corporate bond yield spreads." --
Download or read book Three Essays in Derivatives written by Ivilina Tomova Popova and published by . This book was released on 1996 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Derivatives Pricing written by Marko Petrov and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In the first part, by using convexity, we employ a fast algorithm to obtain upper and lower price bounds for a classical (univariate) European option written on a discrete-dividend-paying Black-Scholes asset in closed form, and show that those bounds converge to the true option price. The errors introduced decrease with the square of the discretisation step used and scale with the option's gamma. Extension to price bounds for a bivariate European call-on-the-maximum of two underlying assets is presented. Prices of other bivariate European options can then be found through put-call/min-max parity relations. The second part derives the future Expected Exposure expressions for several Inflation-Indexed-Swaps under a stochastic model for inflation, used to find a closed-form solution for the Credit Value Adjustment (CVA). The CVA of a Zero-Coupon-Inflation-Indexed-Swap is obtained analytically. For a Year-on-Year-Inflation-Indexed-Swap and for a portfolio of Zero-Coupon-Inflation-Indexed-Swaps, semi-analytical solutions based on moment-matching-approximations are derived. Extensive tests using Monte Carlo simulations show that the formulas provide very fast and accurate methods. Third part shows how equilibrium bid-ask spread for European derivatives arises in dry markets (the underlying asset may not be traded at all points in time, generating market incompleteness), even under symmetric information and absence of transaction costs. In a one period model, for monopolistic risk-neutral market-makers we fully characterise the bid-ask spread within the no-arbitrage bounds, whereas for oligopolistic risk-neutral market-makers, we prove that there is no pure symmetric Nash equilibrium of the game and that a bid-ask spread can only exist under a mixed strategy equilibrium."--Samenvatting auteur.
Download or read book Essays on Financial Derivatives written by Atilim Murat and published by . This book was released on 2007 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Pricing Equity and Commodity Derivatives written by Sang Baum Kang and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis consists of two essays on the pricing of equity and commodity derivatives. In the first essay, we investigate overpricing of call options. A recent empirical study by Constantinides, Czerwonko, Jackwerth and Perrakis (2011) documents that S&P 500 Index call options are frequently overpriced in the sense that any rational agent can improve her expected utility by writing these calls. Little work has addressed why such apparent mispricing is so common. We show that such overpricing of call options is consistent with equilibrium in an economy where investors have portfolio constraints and heterogeneity in beliefs on both expected return and volatility. Within our model, call options are overpriced when belief dispersion is large and the capacity of liquidity providers is small. Empirically, we propose a model-free methodology to investigate the determinants of option overpricing and verify my explanation. The findings are robust to various implementations of the empirical study.In the second essay, we study the variance risk premia calculated from the crude oil futures and options market in a model-free way. First, we establish that the variance risk premia are negative for various maturities, a finding that reflects the compensation for crude oil option writers. While the existing literature focuses on one month maturity, we analyze maturities beyond one month because commodity hedging demands for futures and options often have longer horizons. Furthermore, for the first time in the literature, we document that the variance risk premia predict the commodity futures returns after several information variables, such as storage level and hedging pressure, are controlled for. The finding is robust across various implementations of predictive regressions and out-of-sample tests. Finally, we develop a stylized economic model to show that the hedge demand for both futures and options may explain such predictability." --
Download or read book Essays on Pricing of Derivatives with Interest Rate Credit and Equity Risks written by Ravi Shanker Mateti and published by . This book was released on 2007 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Then we show how the Das and Sundaram model can be extended to price convertible bonds which have a peculiar conversion feature; these bonds are convertible not into the stock of the bond issuer, but into the stock of a different company. We also test the empirical performance of this extended model.
