Download or read book Hedging Impacts of Covered Warrants on the Spot Market written by 劉文讓 and published by . This book was released on 2010 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Derivatives Hedging on Stock Market written by San-Lin Chung and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life of warrants, we can estimate the number of shares bought or sold for rebalancing the hedging portfolio and measure its impact. We find significant positive abnormal returns and trading volumes before the announcement day of warrants issuance, suggesting that issuers establish their hedging portfolios before the announcement day. The magnitude of the price effect is positively related to the size of the hedging portfolio. Moreover, there is a significantly positive relationship between stock return volatility and the price elasticity of hedging demand (defined as the percentage of shares needed for rebalancing hedge portfolio when the underlying stock price changes 1%). Finally, we also observe significantly negative price effect to the underlying stock before (after) the expiration date for call warrants that are expired out-of-the-money (in-the-money). For call warrants expired in-the-money, the negative price impact is due to the fact that warrants traded in TWSE are cash settlement when exercised, and thus the issuers have to liquidate the hedging portfolio after expiration, which results in selling pressure on the underlying stock.
Download or read book Option Bid Ask Spread and Scalping Risk written by Giovanni Petrella and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and empirically tests a simple market microstructure model to capture the main determinants of option bid-ask spread. The model is based on option market making costs (initial hedging, rebalancing, and order processing costs), and incorporates a reservation bid-ask spread that option market makers apply to protect themselves from scalpers. The model is tested on a sample of covered warrants, which are optionlike securities issued by banks, traded on the Italian Stock Exchange. The empirical analysis validates the model. The initial cost of setting up a delta neutral portfolio has been found to be an important determinant of option bid-ask spread, as well as rebalancing costs to keep the portfolio delta neutral. This result provides evidence of a further link between options and underlying assets: the spread of the option is positively related to the spread of its underlying asset. Empirical evidence also indicates that the reservation bid-ask spread, computed as the product of option delta and underlying asset tick, plays a very important role in explaining the bid-ask spread of options.
Download or read book Andrew Mchattie on Covered Warrants written by Andrew McHattie and published by Harriman House Limited. This book was released on 2002 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: The traditional company warrants market is set to be eclipsed by a new market which should offer huge opportunities for active investors. Revised regulations have paved the way for a new 'covered warrants' market in London.- The number of warrants available for trading by private investors on the London Stock Exchange (LSE) will multiply many times over.- Warrants will become available on a broad range of blue-chip companies, sector baskets, and on both UK and overseas indices.- Investors will be able to buy both calls and puts.- The vast majority of the new warrants will be exercisable for cash which will mean they can be traded free of stamp duty.This book is intended as a primer for investors new to covered warrants, although more experienced investors may also find some value in the timely information about the formation of the new market in London. Readers used to dealing in traditional listed warrants in the UK will find the new covered warrants quite different. Jargon is unavoidable, but it is explained in the text and in the glossary at the back.
Download or read book International Handbook of Convertible Securities written by Thomas Noddings and published by Routledge. This book was released on 2013-12-16 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2001. The revision of this important work contains all new data on the long-overlooked convertible securities market. It offers invaluable information on the analytical as well as the statistical tools which investors need to add quality to their investment portfolios. Topics include: * Convertible securities as an asset class and as an alternative investment * Market capitalization of convertible securities * An overview of the equity warrant market * Special provisions in the warrant markets * Finding undervalued warrants * Convertible bond hedging strategies * Portfolio management.
Download or read book Federal Register written by and published by . This book was released on 2014 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book How to Win as a Stock Market Speculator written by Alexander Davidson and published by Kogan Page Publishers. This book was released on 2004 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: City expert Alex Davidson reveals the secrets of making money as a stock market speculator. Offering trading methods for up and down markets, How to WIn as a Stock Market Speculator equips the reader to trade like a professional, showing which financial instruments to use, and how to limit losses and maximize gains.
Download or read book SEC Docket written by United States. Securities and Exchange Commission and published by . This book was released on 1998 with total page 1484 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Accounting Standards Board s Rule written by United States. Congress. House. Committee on Banking and Financial Services. Subcommittee on Capital Markets, Securities, and Government Sponsored Enterprises and published by . This book was released on 1997 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Hedge Funds and Financial Market Dynamics written by Mrs.Anne Jansen and published by International Monetary Fund. This book was released on 1998-05-15 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.
Download or read book Business Week written by and published by . This book was released on 1970 with total page 1188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quarterly Journal of Business and Economics written by and published by . This book was released on 2005 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantitative Finance with Python written by Chris Kelliher and published by CRC Press. This book was released on 2022-05-19 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction to foundational topics in quant finance, such as options pricing, portfolio optimization and machine learning. Simultaneously, the reader benefits from a strong emphasis on the practical applications of these concepts for institutional investors. Features Useful as both a teaching resource and as a practical tool for professional investors. Ideal textbook for first year graduate students in quantitative finance programs, such as those in master’s programs in Mathematical Finance, Quant Finance or Financial Engineering. Includes a perspective on the future of quant finance techniques, and in particular covers some introductory concepts of Machine Learning. Free-to-access repository with Python codes available at www.routledge.com/ 9781032014432 and on https://github.com/lingyixu/Quant-Finance-With-Python-Code.
Download or read book 2008 CCH Accounting for Derivatives and Hedging written by James F. Green and published by CCH. This book was released on 2007 with total page 1304 pages. Available in PDF, EPUB and Kindle. Book excerpt: CCH Accounting for Derivatives and Hedging offers professionals comprehensive guidance for applying the intricate and expansive requirements of FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, and its amendments. Since its issuance, the FASB has amended and interpreted Statement 133 numerous times, making the accounting guidance for derivatives and hedging activities one of the most complex and frequently misunderstood accounting principles used in business today. CCH Accounting for Derivatives and Hedging helps users identify the nuances of accounting for these types of activities and provides practical guidance on how to apply these principles to typical situations currently encountered in practice in numerous types of transactions, including: fair value hedges; interest-rate swaps; cash flow hedges; embedded derivative instruments; net investment hedges; and disclosures. This expansive guide provides professionals with a practical resource by selectively combining information from the official text of the FASB, along with information drawn from the rules and releases of the SEC, consensuses of the EITF, and lessons learned from leading practitioners in the field.
Download or read book Alternative Beta Strategies and Hedge Fund Replication written by Lars Jaeger and published by John Wiley & Sons. This book was released on 2008-10-13 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: There s a buzzword that has quickly captured the imagination of product providers and investors alike: "hedge fund replication". In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures. However, there still lacks a coherent picture on what hedge fund replication means in practice, what its premises are, how to distinguish di erent approaches, and where this can lead us to. Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replication provides a unique focus on replication, explaining along the way the return sources of hedge funds, and their systematic risks, that make replication possible. It explains the background to the new discussion on hedge fund replication and how to derive the returns of many hedge fund strategies at much lower cost, it differentiates the various underlying approaches and explains how hedge fund replication can improve your own investment process into hedge funds. Written by the well known Hedge Fund expert and author Lars Jaeger, the book is divided into three sections: Hedge Fund Background, Return Sources, and Replication Techniques. Section one provides a short course in what hedge funds actually are and how they operate, arming the reader with the background knowledge required for the rest of the book. Section two illuminates the sources from which hedge funds derive their returns and shows that the majority of hedge fund returns derive from systematic risk exposure rather than manager "Alpha". Section three presents various approaches to replicating hedge fund returns by presenting the first and second generation of hedge fund replication products, points out the pitfalls and strengths of the various approaches and illustrates the mathematical concepts that underlie them. With hedge fund replication going mainstream, this book provides clear guidance on the topic to maximise returns.
Download or read book Journal of Banking Finance written by and published by . This book was released on 2001 with total page 1262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Equity Derivatives Handbook written by John Watson and published by Euromoney Publications. This book was released on 1993 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
