Results 311 to 320 of about 2,210,161 (360)
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Common Forward Rate Volatility
SIAM Journal on Financial Mathematics, 2010Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and a diffusion.
Victor Goodman, Kyounghee Kim
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Competitive trading in forward and spot markets under yield uncertainty
Production and operations management, 2022Many agricultural commodities are traded in both forward and spot markets. This paper studies the interplay of random yield and forward market in a hybrid market with spot and forward transactions.
Lusheng Shao, Derui Wang, Xiaole Wu
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Quantifying the sources of volatility in the IFRS 9 impairments
South African Journal of Accounting Research, 2021The International Financial Reporting Standards (IFRS) 9 accounting standard gives rise to impairments that are sensitive to the economic cycle. Rules around stage migration and the incorporation of forward-looking information lead to volatility in the ...
Y. Stander
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Journal of Management Information Systems, 2021
Drawing on the resource-based view (RBV) of the firm and the top management team (TMT) structural power framework, we investigate the relationship between Chief Information Officer (CIO) structural power and forward-looking firm performance. In addition,
Cong Feng, Pankaj C. Patel, Scott A. Fay
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Drawing on the resource-based view (RBV) of the firm and the top management team (TMT) structural power framework, we investigate the relationship between Chief Information Officer (CIO) structural power and forward-looking firm performance. In addition,
Cong Feng, Pankaj C. Patel, Scott A. Fay
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2015
For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
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For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
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Volatility Transmission in the Real Estate Spot and Forward Markets
The Journal of Real Estate Finance and Economics, 2005How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as well as between spot and futures markets.
Yiu, CY, Chau, KW, Wong, SK
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Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations
SSRN Electronic Journal, 2016Ahead of the 23rd June UK referendum on "Brexit", this note provides a technique for estimating the Forward (at referendum date) At The Money Forward (ATMF) implied volatility for equity or FX Indexes. We provide a closed form formula for the forward underlying expected moves (for short terms maturities) post the referendum date.
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Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
Journal of futures markets, 2021Yanping Zhao, Zaghum Umar, Xuan vinh Vo
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Evidence of forward discount determinants and volatility behavior
Journal of Economic Studies, 1998This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount volatility. Results also suggest that foreign central bank reserves
Maria Sophia Aguirre, Reza Saidi
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TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
Mathematical Finance, 2010Extending the author's previous work [Math. Finance 18, No. 3, 427--443 (2008; Zbl 1141.91452)], where the bivariate support has been investigated, the present paper provides a description of the trivariate support of a flat-volatility Libor market model. More precisely, the author considers a Libor rate model \(L^1, \ldots, L^n\), where the last three
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