Results 51 to 60 of about 190,252 (236)

Stock Price Dynamics and Option Valuations under Volatility Feedback Effect [PDF]

, 2012
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio.
Kanniainen, Juho, Piché, Robert
core   +2 more sources

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options [PDF]

Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Egelkraut, Thorsten M., Garcia, Philip
core   +4 more sources

Uncertainty about interest rates and crude oil prices

Financial Innovation
The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and financial institutions. We show that the 10-year Treasury yield’s forward-looking volatility, a VIX-style measure that is a proxy for ...
Mahmoud Qadan, Gil Cohen
doaj   +1 more source

Measuring Efficiency of South American Foreign Exchange Derivatives Market in Minimizing Currency Risk

Journal of Management and Research, 2015
This paper attempts to reveal whether the foreign exchange (FX) derivatives market effectively and efficiently reduces the volatility to foreign exchange rate fiuctuations.
RAAD MOZIB LALON
doaj   +1 more source

Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model [PDF]

The Journal of Fixed Income, 2000
This article presents a number of new ideas concerned with implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities the market uses to price European swap options from the volatilities used to price interest rate caps.
Alan White, John Hull
openaire   +2 more sources

Forward Starting Option Pricing under Double Fractional Stochastic Volatilities and Jumps

Fractal and Fractional
This paper aims to provide an effective method for pricing forward starting options under the double fractional stochastic volatilities mixed-exponential jump-diffusion model.
Sumei Zhang, Haiyang Xiao, Hongquan Yong
doaj   +1 more source

Structural Change in Forward Contracting Costs for Kansas Wheat

Journal of Agricultural and Resource Economics, 2014
Farmers use forward contracts to eliminate adverse price and basis movements prior to harvest. Since late 2007, the local basis for Kansas wheat has changed dramatically relative to historic levels, causing greater risk exposure for elevators offering ...
Mykel Taylor, Glynn Tonsor, Kevin Dhuyvetter   +2 more
doaj   +1 more source

PRICE VOLATILITY, EXPECTATIONS AND MONETARY POLICY IN NIGERIA [PDF]

Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2009
The study has as its objectives, to determine the influence of price volatility and price expectation in the rate of inflation as a measure of the price level.
Ajimuda Olumide
doaj  

Exchange Rate Exposure and Optimal Hedging Strategies when Interest Rates are Stochastic: a Simulation-Based Approach

Estudios de Administración, 2003
In this paper i analyze the problem faced by an investor expecting to receive a cash flow in a foreign currency. The investor is assumed to be exposed to long-term exchange rate risk, having no access to long-term forward contracts to hedge perfectly ...
Augusto Castillo R.
doaj   +1 more source

Measuring the atmospheric organic aerosol volatility distribution: a theoretical analysis [PDF]

Atmospheric Measurement Techniques, 2014
Organic compounds represent a significant fraction of submicrometer atmospheric aerosol mass. Even if most of these compounds are semi-volatile in atmospheric concentrations, the ambient organic aerosol volatility is quite uncertain.
E. Karnezi, I. Riipinen, S. N. Pandis
doaj   +1 more source