Search Results

Showing results 1 to 10 of approximately 83.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Options (Finance) 

Monograph
Instruments of the money market (foreword)

Monograph

Monograph
Instruments of the money market

Monograph

Journal Article
The recent growth of financial derivative markets

This article examines the reasons for the phenomenal growth of financial derivative markets in recent years. The author shows how specific demand forces have largely determined the direction and speed of the derivatives' spread.
Quarterly Review , Volume 17 , Issue Win

Journal Article
Index amortizing rate swaps

As short-term interest rates have declined over the past several years, investors have increasingly sought higher yielding investment vehicles. The index amortizing rate (IAR) swap is one of several new instruments that have been developed in response to this investor demand for yield enhancement. This article explains the structure and pricing of IAR swaps, some of the risks associated with the product, and the uses and growth prospects of the market.
Quarterly Review , Volume 18 , Issue Win

Journal Article
The pricing and hedging of index amortizing rate swaps

Index amortizing rate (IAR) swaps have proved difficult to price because of the complexity of their embedded options. Since these options depend on the path of interest rates, pricing requires a model of interest rate movements. This article uses a simple interest rate model to illustrate the pricing and hedging of an IAR swap.
Quarterly Review , Volume 18 , Issue Win

Journal Article
The price risk of options positions: measurement and capital requirements

This article evaluates supervisory approaches to the measurement and capital treatment of the price risk of options positions. The authors find that approximate value-at-risk rules tend to provide better estimates of potential losses than simple strategy-based rules. The value-at-risk rules are particularly effective when they adjust for nonlinear changes in options prices. The authors also consider the reporting burdens posed by the different approaches and the consistency of the rules with existing and proposed supervisory frameworks.
Quarterly Review , Volume 19 , Issue Sum

Journal Article
Margin requirements on equity instruments

Quarterly Review , Volume 13 , Issue Sum

Journal Article
Consistent margin requirements: are they feasible?

Quarterly Review , Volume 13 , Issue Sum

Report
Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the implied correlations from two currency trios with markedly different characteristics over two forecast horizons (one month and three months) against a set of alternative correlation forecasts based on time-series data. ; For the correlations in the USD/DEM/ JPY currency trio, we find that the ...
Research Paper , Paper 9730

Report
Interest rate options dealers' hedging in the US dollar fixed income market

The potential for the dynamic hedging of written options to lead to positive feedback in asset price dynamics has received repeated attention in the literature on financial derivatives. Using data on OTC interest rate options from a recent survey of global derivatives markets, this paper addresses the question whether that potential for positive feedback is likely to be realized. With the possible exception of the medium term segment of the term structure, transaction volume in available hedging instruments is sufficiently large to absorb the demands resulting from the dynamic hedging of US ...
Research Paper , Paper 9719

FILTER BY year

FILTER BY Series

FILTER BY Content Type

Working Paper 35 items

Journal Article 31 items

Report 10 items

Conference Paper 4 items

Monograph 2 items

Discussion Paper 1 items

show more (1)

FILTER BY Author

Nandi, Saikat 8 items

Kambhu, John 5 items

Estrella, Arturo 4 items

Heston, Steven L. 4 items

Malz, Allan M. 4 items

Pozdena, Randall 4 items

show more (83)

FILTER BY Keywords

Options (Finance) 83 items

Futures 13 items

Hedging (Finance) 9 items

Risk 8 items

Stocks 7 items

Derivative securities 6 items

show more (64)

PREVIOUS / NEXT