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Author : David Michael Modest
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (936 download)
Download or read book The Relationship Between Spot and Futures Prices in Stock Index Futures Markets written by David Michael Modest and published by . This book was released on 1982 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bradford Cornell
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (153 download)
Download or read book The Relationship Between Spot and Futures Prices in Stock Index Futures Markets written by Bradford Cornell and published by . This book was released on 1982 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Petter L. Skantze
Publisher : Springer Science & Business Media
ISBN 13 : 146151701X
Total Pages : 220 pages
Book Rating : 4.4/5 (615 download)
Download or read book Valuation, Hedging and Speculation in Competitive Electricity Markets written by Petter L. Skantze and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.
Author : Ronald C. Callander
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.:/5 (161 download)
Download or read book The relationship between spot and futures prices of cotton written by Ronald C. Callander and published by . This book was released on 1936 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jacques Girod
Publisher : Springer
ISBN 13 : 0230626319
Total Pages : 290 pages
Book Rating : 4.2/5 (36 download)
Download or read book The Econometrics of Energy Systems written by Jacques Girod and published by Springer. This book was released on 2006-12-14 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: The complexity and volatility of energy markets creates strong demand for quantitative analysis and econometric techniques. This book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in today's energy markets for a better understanding of the working of energy systems and energy economics.
Author : Aris Protopapadakis
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.0/5 ( download)
Download or read book Spot and Futures Prices and the Law of One Price written by Aris Protopapadakis and published by . This book was released on 1982 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raymond H. Chan
Publisher : Springer
ISBN 13 : 9811336962
Total Pages : 395 pages
Book Rating : 4.8/5 (113 download)
Download or read book Financial Mathematics, Derivatives and Structured Products written by Raymond H. Chan and published by Springer. This book was released on 2019-02-27 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)
Author : Joel Priolon
Publisher : John Wiley & Sons
ISBN 13 : 1119579201
Total Pages : 193 pages
Book Rating : 4.1/5 (195 download)
Download or read book Financial Markets for Commodities written by Joel Priolon and published by John Wiley & Sons. This book was released on 2019-01-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Agricultural, energy or mineral commodities are traded internationally in two market categories: physical markets and financial markets. More specifically, on the financial markets, contracts are negotiated, the price of which depends on the price of a commodity. These contracts are called derivatives (futures, options contracts, swaps). This book presents, on the one hand, the characteristics of these derivatives and the markets on which they are traded and, on the other hand, those transactions that typically combine an action on the physical market and a transaction on the corresponding financial market. The understanding of commodity financial markets mainly relies on the resources of economic analysis, especially the financial economy, because the use of this discipline is essential to understanding the major operations that are conducted daily by the operators of these markets: traders, producers, processors, financiers.
Author : Rajni Kant Rajhans
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Relationship Between Spot and Futures Prices written by Rajni Kant Rajhans and published by . This book was released on 2015 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In developed financial markets, there is no dearth of literature on relationship between spot and future market. India, in the year 2000 introduced derivative market to provide risk mitigation mechanism to market participants. The present study concluded that there is no short-run relationship between Nifty 50 Index and Nifty 50 Futures Index while there is a long-run relationship between the two. The combined analysis of outputs of Granger Causality and Johansen co-integration provided a more rational justification and can be interpreted that possibly at a time of high volatile market when price discovery is not more on rational basis but rather on other spill-over, a short-run lead-lag relationship could not be observed between spot stock index and futures index. However, in long-run the volatility dies away and market returns back to fundamental factors and hence, there is evidence of long-run relationship between spot stock index and futures index.
Author : Ira G. Kawaller
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.E/5 ( download)
Download or read book The Temporal Price Relationship Between S&P 500 Futures Prices and the S&P 500 Index written by Ira G. Kawaller and published by . This book was released on 1986 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leander D. Howell
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (31 download)
Download or read book Influence of Certified Stocks on Spot-futures Price Relationships for Cotton written by Leander D. Howell and published by . This book was released on 1956 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.David A Reichsfeld
Publisher : International Monetary Fund
ISBN 13 : 1463923899
Total Pages : 27 pages
Book Rating : 4.4/5 (639 download)
Download or read book Do Commodity Futures Help Forecast Spot Prices? written by Mr.David A Reichsfeld and published by International Monetary Fund. This book was released on 2011-11-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : Leander D. Howell
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (31 download)
Download or read book Relation of Spot Cotton Prices to Prices of Futures Contracts and Protection Afforded by Trading in Futures written by Leander D. Howell and published by . This book was released on 1938 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author : Danielle O'Donoghue
Publisher :
ISBN 13 :
Total Pages : 422 pages
Book Rating : 4.:/5 (319 download)
Download or read book An Empirical Investigation Into the Spot Futures Relationship written by Danielle O'Donoghue and published by . This book was released on 2007 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between trading volume and price movements potentially provides information on investors' reactions to price movements, specifically through exaggerated trading, in periods of large downward price movements. Futures markets allow a market participant to hedge against any risk occurring from a spot market position. Using futures markets to hedge against spot market movements is studied using the basis, the difference between the spot and futures prices. The effectiveness to which the futures market can be used as a means to transfer risk is analysed as the transferral of risk is a major function of futures markets.
Author : John C. Cox
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.0/5 ( download)
Download or read book The Relation Between Forward Prices and Futures Prices written by John C. Cox and published by . This book was released on 1981 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
