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Author : Carla J. Ponn
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Valuation of Options on Treasury Bond Futures written by Carla J. Ponn and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wan-Sun Han
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (175 download)
Download or read book The Valuation of Options of Treasury Bond Futures Contracts written by Wan-Sun Han and published by . This book was released on 1987 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Galen Burghardt
Publisher :
ISBN 13 :
Total Pages : 126 pages
Book Rating : 4.3/5 ( download)
Download or read book Treasury Options for Institutional Investors written by Galen Burghardt and published by . This book was released on 1997 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Theodore M. Barnhill
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.0/5 ( download)
Download or read book Valuation of the Quality and the Switching Options and Their Impact on Treasury Bond Futures Prices written by Theodore M. Barnhill and published by . This book was released on 1987 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank Fabozzi
Publisher : McGraw Hill Professional
ISBN 13 : 0071715533
Total Pages : 27 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Fixed Income Securities, Chapter 53 - Treasury Bond Futures Mechanics and Basis Valuation written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author : Alex Kane
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (132 download)
Download or read book Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market written by Alex Kane and published by . This book was released on 1985 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds car, occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the "wild card option." This paper presents avaluation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 9781883249236
Total Pages : 324 pages
Book Rating : 4.2/5 (492 download)
Download or read book Treasury Securities and Derivatives written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1997-12-15 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Treasury securities represent the largest sector of interest rate markets. This book will provide securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including: the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.
Author : Ehud I. Ronn
Publisher : Cfa Inst
ISBN 13 : 9780943205151
Total Pages : 21 pages
Book Rating : 4.2/5 (51 download)
Download or read book A New Method for Valuing Treasury Bond Futures Options written by Ehud I. Ronn and published by Cfa Inst. This book was released on 1992 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alex Kane
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market written by Alex Kane and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds car, occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the quot;wild card option.quot; This paper presents avaluation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise.
Author : Don M. Chance
Publisher : Chicago : Dryden Press
ISBN 13 :
Total Pages : 632 pages
Book Rating : 4.3/5 ( download)
Download or read book An Introduction to Options & Futures written by Don M. Chance and published by Chicago : Dryden Press. This book was released on 1992 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ehud I. Ronn
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (285 download)
Download or read book A Non-stationary Trinomial Model for the Valuation of Options on Treasury Bond Futures Contracts written by Ehud I. Ronn and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary L. Gastineau
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.F/5 ( download)
Download or read book The Options Manual written by Gary L. Gastineau and published by McGraw-Hill Companies. This book was released on 1988 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Tompkins
Publisher : Springer
ISBN 13 : 1349128023
Total Pages : 314 pages
Book Rating : 4.3/5 (491 download)
Download or read book Options Explained written by Robert Tompkins and published by Springer. This book was released on 1991-06-18 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Serves as an introduction and analysis of exchange traded options. Advantages in the form of their limited risk features and leverage provided are discussed in detail. Above all, their infinite range of trading strategies are considered, as are ways of increasing trading flexibility.
Author : Hugh Cohen
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.E/5 ( download)
Download or read book A Method of Valuing the Treasury Bond Futures Contract written by Hugh Cohen and published by . This book was released on 1990 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Galen Burghardt
Publisher : McGraw-Hill
ISBN 13 : 9780071456104
Total Pages : 320 pages
Book Rating : 4.4/5 (561 download)
Download or read book The Treasury Bond Basis written by Galen Burghardt and published by McGraw-Hill. This book was released on 2005-07-15 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its third edition, The Treasury Bond Basis is the mandatory reference text for Treasury bond and note futures trading rooms around the world. This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade’s decision to switch from an 8 percent to a 6 percent conversion factor. Revisions include greater detail on hedging and trading, updated explanations of options valuation and short delivery options, and discussion of global bonds futures trading and applications.
Author : John Hull
Publisher : Pearson Education India
ISBN 13 : 9788131723586
Total Pages : 868 pages
Book Rating : 4.7/5 (235 download)
Download or read book Options, Futures, and Other Derivatives written by John Hull and published by Pearson Education India. This book was released on 2010 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: Suitable for advanced undergraduate or graduate business, economics, and financial engineering courses in derivatives, options and futures, or risk management, this text bridges the gap between theory and practice.
Author : Richard M. Bookstaber
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 330 pages
Book Rating : 4.F/5 ( download)
Download or read book Option Pricing and Investment Strategies written by Richard M. Bookstaber and published by McGraw-Hill Companies. This book was released on 1991 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
