...Scott B. Beyer; J. Christopher Hughen; Robert A. Kunkel Purpose The authors examine the relation between noise trading in equity markets and stochastic volatility by estimating a two-factor jump diffusion model. Their analysis shows that contemporaneous price deviations in the derivatives market...

... Financial risk Derivative markets H1. The use of a more diverse derivatives strategy by a fund decreases risk. The objective of this study is to investigate the advantages and disadvantages of the diversity of the derivatives strategy of a fund from the investors' viewpoint...

... of selected companies (Stulz, 2005). Derivatives markets were small until the 1970s, when economic conditions and advances in the pricing of derivatives led to spectacular growth. During that period, the volatility of interest rates and currency‐exchange rates increased sharply, making it imperative...

... returns. Before outlining the details of our research in the rest of the paper, we provide a review of the literature and the OTC derivatives market in Section 2. Testable hypotheses are presented in Section 3. The data used in the study is described in Section 4. Section 5 describes the methodology...

... of options on discount bonds, we can solve for the value of a coupon bond option analytically. Jamshidian illustrates his approach in the context of the constant volatility Vasicek (1977) model, and his approach is valid for any single‐factor interest rate model. Derivative markets Interest rates...

... the market value of the asset underlying the option and the market value of the assets of the option writer, respectively. The risk‐neutral processes for S and V are: Peter Klein can be contacted at: pklein@sfu.ca © Emerald Group Publishing Limited 2010 Derivative markets Diffusion...

... Hedging Derivative markets Since 1973, the exchange rates of major currencies have been permitted to float freely against one another. This, along with increases in the volume of world trade, has heightened the foreign currency risk. Compared to investments in domestic assets, fluctuating...

.... Findings The credit derivatives market is, at present, dominated by large banks and insurance companies who trade credit exposure among themselves. As the credit derivatives market becomes more liquid and transparent, it is asked: “Should corporate treasurers consider using credit derivatives to manage...

... nonlinear exposures with regard to variance minimization. Derivative markets Options markets Risk management Corporate finances Hedging The use of derivative instruments (derivatives) has become common practice in the risk management activities of nonfinancial firms around the world (see...

... Derivative markets South East Asia Organizations The 2000 Asia risk survey of Asian companies presents a picture of companies that are ignorant, old‐fashioned and uneducated in their use of derivatives[1]. According to the bankers quoted in that article, Asian corporate risk management executives...

... To highlight the extent of derivatives usage and risk management practices in UK nonfinancial companies. Ahmed A. El‐Masry can be contacted at: ahmed.el‐masry@plymouth.ac.uk © Emerald Group Publishing Limited 2006 Derivative markets United Kingdom Foreign exchange Risk management...

.... Bengt Pramborg can be contacted at: bpg@fek.su.se © Emerald Group Publishing Limited 2006 Derivative markets Risk management Hedging The questionnaire used in the present study is based on Bodnar et al.'s (1995) survey in the USA. It was e‐mailed in March 2003...

..., 285-314. Equity capital Economic theory Derivative markets © Emerald Group Publishing Limited 2004 ...

... all the parts together we obtain: Project value =V0 e-dT × A1 - e-rT K × A2 - e-rT × A3 where A1, A2 and A3 are defined as above. (30) (31) © Emerald Group Publishing Limited 2004 Cash control Derivative markets Assets ...