...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...

... in addition to improved performance statistics. © Emerald Group Publishing Limited 2013 Derivatives Hedge funds Financial risk Derivative markets Hedge funds (HFs) and funds of hedge funds (FOFs) are loosely regulated investment vehicles that often use derivatives. Chen (2011...

..., 2009). © Emerald Group Publishing Limited 2012 Derivative markets Risk management Financial derivatives Proper derivative handling Derivative users Derivative controllers Demographics Derivatives are financial instruments that derive their value from the value(s) of other...

... to be a negative factor, reducing the market 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...

... 2011 Derivative markets Interest rates Stochastic processes Series Numerical analysis Several studies including Andersen and Lund (1997) , Ball and Torous (1999) , Kalimipalli and Susmel (2004) and Trolle and Schwartz (2009) have demonstrated that interest rate volatility...

... on the degree of credit risk, the correlation between the underlying asset and the assets of the option writer, and the volatility of the assets of the option writer. Peter Klein can be contacted at: pklein@sfu.ca © Emerald Group Publishing Limited 2010 Derivative markets Diffusion United...

... between the combination of the shortfall risk and the portfolio's expected returns. © Emerald Group Publishing Limited 2007 Portfolio investment Currency options Hedging Derivative markets In order to use the currency option as a hedge instrument – which gives the investor (holder...

.... 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...

... significantly higher (31 per cent vs 22 per cent in the USA). © Emerald Group Publishing Limited 2006 Risk management Derivative markets South East Asia Organizations The 2000 Asia risk survey of Asian companies presents a picture of companies that are ignorant, old‐fashioned...

.... Bengt Pramborg can be contacted at: bpg@fek.su.se © Emerald Group Publishing Limited 2006 Derivative markets Risk management Hedging Over the last decades the use of derivatives as a tool for corporate risk management has increased drastically. At the same time, the task...

... of total amounts outstanding: 5.0 per cent (foreign exchange) and 14.3 per cent (interest rates) (year‐end 2002). © Emerald Group Publishing Limited 2006 Derivative markets Options markets Risk management Corporate finances Hedging The use of derivative instruments (derivatives...

... 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...

..., 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) Cash control Derivative markets Assets © Emerald Group Publishing Limited 2004 ...