Author: Ben R. CraigPublisher:
ISBN:
Category :
Languages : en
Pages : 41
Book Description
Risk neutral densities (R ...
The Empirical Performance of Option Based Densities of Foreign Exchange
Author: Ben R. CraigPublisher:
ISBN:
Category :
Languages : en
Pages : 41
Book Description
Risk neutral densities (R ...
Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework
Author: Romain LafarguettePublisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33
Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Equilibrium Exchange Rates in Transition Economies
Author: Balázs ÉgertPublisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 68
Book Description
Managerial Behavior and Cost/profit Efficiency in the Banking Sectors of Central and Eastern European Countries
Author: Stefania P. S. RossiPublisher:
ISBN:
Category : Bank management
Languages : en
Pages : 56
Book Description
Modeling Credit Aggregates
Author: Sylvia KaufmannPublisher:
ISBN:
Category : Credit
Languages : en
Pages : 68
Book Description
Analysing Intraday Implied Volatility for Pricing Currency Options
Author: Thi LePublisher: Springer Nature
ISBN: 3030712427
Category : Business & Economics
Languages : en
Pages : 350
Book Description
This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Forecasting Austrian GDP Using the Generalized Dynamic Factor Model
Author: Martin SchneiderPublisher:
ISBN:
Category : Austria
Languages : en
Pages : 48
Book Description
Exchange Rate Regimes Past, Present and Future
Author: Michael D. BordoPublisher:
ISBN:
Category : Foreign exchange administration
Languages : en
Pages : 108
Book Description
Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries
Author: Fabio RumlerPublisher:
ISBN:
Category : European Union countries
Languages : en
Pages : 56
Book Description
Implied Volatility Functions
Author: Bernard DumasPublisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 34
Book Description
Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.