The Information Content of Interest Rate Futures Options PDF Download

Author: Des McManus
Publisher:
ISBN:
Category : Euro-dollar market
Languages : en
Pages : 60

View

Book Description
Examines the evolution of market sentiment over the possible future values of eurodollar rates.

Author: Shengxiong Wu
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 76

View

Book Description
Most recent empirical literature focuses on the information content of option volume for future security price movements. Few of these studies explore the possibility that there is information content in the option order book about the underlying security's future price movements. This dissertation explores this possibility. We first find that the book imbalance defined as scaled difference between asked size and bid size at the best limit price levels in the Euro-Bund futures option order book is significantly related to short-term its futures returns only for at-the-money (ATM) options. However, book imbalances beyond the best price levels are not informative to the Euro-Bund futures price movements. We further document that, when trading cost, measured by the bid-ask spread, is relatively high (more than 3 ticks), there is no price discovery from the Euro-Bund futures ATM option market to the Euro-Bund futures market. However, when the trading cost is relatively low (less than 2 ticks), information in the Euro-Bund futures ATM option market is associated with its futures returns. Finally, we show that Euro-Bund futures ATM put options are more informative than its ATM call for the underlying futures price formation in periods with more negative news surprises regarding interest rate risks. The dominance of Euro-Bund futures ATM put options is mainly due to market environments. This is consistent with the notion that traders seek protection against downside of interest rate risk by buying puts rather than selling calls in periods with more negative news surprises regarding interest rate risks.

Author: John Hull
Publisher: Pearson Higher Education AU
ISBN: 1486013686
Category : Business & Economics
Languages : en
Pages : 577

View

Book Description
This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.

Author: Mukarram Attari
Publisher:
ISBN:
Category :
Languages : en
Pages : 32

View

Book Description
Bond and option prices contain information on the future distribution of the state variables related to interest rates at multiple horizons based on the maturity/expiration of the assets. This study uses the information contained in Eurodollar futures and futures options prices to make inferences regarding different specifications used to describe the evolution of the short-rate. A modification, to the commonly used short-rate specifications, that generates a humped term structure of volatility (upward sloping at short horizons) is found to significantly improve the ability of the specifications to generate option prices that match market options price.

Author: Robert W. Kolb
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 128

View

Book Description

Author: Sotiris K. Staikouras
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description
The objective of the present study is to examine the price discovery hypothesis in the short sterling futures market. The analytical framework employed, to examine the interaction between spot and futures rates, is based on a VAR cointegration model. The current research takes into account the necessary conditions, when testing the unbiasedness of the futures market, as well as the issues of risk neutrality and the rational use of all available and relevant information. The paper finds that the price discovery hypothesis holds for up to seven weeks prior to maturity of the futures contract. Furthermore, an examination of the sample period over which efficiency does not hold, provides evidence for the presence of time-varying risk premia. The findings also suggest that the premium and the expected spot change volatility are statistically significant, with the former being slightly lower than the latter.

Author: Edward W. Schwarz
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 252

View

Book Description

Author: Galen Burghardt
Publisher: McGraw Hill Professional
ISBN: 0071707697
Category : Business & Economics
Languages : en
Pages : 513

View

Book Description
Eurodollar trading volume is exploding, with no end in sight tools phenomenal growth. The Eurodollar Futures and Options Handbook provides traders and investors with the complete range of current research on Eurodollar futures and options, now the most widely traded money market contracts in the world. The only current book on this widely-followed topic, it features chapters written by Eurodollar experts from JP Morgan, Mellon Capital, Merrill Lynch, and other global trading giants, and will quickly become a required reference for all Eurodollar F&O traders and investors.

Author: John Hull
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 590

View

Book Description
Accompanying CD-ROM contains ... "DerivaGem Version 1.51"--CD-ROM label.

Author: John C. Hull
Publisher: Pearson Higher Ed
ISBN: 1292056371
Category : Business & Economics
Languages : en
Pages : 585

View

Book Description
For undergraduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management. A reader-friendly book with an abundance of numerical and real-life examples. Based on Hull's Options, Futures and Other Derivatives, Fundamentals of Futures and Options Markets presents an accessible and student-friendly overview of the topic without the use of calculus. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world.