The Empirical Performance of Option Based Densities of Foreign Exchange
Title | The Empirical Performance of Option Based Densities of Foreign Exchange PDF eBook |
Author | Ben R. Craig |
Publisher | |
Total Pages | 41 |
Release | 2016 |
Genre | |
ISBN |
Risk neutral densities (R ...
Analysing Intraday Implied Volatility for Pricing Currency Options
Title | Analysing Intraday Implied Volatility for Pricing Currency Options PDF eBook |
Author | Thi Le |
Publisher | Springer Nature |
Total Pages | 350 |
Release | 2021-04-13 |
Genre | Business & Economics |
ISBN | 3030712427 |
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.
The London Stock Exchange in the 19th Century
Title | The London Stock Exchange in the 19th Century PDF eBook |
Author | Larry Neal |
Publisher | |
Total Pages | 48 |
Release | 2006 |
Genre | Stock exchanges |
ISBN |
Do Bank-based Financial Systems Reduce Macroeconomic Volatility by Smoothing Interest Rates?
Title | Do Bank-based Financial Systems Reduce Macroeconomic Volatility by Smoothing Interest Rates? PDF eBook |
Author | Johann Scharler |
Publisher | |
Total Pages | 40 |
Release | 2006 |
Genre | Interest rates |
ISBN |
Exchange-rate Arrangements and Financial Integration in East Asia
Title | Exchange-rate Arrangements and Financial Integration in East Asia PDF eBook |
Author | Hans Genberg |
Publisher | |
Total Pages | 58 |
Release | 2006 |
Genre | Monetary unions |
ISBN |
Financial integration in East Asia is actively being pursued and will in due course lead to substantial mobility of capital between economies in the region. Plans for monetary cooperation as a prelude to monetary integration and ultimately monetary unification are also proposed. These plans often suggest that central banks should adopt some form of common exchange rate policy in the transition period towards full monetary union. This paper argues that this is a dangerous path in the context of highly integrated financial markets. An alternative approach is proposed where independent central banks coordinate their monetary policies through the adoption of common objectives and by building an appropriate institutional framework. When this coordination process has progressed to the point where interest rate developments are similar across the region, and if in the meantime the required institutional infrastructure has been build, the next step towards monetary unification can be taken among those central banks that so desire. The claim is that this transition path is likely to be robust and will limit the risk of currency crises.
Focus on Austria
Title | Focus on Austria PDF eBook |
Author | |
Publisher | |
Total Pages | 438 |
Release | 2003 |
Genre | Finance |
ISBN |
How Robust are Money Demand Estimations?
Title | How Robust are Money Demand Estimations? PDF eBook |
Author | Markus Knell |
Publisher | |
Total Pages | 64 |
Release | 2003 |
Genre | Demand for money |
ISBN |
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