Sinossi
This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
L'autore
Dr. Siam is an Assistant Professor at McMaster University and Director of Gould Trading Floor http://gtf.mcmaster.ca/siam/. Research and consultation include markets microstructure, information technology,risk management and business education. Prior, he held the positions of Options Specialist, and Market Maker at the Montreal Exchange.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Hedging Canadian Short-Term Interest Rates: The Bax Market
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LAP LAMBERT Academic Publishing Jun 2009, 2009
ISBN 10: 3838302044
ISBN 13: 9783838302041
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio. 152 pp. Englisch. Codice articolo 9783838302041
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Hedging Canadian Short-Term Interest Rates: The Bax Market
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the. Codice articolo 5410944
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Hedging Canadian Short-Term Interest Rates: The Bax Market
Editore:
LAP LAMBERT Academic Publishing Jun 2009, 2009
ISBN 10: 3838302044
ISBN 13: 9783838302041
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 152 pp. Englisch. Codice articolo 9783838302041
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Hedging Canadian Short-Term Interest Rates: The Bax Market
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LAP LAMBERT Academic Publishing, 2009
ISBN 10: 3838302044
ISBN 13: 9783838302041
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio. Codice articolo 9783838302041
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Taschenbuch. Condizione: Neu. Hedging Canadian Short-Term Interest Rates: The Bax Market | John Siam | Taschenbuch | 152 S. | Englisch | 2015 | LAP LAMBERT Academic Publishing | EAN 9783838302041 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Codice articolo 101545605
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Hedging Canadian Short-Term Interest Rates: The Bax Market
Editore:
LAP LAMBERT Academic Publishing, 2009
ISBN 10: 3838302044
ISBN 13: 9783838302041
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