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1. |
Title:
A New Framework To Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Author/Editor: Cheng, Kevin C.
Series: Working Paper No. 10/181
Published: August 1, 2010
Subject(s): Asset prices | Capital markets | Commodities | Commodity prices | Economic models
Author's keyword(s):
Implied risk-neutral density functions | option pricing | market expectations.
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2. |
Title:
Macro-Hedging for Commodity Exporters
Author/Editor: Borensztein, Eduardo ; Jeanne, Olivier ; Sandri, Damiano
Series: Working Paper No. 09/229
Published: October 1, 2009
Subject(s): Commodities | Commodity price fluctuations | Cross country analysis | Developing countries | Economic models | Export earnings | Export markets | Financial instruments | Financial risk | Hedge funds | International trade | Risk management
Author's keyword(s):
hedging | commodity exports | precautionary savings | international reserves | futures | options | default
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3. |
Title:
The Derivatives Market in South Africa: Lessons for sub-Saharan African Countries
Author/Editor: Adelegan, Olatundun Janet
Series: Working Paper No. 09/196
Published: September 1, 2009
Subject(s): Bond markets | Capital flows | Capital markets | Financial instruments | Financial risk | Investment | Liquidity management | Risk management | Securities markets | Securities regulations | South Africa | Stock markets | Sub-Saharan Africa
Author's keyword(s):
derivatives | South Africa | options | futures
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4. |
Title:
Incorporating Market Information into the Construction of the Fan Chart
Author/Editor: Kannan, Prakash ; Elekdag, Selim
Series: Working Paper No. 09/178
Published: August 1, 2009
Subject(s): Data analysis | Economic forecasting | Economic growth | Economic models | Forecasting models | Markets | World Economic Outlook
Author's keyword(s):
Fan Chart | Balance of Risks | Option Prices | Consensus Forecasts
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5. |
Title:
The option-iPoD. The Probability of Default Implied by Option Prices based on Entropy
Author/Editor: Capuano, Christian
Series: Working Paper No. 08/194
Published: August 1, 2008
Subject(s): Credit | Bond markets | Risk management | Financial risk | Financial institutions
Author's keyword(s):
endogenous default barrier | cross-entropy | option contracts | volatility smile.
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6. |
Title:
Crude Oil Prices: Trends and Forecast
Author/Editor: Krichene, Noureddine
Series: Working Paper No. 08/133
Published: May 1, 2008
Subject(s): Oil prices | Commodity prices | Exchange rate depreciation | Inflation | Monetary policy
Author's keyword(s):
Characteristic function | crude oil prices | density forecast | Esscher transform | Fourier transform | inverse problem | normal inverse Gaussian | monetary policy | option prices.
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7. |
Title:
Financial Instruments to Hedge Commodity Price Risk for Developing Countries
Author/Editor: Lu, Yinqiu ; Neftci, Salih N.
Series: Working Paper No. 08/6
Published: January 1, 2008
Subject(s): Commodity markets | Bonds | Revenues | Prices | Developing countries
Author's keyword(s):
Developing economies | commodity risk | options | debt instrument | credit default swaps
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8. |
Title:
Inflation Differentials in the EU: A Common ( Factors ) Approach with Implications for EU8 Euro Adoption Prospects
Author/Editor: Choueiri, Nada ; Ohnsorge, Franziska ; van Elkan, Rachel
Series: Working Paper No. 08/21
Published: January 1, 2008
Subject(s): Inflation | Euro Area | Globalization | Trade
Author's keyword(s):
Inflation; generalized dynamic factors model; euro adoption
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9. |
Title:
Can Domestic Policies Influence Inflation?
Author/Editor: Mody, Ashoka ; Ohnsorge, Franziska
Series: Working Paper No. 07/257
Published: November 1, 2007
Subject(s): Inflation | Globalization | Euro | Markets
Author's keyword(s):
Inflation | Globalization | Price convergence | Maastricht criterion | Euro adoption.
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10. |
Title:
Pricing Fund Liquidity Provision
Author/Editor: Rossi, Marco
Series: Working Paper No. 07/45
Published: February 1, 2007
Subject(s): Fund liquidity | Pricing policy | Economic models
Author's keyword(s):
Fund financing facility | lender of last resort | liquidity provision | option pricing
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11. |
Title:
Recent Dynamics of Crude Oil Prices
Author/Editor: Krichene, Noureddine
Series: Working Paper No. 06/299
Published: December 1, 2006
Subject(s): Oil prices | Economic models
Author's keyword(s):
Characteristic function | crude oil | cumulants | drift | Fourier inversion | jump-diffusion | kurtosis | option pricing | skewness | variance-gamma distribution | volatility
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12. |
Title:
Subordinated Levy Processes and Applications to Crude Oil Options
Author/Editor: Krichene, Noureddine ; International Monetary Fund. African Dept.
Series: Working Paper No. 05/174
Published: September 1, 2005
Subject(s): Economic models | Oil pricing policy | Risk premium
Author's keyword(s):
Levy processes | Characteristic functions | Esscher transform | Fourier transform | Option pricing | Inverse problem | Risk-neutral density | volatility
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13. |
Title:
Hedging Foreign Exchange Risk in Chile: Markets and Instruments
Author/Editor: Chan-Lau, Jorge A.
Series: Working Paper No. 05/37
Published: February 1, 2005
Subject(s): Foreign exchange | Chile | Markets | Currencies
Author's keyword(s):
Chile | derivatives market | forward contracts | currency options
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14. |
Title:
IMF Staff Papers, Volume 51, No. 3, 2004
Series: IMF Staff Papers, Volume 51, No. 3
Published: November 23, 2004
Subject(s): Publications | Staff papers
Author's keyword(s):
ASSET MARKETS | ASSET PRICING | CASH FLOW | CENTRAL BANKS | CONSERVATISM | CONSUMER PRICE INDEXES | COST-BENEFIT ANALYSIS | DEPRECIATION | DEVELOPING COUNTRIES | ECONOMETRIC MODELS | ECONOMIC DEVELOPMENT | ECONOMIC POLICY | EFFECT OF INFLATION ON UNEMPLOYMENT | EMPIRICAL METHODS | EXCHANGE RATES | FREE TRADE | GOVERNMENT SECURITIES. YIELDS | GOVERNMENT SECURITIES | GROSS DOMESTIC PRODUCT | GROUP OF SEVEN COUNTRIES (G7) | IMPULSE RESPONSE ANALYSIS | INFLATION TARGETING | INFLATION | INTEREST RATE PARITY | INTEREST RATES | INTERNATIONAL COMPARISONS | INTERNATIONAL TRADE | LABOR MARKET | LABOR UNIONS | MOMENTS METHOD (STATISTICS) | MONETARY POLICY | MONETARY UNIONS | NON-TRADED GOODS | OPTIMIZATION | OPTIONS (FINANCE) | PARAMETER ESTIMATION | PRODUCTION FUNCTIONS (ECONOMIC THEORY) | RATIONAL EXPECTATIONS (ECONOMIC THEORY) | REGRESSION ANALYSIS | RISK PREMIUM | SENSITIVITY ANALYSIS | TRADE POLICY | UNEMPLOYMENT INSURANCE | WAGES
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15. |
Title:
Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices
Author/Editor: Krichene, Noureddine
Series: Working Paper No. 04/196
Published: October 1, 2004
Subject(s): Emerging markets | Euro | U.S. dollar | Exchange rates | Prices | Economic models
Author's keyword(s):
Exchange rates | Finite difference | Implied risk-neutral distribution | Inverse problem | Market expectations | Option prices | Smile | State prices | Volatility
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16. |
Title:
Insurance Value of International Reserves: An Option Pricing Approach
Author/Editor: Lee, Jaewoo
Series: Working Paper No. 04/175
Published: September 1, 2004
Subject(s): Insurance | Reserves | Prices
Author's keyword(s):
reserves | insurance | option | underlying asset
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17. |
Title:
To Buy or Not to Buy? Uncertainty, Irreversibility and Heterogeneous Investment Dynamics in Italian Company Data
Author/Editor: Bond, Stephen ; Lombardi, Domenico
Series: Working Paper No. 04/104
Published: June 1, 2004
Subject(s): Investment incentives | Italy | Economic models
Author's keyword(s):
Investment | Real Options | Panel Data
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18. |
Title:
Puttable and Extendible Bonds: Developing Interest Rate Derivatives for Emerging Markets
Author/Editor: Neftci, Salih N. ; Santos, Andre
Series: Working Paper No. 03/201
Published: October 1, 2003
Subject(s): Bonds | Financial systems | Interest rates | Emerging markets
Author's keyword(s):
Fixed income securities | option pricing theory | financial markets
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19. |
Title:
Central Bank Foreign Exchange Market Intervention and Option Contract Specification: The Case of Colombia
Author/Editor: Mandeng, Ousmène
Series: Working Paper No. 03/135
Published: June 1, 2003
Subject(s): Exchange markets | Colombia | Central banks | Intervention
Author's keyword(s):
Options | Colombia
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20. |
Title:
Testing the Informational Efficiency of OTC Options on Emerging Market Currencies
Author/Editor: Chan-Lau, Jorge A. ; Méndez Morales, Armando
Series: Working Paper No. 03/1
Published: January 1, 2003
Subject(s): Currencies | Czech Republic | Poland | Emerging markets
Author's keyword(s):
Currency options | efficient markets | Czech Republic | Poland | GMM
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