Pricing And Hedging Gdp Linked Bonds In Incomplete Markets
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Author | : Jean-Pierre Casey |
Publisher | : CEPS |
Total Pages | : 142 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 9290795964 |
Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
Author | : Jaksa Cvitanic |
Publisher | : MIT Press |
Total Pages | : 528 |
Release | : 2004-02-27 |
Genre | : Business & Economics |
ISBN | : 9780262033206 |
An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.
Author | : Robert J. Shiller |
Publisher | : OUP Oxford |
Total Pages | : 276 |
Release | : 1994-04-07 |
Genre | : Business & Economics |
ISBN | : 0191521655 |
Macro Markets puts forward a unique and authoritative set of detailed proposals for establishing new markets for the management of the biggest economic risks facing society. Our existing financial markets are seen as being inadequate in dealing with such risks and Professor Shiller suggests major new markets as solutions to the problem. Shiller argues that although some risks, such as natural disaster or temporary unemployment, are shared by society, most risks are borne by the individual and standards of living determined by luck. He investigates whether a new technology of markets could make risk-sharing possible, and shows how new contracts could be designed to hedge all manner of risks to the individual's living standards. He proposes new international markets for perpetual claims on national incomes, and on components and aggregates of national incomes, concluding that these markets may well dwarf our stock markets in their activity and significance. He also argues for new liquid international markets for residential and commercial property. Establishing such unprecedented new markets presents some important technical problems which Shiller attempts to solve with proposals for implementing futures markets on perpetual claims on incomes, and for the construction of index numbers for cash settlement of risk management contracts. These new markets could fundamentally alter and diminish international economic fluctuations, and reduce the inequality of incomes around the world.
Author | : Thordur Jonasson |
Publisher | : International Monetary Fund |
Total Pages | : 133 |
Release | : 2018-04-06 |
Genre | : Business & Economics |
ISBN | : 1484350545 |
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
Author | : Mark Aguiar |
Publisher | : Princeton University Press |
Total Pages | : 200 |
Release | : 2023-09-26 |
Genre | : Business & Economics |
ISBN | : 0691231435 |
An integrated approach to the economics of sovereign default Fiscal crises and sovereign default repeatedly threaten the stability and growth of economies around the world. Mark Aguiar and Manuel Amador provide a unified and tractable theoretical framework that elucidates the key economics behind sovereign debt markets, shedding light on the frictions and inefficiencies that prevent the smooth functioning of these markets, and proposing sensible approaches to sovereign debt management. The Economics of Sovereign Debt and Default looks at the core friction unique to sovereign debt—the lack of strong legal enforcement—and goes on to examine additional frictions such as deadweight costs of default, vulnerability to runs, the incentive to “dilute” existing creditors, and sovereign debt’s distortion of investment and growth. The book uses the tractable framework to isolate how each additional friction affects the equilibrium outcome, and illustrates its counterpart using state-of-the-art computational modeling. The novel approach presented here contrasts the outcome of a constrained efficient allocation—one chosen to maximize the joint surplus of creditors and government—with the competitive equilibrium outcome. This allows for a clear analysis of the extent to which equilibrium prices efficiently guide the government’s debt and default decisions, and of what drives divergences with the efficient outcome. Providing an integrated approach to sovereign debt and default, this incisive and authoritative book is an ideal resource for researchers and graduate students interested in this important topic.
Author | : Mr.Eugenio M Cerutti |
Publisher | : International Monetary Fund |
Total Pages | : 36 |
Release | : 2019-01-16 |
Genre | : Business & Economics |
ISBN | : 1484395212 |
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Author | : United States. Department of the Treasury |
Publisher | : Treasury |
Total Pages | : 208 |
Release | : 1992 |
Genre | : Business & Economics |
ISBN | : |
Author | : Augusto de la Torre |
Publisher | : World Bank Publications |
Total Pages | : 232 |
Release | : 2006-10-20 |
Genre | : Business & Economics |
ISBN | : 0821365444 |
Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Author | : Hung-Gay Fung |
Publisher | : Emerald Group Publishing Limited |
Total Pages | : 194 |
Release | : 2013-09-06 |
Genre | : Business & Economics |
ISBN | : 9781781903117 |
This volume contributes to a fresh perspective on the economic and finance research on international financial markets and also the commodity markets by examining various factors that affect information transmission and pricing relation in the spot and derivatives markets in the United States and internationally.
Author | : José A. Soler Ramos |
Publisher | : IDB |
Total Pages | : 422 |
Release | : 2000 |
Genre | : Business & Economics |
ISBN | : 9781886938717 |
"Drawing on practical methods used by successful risk managers in emerging and developed markets throughout the world, the book provides specific guidance on establishing a modern risk management framework and developing efficient approaches to increase the profitability of risk management activities in emerging market settings."--BOOK JACKET.