Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"time to maturity"”.
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The role of information asymmetry and the level of market trading activity in shaping the time-to-maturity pattern of futures return volatility
… that futures return volatility increases closer to maturity when the futures price becomes more sensitive to information flows. First, I empirically investigate Hong’s (2000) theoretical suggestion that information asymmetry has an impact on the time-to-maturity pattern of commodity futures …
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Forecasting volatilities in option pricing: An application of Bayesian inference
… scenarios involving (1) forecasting over three time-to-maturity periods (six months, four months, and two months) and (2) forecasting one month ahead. Composite forecasts are formed via four methods--Bayesian, adaptive, regression, and averaging. The performances of the forecasts are evaluated …
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Risk in Brazilian Stock and Futures Markets
… two questions: (i) Does volatility in emerging stock markets follow the time patterns observed in more traditional markets? and (ii) Can emerging futures markets in LDC's perform their classic functions of hedge provision and price discovery when operating under suboptimal conditions---high and …
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The term structure of interest rates: a comparative analysis of zero-coupon bond forward rates and Eurodollar futures rates
… studies, the term structure has been used to demonstrate that there are synchronous changes among different maturities of coupon and zero-coupon bonds. Evidence has also been found that the magnitude of these synchronous changes is inversely related to the time to maturity. This study uses …
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An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures
The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies …
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Investigation of Putative Genetic Factors Associated with Soybean [Glycine Max (L.) Merr.] Seed Quality Traits
… or seed composition traits, allowing them to be efficiently utilized in a specific niche of the processing industry. Facilitating the development of such cultivars requires a thorough understanding of the genetic factors that affect the manifestation of value added traits. Value added …
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Pricing multi-asset options in exponential levy models
… are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the …
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Empirical and Theoretical Evidence for the Strategic Use of Debt Management as an Active Policy Instrument
… (iii) neutralization or minimization of the distortionary effects of debt financing on financial markets. The conflict between (i) and (ii) is shown to be irreconcilable, given reasonable assumptions about the shape of the Treasury yield curve. Optimal counter-cyclical debt management strategies …
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Biodiversity Assessment: moving towards an evidence-based index for biodiversity offsetting
… a mechanism for providing physical compensation to redress losses to species and habitats caused by development projects. As offsetting becomes more widespread, so has the evolution and development of frameworks, tools and methodological approaches for assessing biodiversity and implementing …
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On commodity trading strategies: momentum, term structure, maturity, indexation
… in commodity futures markets that lead to profitable trading strategies, effectively testing the efficiency of commodity markets. First, short-term continuation and long-term reversal in commodity futures prices are examined. While contrarian strategies do not work, 13 profitable …
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Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
Stochastic Alpha, Beta, Rho (SABR) and Heston Volatility models have been used in the financial industry due to their ability to price options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, …
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Essays on commodity investing and volatility risk
… by examining multiple commodity instrument tools and by controlling for estimation error. Using data from three generations of commodity indices and 15 individual commodity futures for 1991-2015, we find that including most commodities does little to improve the portfolio's Sharpe ratio …
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Empirical Essays on Financial Economics
… net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. We derive the net expected return of the swap as a function of the credit …
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PhD thesis on liquidity of bond market
… represents the prices available at a given time for transactions only up to some relatively small trade size. Trades can be executed inside or outside the quoted bid-ask spread. Thus, we extend Roll's model to include multiple spreads of different sizes and their associated probabilities. …
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Essays on Information in Financial Markets
Chapter 1 demonstrates how to jointly quantify the size of search and information frictions in OTC markets. I use transaction data for the U.S. corporate bond market to structurally estimate a model featuring both frictions via the simulated method of moments. The data support the notion that …
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Factors influencing seed yield and quality of dwarf French bean (Phaseolus vulgaris L.) in Canterbury
Treatments designed to influence seed quality were imposed on dwarf French bean plants during crop development and maturation. The effects of the treatments on seed yield and yield components, as well as the suitability of Canterbury for growing this crop as a seed crop, were determined. In 1996/97 …