Global Derivatives Market

Volatility Derivatives in Market Models with Jumps

It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset price process S is Markov with càdlàg paths and propose a scheme for computing the law of the realized variance of the log returns accrued while the asset wa...

Using Financial Derivatives to Hedge Against Market

Market-based Approach to Modeling Derivatives Prices

Most classical models for derivatives prices focus on prescribing the time evolution of the underlying stochastic factors. The prices of derivatives are then computed, for example, via the risk-neutral expectations. As markets developed and many derivative contracts became liquidly traded, it appeared necessary, in order to avoid creating arbitrage opportunities and to fully exploit the informa...

The new global labor market

Before the collapse of Soviet Communism, China’s movement toward market capitalism, and India’s decision to undertake market reforms and enter the global trading system, the global economy encompassed roughly half of the world’s population comprising the advanced Organisation for Economic Co-operation and Development (OECD) countries, Latin America and the Caribbean, Africa, and some parts of A...

Robust Global Stock Market Interdependencies

In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the European stock markets provide a superior long-term diversification opportunity relative to that provide...