The increasing interest in financial innovation of enterprises has heightened the need for the knowledge of accurate pricing for derivatives in actual discrete-time incomplete market, especially for futures, the most actively traded derivatives in China. Nevertheless, even contingent claim pricing in such markets have few previous researches concentrated on, quite apart from futures. This paper...

There has been recently an increasing interest in Grid services and economic-aware Grid systems both in the industry and the academia. In this paper we specify a market for hardware providers and consumers interested in leasing Grid resources for a time period. Our approach comprises a stockmarket like mechanism that enables the trading of computational power on the basis of a spot and a future...

Even when participants know very little about their environment, the market itself, by serving as a selection process of information, promotes an efficient aggregate outcome. To emphasize the role of the market and the importance of natural selection rather than the strategic actions of participants, an evolutionary model of a commodity futures market is presented, in which there is a continual...

Simulations and games are widely accepted as a powerful mode of teaching and learning. This is especially so in the field of finance in teaching students the intricacies of stock market trading. Stock market simulations complement more traditional methods of teaching finance by encouraging learning by doing, by generating motivation and enjoyment, and by engaging the business student in a simul...

This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis (UEH) and Cost-of-Carry hypothesis (COC) are extended to derive volatility models corresponding to each of the two standard approaches. Each volatility model is formulated as a system of individual eq...

Using market prices for crude-oil futures options and the prices of their underlying futures contracts, we estimate the volatility skew in two ways. As a benchmark for our theoretical model, on each date we first estimate a crosssectional polynomial structure for each maturity to demonstrate the strength and weaknesses of a purely-mechanical model. We then apply to the empirical data a Merton-s...

This article offers a new conceptual framework for modeling and measurement of systemic risk factors at individual institutions level. The empirical results show that, there are strong negative correlations between domestic futures market with systemic risk factors. Domestic futures exposed to systemic risk. Further research should take into account such international risk exposure.