Recovering market expectations of FOMC rate changes with options on federal funds futures
Article Abstract:
The process of using federal funds futures for the recovery of implied probability density function (PDF) for future Federal Open Market Committee is demonstrated.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
Public Finance Activities, Government expenditures, Federal Open Market Committee, Economic policy, United States. Federal Open Market Committee
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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Information content of cross-sectional option prices: a comparison of alternative currency option pricing models on the Japanese Yen
Article Abstract:
A currency option pricing model is presented duly integrating stochastic volatility, interest rates etc. therein for determining the pricing of Japanese Yen.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
Japan, Commodity & service prices, Venture Analysis, Models, Risk assessment, Prices and rates, Currency options, Yen (Japan), Company pricing policy
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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Information content of the fed funds rates
Article Abstract:
A study analyzing the effect of the spot and futures rates of federal funds on interest rates is presented.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
Futures market, Futures markets
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: United States, Analysis, Federal funds market (United States), Interest rates
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