A note on the effect of no-arbitrage conditions

Article Abstract:

The argument that satisfaction of no-arbitrage conditions in the cost-of-carry model increases correlation between spot and futures prices is examined. Results show that, in the context of portfolio selection, the relation between arbitrage behavior and hedging behavior are mutually supportive and that the presence of no-arbitrage conditions increase hedging effectiveness.

Evaluation, Hedging (Finance), Arbitrage

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Drift matters: an analysis of commodity derivatives

Article Abstract:

A mathematical model based on the model suggested by Schwartz and Smith is discussed. The model can be used to ascertain spot and future prices and has been tested for the crude oil markets. The model can also be used for short-term and long-term contracts and is extremely effective for valuation of commodity-linked real estate assets.

Germany, Mathematical models, Commodity markets

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The Chinese interbank repo market: an analysis of term premiums

Article Abstract:

The behavior of the repo rates of different terms and their term premiums in the interbank repo market in China is examined. The pure expectations hypothesis, which deals with repo rates, is tested.

China, Repurchase agreements

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