Relative informational efficiency of cash, futures, and options markets: The case of an emerging market

Article Abstract:

The lead-lag relationships among the spot, futures, and options markets in the Hong Kong's Hang Seng Index were studied and found to be dependent on market maturity.

Hong Kong, Statistics, Hang Seng Index (Index), Spot market, Commodity options

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Reading PIBOR futures options smiles: The 1997 snap election

Article Abstract:

Research information is given for various methods that extract a Risk Neutral Density out of PIBOR interest rate futures options. In conjunction the research compares how investors react to political events.

United States, Econometrics & Model Building, Econometrics, Futures, Business models

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Reading PIBOR futures options smiles: The 1997 snap election

Article Abstract:

This paper investigates information in PIBOR futures options during the 1997 snap election, a period of political uncertainty for financial markets. Using the Hermite polynomials method to extract risk neutral densities, investigation found several levels of uncertainty influenced interest rate increases.

France, Stock Options, Influence, Futures market, Futures markets, Elections, Executive compensation, Interest rate futures

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