Hedging Canadian Short-Term Interest Rates: The Bax Market - Couverture souple

Siam, John

 
9783838302041: Hedging Canadian Short-Term Interest Rates: The Bax Market
Couverture souple
ISBN 10 : 3838302044 ISBN 13 : 9783838302041
Editeur : LAP LAMBERT Academic Publishing, 2009

Synopsis

This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio.

Biographie de l'auteur

Dr. Siam is an Assistant Professor at McMaster University and Director of Gould Trading Floor http://gtf.mcmaster.ca/siam/. Research and consultation include markets microstructure, information technology,risk management and business education. Prior, he held the positions of Options Specialist, and Market Maker at the Montreal Exchange.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2009
Langue
anglais
ISBN 10 
3838302044
ISBN 13 
9783838302041
Reliure
Broché
Nombre de pages
152
Coordonnées du fabricant
non disponible
Personne responsable
KreGa Onlinehandel GmbH
4950000000000
info@krega-onlinehandel.de

Birkenweg 31
Brakel
33034
Allemagne