Marking-to-market and the demand for interest rate futures contracts
Article Abstract:
An analysis of marking-to-market on the pricing of derivative assets for the purpose of providing investors with hedging tools reveals that maximization of utility in an interest rate environment involves the forward contract strategy and futures contract dynamic hedging strategy. The tailing factor is determined by the characteristics of the contract and not on the investor's characteristics. Moreover, term structures should not be driven by two or more uncertainties as this alters the outcome of the prediction.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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Price risk in the NYMEX energy complex: an extreme value approach
Article Abstract:
A study of the daily logarithmic price changes at NYMEX energy complex and the associated risk using conditional extreme value method is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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