Options on bond futures: isolating the risk premium

Article Abstract:

Identification and quantification of the risk premiums associated with options on bond futures is discussed. It is found that single and multifactor stochastic volatility models with jumps may explain the empirical regularities observed in bond futures.

Stock options

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Stock index futures markets: stochastic volatility models and smiles

Article Abstract:

Issues concerning a study of stock index futures markets are discussed. The use of two models of stochastic volatility to examine the presence of stochastic smiles is described.

Stochastic analysis, Stock index futures

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Dynamic trading value at risk: futures floor trading

Article Abstract:

The impact of a futures traders' strategies on the risks associated with trading involved in the futures markets is analyzed.

Methods, Economic aspects, Futures, Traders

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