| An
Extended Market Model for Credit Derivatives
--
Nordine Bennani and Daniel Dahan
In
this paper, the authors present a market model for credit
derivatives, built under a standard risk-neutral probability.
This is achieved through the introduction of a new class of
processes, the Default Accumulator Process, which allows to
fill the information gap between forward Credit Default Swap
(CDS) and default time. The simulation framework is detailed
in order to assert the tractability of the approach.
©
2004 Nordine Bennani and Daniel Dahan. This paper was earlier
presented at Finance Stochastic 2004 (International Conference)
held at Lisbon, in September 2004. Reprinted with permission.
Causal
Relationship Between Futures Contracts and Volatility of the
Spot Market: A Case of S&P CNX Nifty and Nifty Futures
--
Ash Narayan Sah and Dr. G Omkarnath
This
study examines the nature and extent of relation between NSE-50
Futures and volatility of S&P CNX Nifty. It uses Granger
causality test to study relationship between volatility and
futures market activity. The sample data consisted of daily
closing prices of S&P Nifty and turnover from June 12,
2000 through March 25, 2004 for near month and from June 12
through January 29, 2004 for middle month and far month contracts.
The empirical evidence suggests that futures market activity
destabilizes the underlying market. The direction of causation
is bi-directional in case of near month; however, causality
runs from Nifty Futures to volatility of S&P Nifty in
case of far month contract.
©
2005 IUP. All Rights Reserved.
Indian
Commodity MarketsEvolution, Growth and Challenges
--
Y Chandra Sekhar
Despite
a long history of commodity markets, the Indian commodity
markets remained underdeveloped, partially due to intermediate
ban on commodity trading and more due to the policy interventions
by the government. Being agriculture-based economy, commodity
markets play a vital role in the economic development of the
country. While the agricultural liberalization has paved way
for commodity trading, India has to still go a long way in
achieving the benefits of commodity markets. Towards the development
of the commodity markets, it is important to understand the
growth constraints and address these issues in the right perspective.
©
2005 IUP. All Rights Reserved.
Book
Review
Financial
Derivatives: Pricing, Applications and Mathematics
-- Jamil Baz & George Chacko ,
Reviewed
by Krishna Kishore Puranam, Project Associate,
The IUP
The
risk in the financial markets is mitigated to a large extent
by using sophisticated financial instruments called derivatives.
The pricing of financial derivatives attains a greater significance
in the context of their application to various asset classes.
The book "Financial Derivatives: Pricing, Applications,
and Mathematics" gives an excellent description of the
various methods and techniques used in the process of pricing
financial derivatives and the mathematics underlying such
pricing.
©
2004 Jamil Baz and George Chacko. All Rights Reserved. The
IUP holds the copyright for the review. |
