Stock Index Futures
Stock Index Futures
Sutcliffe, Charles M.S.
Taylor & Francis Ltd
12/2020
534
Mole
Inglês
9781138620674
15 a 20 dias
990
Descrição não disponível.
Contents: Preface. Preliminaries: Stock market indices; Introduction to futures trading. Arbitrage: Arbitrage and the valuation of stock index futures; Arbitrage in practice; Arbitrage and relaxing the assumptions. Prices: Basics, spreads and the risk premium; Maturity, price volatility and volume; Market efficiency. Uses: Hedging; The uses of stock index futures by fund managers. Others: The design and regulation of futures contracts; Further topics in index futures; Questions; Glossary; References; Index.
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Index Futures;NYSE Composite;Spot Volatility;Index Basket;Risk Minimising Hedge Ratio;SPI Future;Sell Shares;Futures Contract;Short Selling Shares;Portfolio Insurance;Hedge Ratio;Geometric Index;Arbitrage Portfolio;Bivariate GARCH;NYSE Composite Future;Conditional Variance Equation;GARCH Model;Stale Prices;Variation Margin Payment;Spot Returns;Hang Seng Futures;Index Arbitrage;Out-of Sample Hedging Effectiveness;Samuelson Hypothesis;CPPI
Contents: Preface. Preliminaries: Stock market indices; Introduction to futures trading. Arbitrage: Arbitrage and the valuation of stock index futures; Arbitrage in practice; Arbitrage and relaxing the assumptions. Prices: Basics, spreads and the risk premium; Maturity, price volatility and volume; Market efficiency. Uses: Hedging; The uses of stock index futures by fund managers. Others: The design and regulation of futures contracts; Further topics in index futures; Questions; Glossary; References; Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Index Futures;NYSE Composite;Spot Volatility;Index Basket;Risk Minimising Hedge Ratio;SPI Future;Sell Shares;Futures Contract;Short Selling Shares;Portfolio Insurance;Hedge Ratio;Geometric Index;Arbitrage Portfolio;Bivariate GARCH;NYSE Composite Future;Conditional Variance Equation;GARCH Model;Stale Prices;Variation Margin Payment;Spot Returns;Hang Seng Futures;Index Arbitrage;Out-of Sample Hedging Effectiveness;Samuelson Hypothesis;CPPI
