• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 40
  • 5
  • Tagged with
  • 40
  • 40
  • 37
  • 37
  • 28
  • 25
  • 16
  • 11
  • 7
  • 7
  • 7
  • 5
  • 5
  • 5
  • 4
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

Hong Kong futures exchange & the development of optics on the Hang Seng index.

January 1992 (has links)
Lui Ho-Chung, Oliver. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 63-64). / Table of Contents --- p.i / Abstract --- p.iii / List of Tables --- p.v / List of Appendices --- p.vi / Acknowledgments --- p.vii / Chapter / Chapter I --- Methodology --- p.1 / Chapter II --- Issues about the HSIF market --- p.2 / The establishment of the Hong Kong Futures Exchange --- p.2 / The Hang Seng Index --- p.3 / The Hang Seng Index Futures Contracts --- p.4 / Features of futures trading --- p.8 / The 1987 crash and the HKFE --- p.10 / Reforms --- p.12 / The evaluation after the reforms --- p.16 / Existing practices of the HSIF brokerage firms --- p.18 / Issues concerning the HSIF investors --- p.20 / Stimulating the HSIF market --- p.21 / Chapter III --- Issues about options --- p.23 / "Current News (updated to April 20, 1992)" --- p.23 / Options --- p.23 / Determination of option premiums --- p.26 / Options on the Hang Seng Index --- p.28 / Features of options in other markets --- p.30 / Margin requirement --- p.34 / Options on index vs. Options on index futures --- p.36 / Options on index vs. Index futures --- p.37 / Chapter IV --- Issues of option development --- p.39 / Lessons learned from the HSIF market --- p.39 / The trend--derivative products --- p.42 / Factors that make options on the HSI successful --- p.43 / Chapter V --- Conclusion --- p.46 / Appendices --- p.48 / References --- p.63
22

A study of the performance of the Hong Kong stock index futures market.

January 1993 (has links)
Fung Wing Tsan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 130-133). / Abstract --- p.i / Acknowledgment --- p.iii / Chapter Chapter 1 --- INTRODUCTION --- p.1 / Chapter Chapter 2 --- THE PRICING OF STOCK INDEX FUTURES --- p.9 / Chapter I. --- The Theoretical Framework --- p.9 / Chapter II. --- Evidence from the US Markets --- p.17 / Chapter III. --- Evidence from Other Markets --- p.21 / Chapter Chapter 3 --- THE PRICE DISCOVERY ROLE OF FUTURES MARKET --- p.24 / Chapter I. --- The Potential of Lead/Lag Relationship between the Stock Index Futures Price and the Stock Index --- p.24 / Chapter II. --- Empirical Evidence for the Lead/Lag Relationship --- p.27 / Chapter Chapter 4 --- THE HEDGING FUNCTION OF STOCK INDEX FUTURES MARKET --- p.30 / Chapter I. --- The Traditional Approach --- p.31 / Chapter II. --- Working's Speculative Hedge Approach --- p.32 / Chapter III. --- The Risk-Minimizing Approach --- p.33 / Chapter IV. --- The Portfolio Allocation Approach --- p.40 / Chapter Chapter 5 --- AN INTRODUCTION TO THE HANG SENG INDEX FUTURES MARKET --- p.44 / Chapter Chapter 6 --- PRICING EFFICIENCY OF THE HANG SENG INDEX FUTURES MARKET --- p.51 / Chapter I. --- Pricing Efficiency of the Hang Seng Index Futures Market with no Transaction Costs --- p.51 / Chapter II. --- Pricing Efficiency of the Hang Seng Index Futures Market with Transaction Costs --- p.59 / Chapter III. --- The Pattern of the Mispricing Series --- p.66 / Chapter IV. --- Test of Pricing Efficiency using Intraday Prices --- p.70 / Chapter Chapter 7 --- PRICE DISCOVERY ROLE OF THE HANG SENG INDEX FUTURES MARKET --- p.85 / Chapter I. --- The Granger-Causality Test --- p.86 / Chapter II. --- Error-Correction Model and Long-Run Relationship between the Stock Price and the Hang Seng Index Futures Price --- p.93 / Chapter III. --- The Simultaneous-Equation Error-Correction Model --- p.96 / Chapter Chapter 8 --- HEDGING EFFECTIVENESS OF THE HANG SENG INDEX FUTURES MARKET --- p.104 / Chapter I. --- The Effectiveness of Hang Seng Index Futures in Reducing Risks Of Stock Portfolios --- p.104 / Chapter II. --- The Hedged Portfolio as an Alternative to Fixed-Income Asset --- p.115 / Chapter III. --- The Effectiveness of Hang Seng Index Futures in Improving Risk´ؤReturn 'Trade-Off --- p.119 / Chapter Chapter 9 --- conclusion --- p.126 / References --- p.130
23

An empirical analysis of arbitrage opportunities in a new market: Hang Seng Index futures market.

January 1987 (has links)
by Chau Chi-Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 76-78.
24

Speculation of hedge funds in Hong Kong markets.

January 2000 (has links)
by Wong Fat Keung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 44-46). / Abstracts in English and Chinese. / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- METHODOLOGY --- p.7 / Chapter 2.1 --- Fund's return --- p.7 / Chapter 2.2 --- Value weighted Index of Hedge Funds --- p.8 / Chapter 2.3 --- Sharpe' s(1992) style analysis --- p.8 / Chapter 2.4 --- Econometric Procedure and Hypothesis Test --- p.11 / Chapter 3. --- DATA --- p.15 / Chapter 3.1 --- Market Data --- p.15 / Chapter 3.2 --- Hedge Fund Data --- p.16 / Chapter 3.3 --- Selecting Market Factor --- p.17 / Chapter 4. --- RESULTS --- p.19 / Chapter 4.1 --- Interest Rate Market --- p.19 / Chapter 4.1.1 --- Did the hedge fund industry as a whole manipulate the interest rate market? --- p.19 / Chapter 4.1.2 --- Did the Jaguar Fund NV manipulate the interest rate market? --- p.23 / Chapter 4.1.3 --- Did the Quantum Fund NV manipulate the interest rate market? --- p.24 / Chapter 4.2 --- Hang Seng Index Future Market --- p.26 / Chapter 4.2.1 --- Did the hedge fund industry as a whole manipulate the Hang Seng Index Future Market? --- p.26 / Chapter 4.2.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Future Market? --- p.29 / Chapter 4.2.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Future Market? --- p.31 / Chapter 4.3 --- Hang Seng Index Market --- p.33 / Chapter 4.3.1 --- Did the hedge funds as a whole manipulate the Hang Seng Index Market? --- p.33 / Chapter 4.3.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Market? --- p.34 / Chapter 4.3.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Market? --- p.35 / Chapter 5. --- CONCLUSION --- p.37 / Chapter 5.1 --- Contribution --- p.41 / BIBLIOGRAPHY --- p.44 / APPENDIX A TABLES --- p.47 / Table 1. Hedge Funds in value-weighted Index (vw38) --- p.47 / Table 2. Net Asset Value of Hedge Funds ( --- p.48 / Table 3. Hedge Fund Returns Around Crash --- p.49 / Table 4. Regression result of value-weighted index (vw38) --- p.50 / Table 5. Regression result of individual fund --- p.51 / Table 6. Correlation of return rates between different market segments from 11/1988 to 10/1999 --- p.52 / Table 7. Correlation of return rates between different market segments from 9/1997 to 10/1999 --- p.53 / Table 8. Regression result of 2-month HIBOR rate and dollar positions of hedge funds --- p.54 / Table 9. Regression result of 2-month HIBOR rate and dollar positions of Jaguar Fund NV --- p.55 / Table 10. Regression result of 2-month HIBOR rate and dollar positions of Quantum Fund NV --- p.56 / Table 11. Regression Result of Hang Seng Index Future Price against Dollar Positions of Hedge Funds --- p.57 / Table11b. Estimated Profit of Hedge Funds in the turmoil period in Hang Seng Index Future (in billions) --- p.58 / Table 12. Regression Result of Hang Seng Index Future Price against Dollar Positions of Jaguar Fund NV --- p.59 / Table 12b. Estimated Profit of Jaguar Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.60 / Table 13. Regression Result of Hang Seng Index Future Price against Dollar Positions of Quantum Fund NV --- p.61 / Table 13b. Estimated Profit of Quantum Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.62 / Table 14. Regression Result of Hang Seng Index Price against Dollar Positions of Hedge Funds --- p.63 / Table 15. Regression Result of Hang Seng Index Price against Dollar Positions of Jaguar Fund NV --- p.64 / Table 16. Regression Result of Hang Seng Index Price against Dollar Positions of Quantum Fund NV --- p.65 / APPENDIX B. FIGURES --- p.67 / Figure 1. Hong Kong Dollar Position of Hedge Funds --- p.67 / Figure 2. Hong Kong Dollar Position of Hedge Funds and 2m HIBOR Rate --- p.68 / Figure 3. Hong Kong Dollar Positions of Jaguar Fund NV --- p.69 / Figure 4. Hong Kong Dollar Positions of Jaguar Fund and 2m HIBOR Rate --- p.70 / Figure 5. Hong Kong Dollar Positions of Quantum Fund NV --- p.71 / Figure 6. Hong Kong Dollar Positions of Quantum Fund NV and 2m HIBOR Rate --- p.72 / Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73 / Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74 / Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73 / Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74 / Figure 9. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.75 / Figure 10. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.76 / Figure 11. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index Future --- p.77 / Figure 13. Hong Kong Dollar Positions of Hedge Funds in Hang Seng --- p.79 / Figure 17. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.83 / Figure 18. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.84 / Figure 19. Net Profit of Hedge Funds in Hang Seng Index Future (in HK Billions) --- p.85 / Figure 20. Net Profit of Jaguar Fund NV in Hang Seng Index Future (in HK Billions) --- p.86
25

Asymmetric effect of basis on hedging in Chinese metal market.

January 2009 (has links)
Su, Yiwen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 76-84). / Abstract also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 2.1 --- Hedge Ratio Review --- p.9 / Chapter 2.2 --- Estimating the Hedge Ratio --- p.13 / Chapter 2.2.1 --- Static Hedge Ratio --- p.13 / Chapter 2.2.2 --- "Dynamic Hedge Ratio, Multivariate GARCH Frame-work and DCC Model" --- p.14 / Chapter 3 --- Futures Market Efficiency --- p.19 / Chapter 3.1 --- Market Efficiency and Cointegration Test --- p.20 / Chapter 4 --- Model Specifications and Hedging Strategy --- p.24 / Chapter 4.1 --- Model Specifications --- p.24 / Chapter 4.1.1 --- BGARCH-DCC Model --- p.25 / Chapter 4.1.2 --- Symmetric BGARCH-DCC Model --- p.28 / Chapter 4.1.3 --- Asymmetric BGARCH-DCC Model --- p.31 / Chapter 4.2 --- Hedge Ratio --- p.33 / Chapter 4.2.1 --- MV Hedge Ratio --- p.34 / Chapter 4.2.2 --- Zero-VaR Hedge Ratio --- p.35 / Chapter 4.3 --- Evaluation of Hedge Effectiveness --- p.38 / Chapter 5 --- Data Description and Empirical Results --- p.39 / Chapter 5.1 --- Preliminary Data Analysis --- p.39 / Chapter 5.2 --- Estimation Results --- p.42 / Chapter 5.3 --- Dynamic Hedging Performance --- p.53 / Chapter 6 --- Conclusion --- p.68 / Chapter A --- Equation Derivation --- p.72 / Bibliography --- p.76
26

Empirical tests on the pricing of the Hang Seng index options.

January 1995 (has links)
by Lee Yiu Cho. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaf 47). / ACKNOWLEDGMENT --- p.iii / ABSTRACT --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF CHARTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE HANG SENG INDEX OPTION --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.6 / Chapter IV. --- METHODOLOGY & DATA COLLECTION --- p.9 / Methodology --- p.9 / The Black-Scholes Model --- p.9 / Data Collection --- p.11 / Data Manipulation --- p.13 / Limitation of Data --- p.14 / Chapter V. --- EMPIRICAL RESULTS --- p.16 / General Trading Pattern --- p.16 / Comparison of Actual and Theoretical Premiums --- p.17 / Analysis for 2 Sub-periods --- p.19 / Correlation Between Deviations and Variables --- p.22 / The Degree of in-the-money or out-of-the-money --- p.22 / Actual Premium Level --- p.23 / Transaction Volume --- p.25 / Chapter VI. --- CONCLUSION --- p.26 / CHARTS --- p.29 / BIBLIOGRAPHY --- p.47
27

A Review of foreign exchange instruments in Hong Kong and the development of currency warrant.

January 1992 (has links)
by Law Kwok Fu, Frank. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaf 34). / ACKNOWLEDGEMENT --- p.2 / Chapter 1 . --- INTRODUCTION --- p.3 / Chapter 2. --- SPOT CONTRACT --- p.7 / Chapter 3. --- FORWARD CONTRACT --- p.8 / Chapter 4. --- CURRENCY FUTURES --- p.10 / Chapter 5. --- CURRENCY OPTIONS --- p.14 / Chapter 6. --- CURRENCY WARRANTS --- p.17 / Chapter 7. --- CONCLUSION. --- p.32 / BIBLIOGRAPHY / APPENDIX / Chapter 1. --- Some of currency futures and options listed in overseas exchanges --- p.35 / Chapter 2. --- Details of currency warrants available in the market --- p.37 / Chapter 3 . --- Raw data --- p.38 / Chapter 4. --- Graphs of the DM spot rate and the daily price movements of 3 warrants --- p.41 / Chapter 5-7. --- The relative daily change in DM spot rate in % against the daily change in price of the 3 DM warrants --- p.45
28

Comparison of hedging effectiveness of short term interest rate: the case of Hong Kong.

January 1997 (has links)
by Kwan Wai Kwong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.1 / Chapter 1. --- INTRODUCTION --- p.2 / Chapter 2. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- Traditional and Working's hedging theory --- p.5 / Chapter 2.2 --- Portfolio theory and hedging --- p.5 / Chapter 2.3 --- Selection of proper statistical estimation model --- p.7 / Chapter 2.4 --- StaTIonarIty of optimal hedge ratio --- p.8 / Chapter 2.5 --- time-varying hedging models --- p.9 / Chapter 3. --- MARKETS AND INSTRUMENTS --- p.13 / Chapter 3.1 --- Exchange Fund Bills --- p.13 / Chapter 3.1.1 --- Rationale --- p.13 / Chapter 3.1.2 --- Status and deployment of funds --- p.14 / Chapter 3.1.3 --- Form of Bills --- p.14 / Chapter 3.1.4 --- Pricing of the Bills --- p.15 / Chapter 3.1.5 --- Development of the secondary market --- p.15 / Chapter 3.1.6 --- Investors --- p.17 / Chapter 3.1.7 --- Reasons for the success of the Bills programme --- p.17 / Chapter 3.2 --- eurodollar futures contract --- p.18 / Chapter 3.3 --- Treasury bill futures contract --- p.19 / Chapter 3.4 --- Comparison between eurodollar and treasury bills futures --- p.20 / Chapter 4. --- RESEARCH METHODOLOGY --- p.22 / Chapter 4.1 --- DATA --- p.22 / Chapter 4.2 --- DEFINITION of hedging effectiveness and comparison criterion --- p.23 / Chapter 4.2.1 --- Definition of hedging effectiveness --- p.23 / Chapter 4.2.2 --- Comparison of ex-ante hedging performance --- p.24 / Chapter 4.3 --- Model description --- p.25 / Chapter 4.3.1 --- Conventional hedging model --- p.25 / Chapter 4.3.2 --- Error correction model (ECM) --- p.28 / Chapter 4.3.2.1 --- Unit root test --- p.29 / Chapter 4.3.2.2 --- Test of cointegration --- p.30 / Chapter 4.3.2.3 --- Construction of the error correction model (ECM) --- p.31 / Chapter 4.3.3 --- Time-varying hedging model --- p.32 / Chapter 4.3.3.1 --- Time-varying conditional hedging theory --- p.32 / Chapter 4.3.3.2 --- Test for the ARCH effect --- p.34 / Chapter 4.3.3.3 --- Bivariate ARCH(q) error correction model --- p.35 / Chapter 4.4 --- out-of-sample forecast --- p.37 / Chapter 4.4.1 --- Rolling samples against expanding sample --- p.37 / Chapter 4.4.2 --- Out-of-sample forecast without transaction cost --- p.37 / Chapter 4.4.3 --- Out-of-sample forecast with transaction cost --- p.39 / Chapter 5. --- DATA SUMMARY --- p.42 / Chapter 5.1 --- Preliminary analysis --- p.42 / Chapter 5.2 --- Unit root analysis --- p.43 / Chapter 5.3 --- Co-integration analysis --- p.44 / Chapter 6. --- EMPIRICAL RESULTS --- p.45 / Chapter 6.1 --- Model estimation --- p.45 / Chapter 6.2 --- Ex-ante hedging effectiveness with no transaction cost --- p.47 / Chapter 6.3 --- Ex-ante hedging effectiveness with transaction cost --- p.49 / Chapter 6.4 --- Summary and discussion on empirical findings --- p.50 / Chapter 6.4.1 --- Hedging superiority between the two futures contracts --- p.50 / Chapter 6.4.2 --- Magnitude of hedging performance --- p.51 / Chapter 6.4.3 --- Hedge ratio estimates --- p.56 / Chapter 6.4.4 --- Hedging effectiveness across investment horizon --- p.57 / Chapter 6.4.5 --- Model superiority --- p.57 / Chapter 7. --- CONCLUSION --- p.59 / APPENDIX --- p.84 / Chapter I) --- derivation of optimal hedge ratio under static hedging strategies --- p.84 / Chapter II) --- Derivation of optimal hedge ratios under dynamic hedging strategies --- p.85 / Chapter III) --- Causality test on the lead lag relationship between HKEFB and the two futures contracts --- p.87 / REFERENCES --- p.89
29

The profitability of Hang Seng index arbitrage: a test of futures market efficiency.

January 1997 (has links)
by Lee Yui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 70-72). / ACKNOWLEDGMENT --- p.i / ABSTRACT --- p.ii / LIST OF TABLES --- p.iii / LIST OF FIGURES --- p.iv / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter CHAPTER 2: --- BACKGROUND INFORMATION --- p.7 / Chapter 2.1 --- Stock Trading in Hong Kong --- p.7 / Chapter 2.1.1 --- History and Recent Trend --- p.8 / Chapter 2.1.2 --- Trading Mechanism of the Stock Exchange of Hong Kong --- p.11 / Chapter 2.1.3 --- Short Sale Restrictions --- p.12 / Chapter 2.1.4 --- Hang Seng Index --- p.14 / Chapter 2.2 --- Hang Seng Index Futures --- p.17 / Chapter 2.2.1 --- History and Recent Trend --- p.18 / Chapter 2.2.2 --- Trading and Settling Methods --- p.22 / Chapter CHAPTER 3: --- LITERATURE REVIEW --- p.24 / Chapter 3.1 --- Studies of Futures Market Efficiency based on Daily Data --- p.24 / Chapter 3.2 --- Studies of Futures Market Efficiency based on Intraday Data --- p.28 / Chapter CHAPTER 4: --- METHODOLOGY --- p.34 / Chapter 4.1 --- Index Futures Efficiency and Arbitrage Profitability --- p.34 / Chapter 4.2 --- Structure of Efficiency Tests --- p.36 / Chapter 4.2.1 --- Test based on Minute by Minute Reported Index --- p.36 / Chapter 4.2.2 --- Ex Post Test based on Transaction Prices of the Constitutent Stocks --- p.37 / Chapter 4.2.3 --- Ex Ante Test --- p.38 / Chapter 4.3 --- An Example for Illustration --- p.39 / Chapter 4.3.1 --- Results of the Efficiency Test based on Reported Index Quotations --- p.40 / Chapter 4.3.2 --- Results of the Ex Post Test based on Transaction Prices --- p.41 / Chapter 4.3.3 --- Results of Ex Ante Test --- p.42 / Chapter 4.4 --- Transaction Costs --- p.43 / Chapter CHAPTER 5: --- DATA AND PRELIMINARY STATISTICS --- p.46 / Chapter 5.1 --- Data from the Stock Market --- p.46 / Chapter 5.2 --- Data from the Futures Market and Money Market --- p.48 / Chapter CHAPTER 6: --- EMPIRICAL RESULTS --- p.49 / Chapter 6.1 --- Frequency of Ex Post Mispricings of Futures Prices --- p.49 / Chapter 6.2 --- Profitability of Hang Seng Index Arbitrage --- p.52 / Chapter 6.2.1 --- Results of Ex Ante Test with an Execution Lag of 30 Seconds --- p.52 / Chapter 6.2.2 --- Results of Ex Ante Test with an Execution Lag longer than 30 Seconds --- p.54 / Chapter 6.3 --- Comparison of Long Arbitrage Profitability and Short Arbitrage Profitability --- p.57 / Chapter 6.3.1 --- Comparison of Ex Post Violations between Long Arbitrage and Short Arbitrage --- p.58 / Chapter 6.3.2 --- Comparison of Ex Ante Profitability between Long Arbitrage and Short Arbitrage --- p.59 / Chapter CHAPTER 7: --- CONCLUSIONS --- p.65 / BIBLIOGRAPHY --- p.70
30

"Volatility smile" of Hang Seng Index options: unlocking market information.

January 1997 (has links)
by Wan Chi-Keung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 33-34). / TABLE OF CONTENTS / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.iv / LIST OF TABLE --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- VOLATILITY SMILE --- p.4 / The Black- Scholes Model --- p.6 / The Implied Tree --- p.7 / The Implied Probability Distribution --- p.10 / Chapter III. --- LITERATURE REVIEW --- p.12 / Chapter IV. --- RECOVERING PROBABILITY DISTRIBUTIONS OF HSI --- p.18 / Shimko's Method --- p.19 / Data Selection --- p.22 / Probability Distributions of HSI --- p.23 / Chapter V. --- CONLUDING REMARKS --- p.27 / APPENDIX --- p.30 / BIBLIOGRAPHY --- p.33

Page generated in 0.0343 seconds