Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2009. / Includes bibliographical references (p. 55-57).

Thesis (Ph. D.)--University of Hong Kong, 2010. / Includes bibliographical references (p. 73-75). Also available in print.

This dissertation comprises three essays that study three distinct derivative contracts. The first essay proves, in a model-free framework, that early exercise of futures-style options on futures, whether calls or puts, is suboptimal. The result is robust to transaction costs, liquidity constraints and collateral requirements. Assuming a frictionless market, three additional model-free results are obtained: (i) put-call parity, (ii) equality of time values of puts and calls with the same strike and expiration, and (iii) positivity of time value before expiration. The second essay develops a new invoice price formula for Treasury bond futures contracts as a more effective alternative to the current conversion factor system. The equilibrium "cheapest to deliver" and futures price at expiration are identified. The empirical part of the essay documents that the new function dramatically improves the ability of the futures invoice price to approximate the market prices of the corresponding deliverable bonds. The third essay offers a regression-based empirical study of the determinants of credit default swap premia. Leverage, volatility and interest rates are found to account for a large percentage of the variation of premia. A principal components analysis of the regression residuals finds no evidence of a missing factor. The results achieved for credit default premia more closely corroborate structural models of credit risk than those obtained by Collin-Dufresne et al. (2001) for corporate bond yield spreads.

Thesis (Ph. D.)--University of New South Wales, 2000. / Also available online.

No description available.

published_or_final_version / Business Administration / Master / Master of Business Administration

No description available.

The primary purpose of this paper is to develop a rigorous study of the Schwarz derivative. This study will be based primarily on the comparison of the ordinary derivative to the Schwarz derivative.

by Yau Tak-Kin, Thomas. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves [52]). / ABSTRACT / TABLE OF CONTENT / Chapter I --- INTRODUCTION --- p.1 / Development of financial derivatives --- p.1 / Chracteristics of financial derivatives --- p.2 / Chapter II --- RISK ENCOUNTERED BY BUSINESS AND ITS MANAGEMENT --- p.3 / Chapter III --- SELECTED DERIVATIVE CASES --- p.7 / Proctor & Gamble --- p.7 / Orange County --- p.10 / Barings Bank plc --- p.12 / Chapter IV --- CLASSIFICATION OF RISK --- p.18 / Credit risk --- p.18 / Market risk --- p.19 / Liquidity risk --- p.19 / Operations risk --- p.20 / Legal risk --- p.20 / Chapter V --- THE RISK MANAGEMENT PROCESS --- p.21 / Risk measurement --- p.22 / Limiting risks --- p.24 / Reporting --- p.25 / Management evaluation and review --- p.26 / Chapter VI --- MANAGEMENT OF PARTICULAR RISK EXPOSURE --- p.28 / Credit risk --- p.28 / Market risk --- p.30 / Liquidity risk --- p.32 / Operations risk --- p.33 / Legal risk --- p.36 / Chapter VII --- MANAGEMENT'S ROLE IN RISK CONTROL --- p.38 / Role of the governing body or other authorizing body --- p.38 / Authorizing body --- p.38 / Written guidelines --- p.39 / Relevant considerations --- p.39 / Authorizing Guidelines --- p.39 / Scope of authorized activity --- p.40 / Guidelines on risk exposure --- p.40 / Role of management --- p.43 / Measurement of risk consistent with prescribed guidelines --- p.43 / Establishment of risk guideline for business units --- p.44 / Data collection and synthesis --- p.44 / Policies for valuation methodology --- p.44 / Frequency of mark to market --- p.45 / Valuation policy --- p.45 / Pricing verification procedures --- p.46 / Model verification procedures --- p.46 / Establish a process for identifying and managing deviations from risk guidelines --- p.46 / Other controls --- p.46 / Legal risk --- p.47 / Operational risk --- p.47 / Designate authority to commit on trades --- p.47 / Role of external audit functions --- p.48 / "Approve internal controls for documentation, adequacy of operational procedures and risk- reduction procedures" --- p.48 / Provide for an adequate level of professional expertise for risk monitoring and risk management --- p.48 / Chapter VIII --- CONCLUSION --- p.49 / REFERENCES

This thesis examines finite dimensional representability of Forward Rate and LIBOR models. A new approach is examined. This approach is more general, elementary, and relevant to finance when compared with existing approaches. This new approach is applied to the following infinite dimensional equations used in finance: ?Gaussian Heath, Jarrow and Morton model; ?Free 1 Heath, Jarrow and Morton model; ?Brace, G?atarek and Musiela???s LIBOR model. Stronger results have been achieved using this approach. The results are as follows: ?The Gaussian HJM model can be represented in finite dimensions if and only if the volatility satisfies a particular differential equation. In which case the finite dimensional representation can be explicitly written; ?The Brace, G?atarek and Musiela???s LIBOR model with one dimensional Wiener process cannot be represented in finite dimensions (other than in a trivial case); ?The Brace, G?atarek and Musiela???s LIBOR model with multidimen-sional Wiener process, and Free HJM have a finite dimensional repre-sentation only if the initial yield curves satisfy a restrictive differential equation. This thesis is arranged as follows ?Chapter 1 is an introduction to this thesis and derivative pricing in general. The reader is referred to section 1.4 titled ???This Thesis?for a more detailed description of the approach of this thesis and its results. ?Chapter 2 contains a brief summary of results from the theory of stochastic processes, stochastic calculus and stochastic equations in infinite dimensions ?Chapter 3 contains an overview of spot market pricing models including the Cox, Ross and Rubinstein and Black and Scholes models. ?Chapter 4 contains an overview of the fixed income market pricing models including the Heath, Jarrow and Morton model; Musiela???s re-formulation of the HJM model; the Goldys, Musiela and Sondermann model; and the Brace, G?atarek and Musiela LIBOR model. ?Chapter 5 contains the primary results of this thesis. Finite Dimen-sional Representability is defined formally and applied to the Musiela reformulated Gaussian HJM model; Musiela reformulated free HJM model; and the Brace, G?atarek and Musiela LIBOR model. This ap-proach and results are compared with the literature.