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The Information Content of Prices in Derivative Security Markets

The Information Content of Prices in Derivative Security Markets »

Article

Source: The Information Content of Prices in Derivative Security Markets

Volume/Issue: 1991/132

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451932553

Keywords: bond, bond futures, futures price, option pricing, stock price

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes inter...

Crude Oil Prices

Crude Oil Prices »

Article

Source: Crude Oil Prices : Trends and Forecast

Volume/Issue: 2008/133

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

ISBN: 9781451869927

Keywords: Characteristic function, crude oil prices, density forecast, Esscher transform, Fourier transform, inverse problem, normal inverse Gaussian, option prices., oil prices, probability

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward c...

Puttable and Extendible Bonds

Puttable and Extendible Bonds »

Article

Source: Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets

Volume/Issue: 2003/201

Series: IMF Working Papers

Author(s): Salih Neftci , and Andre Santos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

ISBN: 9781451874372

Keywords: Fixed income securities, option pricing theory, bonds, bond, bond prices, hedging, term bond,

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties im...

Incorporating Market Information into the Construction of the Fan Chart

Incorporating Market Information into the Construction of the Fan Chart »

Article

Source: Incorporating Market Information into the Construction of the Fan Chart

Volume/Issue: 2009/178

Series: IMF Working Papers

Author(s): Prakash Kannan , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873252

Keywords: Fan Chart, Balance of Risks, Option Prices, Consensus Forecasts, risk factors, survey, skewness, normal distribution, equation,

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the...

To Bet or Not to Bet

To Bet or Not to Bet »

Article

Source: To Bet or Not to Bet : Copper Price Uncertainty and Investment in Chile

Volume/Issue: 2016/218

Series: IMF Working Papers

Author(s): Fabio Comelli , and Esther Perez Ruiz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 November 2016

ISBN: 9781475553598

Keywords: Investment, Exchange rates, Chile, Chile, Copper, Commodity prices, Vector autoregression, Options, copper price, exchange rate

A strand of research documents Chile's copper dependence hence significant exposure to terms of trade shocks. Copper prices' sharp decline and forecast uncertainty since the end of the commodity super-cycle has rek...

The Contingent Claims Approach to Corporate Vulnerability Analysis

The Contingent Claims Approach to Corporate Vulnerability Analysis »

Article

Source: The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer

Volume/Issue: 2004/121

Series: IMF Working Papers

Author(s): Yingbin Xiao , Dale Gray , Cheng Lim , and Michael Gapen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451854411

Keywords: Contingent claims approach, Corporate sector vulnerability, financial sector, option pricing, capital markets, hedging, international capital markets, Contigent claims approach,

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles,...

Optimal Oil Production and the World Supply of Oil

Optimal Oil Production and the World Supply of Oil »

Article

Source: Optimal Oil Production and the World Supply of Oil

Volume/Issue: 2012/294

Series: IMF Working Papers

Author(s): Nikolay Aleksandrov , lajos Gyurko , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 December 2012

ISBN: 9781616354831

Keywords: Real Options, Capacity Expansion, Equilibrium Price of Oil, oil revenues, oil prices, world supply, oil fields, General, Energy and the Macroeconomy,

We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss th...

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices »

Article

Source: Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Volume/Issue: 2004/196

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2004

ISBN: 9781451859997

Keywords: Finite difference, Implied risk-neutral distribution, Inverse problem, Market expectations, Option prices, Smile, State prices, Volatility, equation, probability

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dol...

Wealth Effects and the New Economy

Wealth Effects and the New Economy »

Article

Source: Wealth Effects and the New Economy

Volume/Issue: 2001/77

Series: IMF Working Papers

Author(s): Torsten Sloek , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451849998

Keywords: Wealth effects, new economy, stock markets in the 1990s, stock market, stock market capitalization, stock options, stock prices, stock ownership, Macroeconomics: Consumption, Saving

This paper investigates if there is a different impact from changes in "new" and "old" economy stock valuations on private consumption. Estimating a reduced-form VAR for seven OECD countries for the 1990s, it is fo...

The Information Content of Prices in Derivative Security Markets

The Information Content of Prices in Derivative Security Markets »

Journal Issue

Volume/Issue: 1991/132

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

DOI: http://dx.doi.org/10.5089/9781451932553.001

ISBN: 9781451932553

Keywords: bond, bond futures, futures price, option pricing, stock price

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes inter...