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Derivative Products (derivative + products)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Trend derivatives: Pricing, hedging, and application to executive stock options

THE JOURNAL OF FUTURES MARKETS, Issue 2 2007
Markus Leippold
Both institutional and private investors often have only limited flexibility in timing their investment decision. They look for investments that will ideally be independent of the timing decision. In this article, a new class of derivative products whose payoff is linked to the trend of the underlying instrument is introduced. By linking the trend to the payoff, the timing of the decision becomes less important. Therefore, trend derivatives offer some time-diversification benefits. How trend derivatives are designed and priced is shown. Due to their peculiar features, trend derivatives offer some interesting applications such as executive stock option plans. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:151,186, 2007 [source]

The global market for OTC derivatives: An analysis of dealer holdings

THE JOURNAL OF FUTURES MARKETS, Issue 1 2005
Ekaterina E. Emm
We provide a descriptive examination of the trading activities of one of the most important intermediaries in global financial markets,the OTC derivatives dealer. These dealers play a central role in the provision of derivative products and in the intermediation of market risks faced by financial and nonfinancial firms alike. Utilizing a unique database, we analyze the derivatives holdings of 264 dealers spanning 34 countries over the period 1995,2001. We document the geographic composition of dealers on both country and regional levels as well as analyze trends in dealer holdings on an aggregate and individual product level. We further analyze the extent of global merger activity among dealers and resulting consolidation effects. Finally, we investigate at the individual dealer level the extent and evolution of their array of product offerings. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:39,77, 2005 [source]

Managing platform architectures and manufacturing processes for nonassembled products

THE JOURNAL OF PRODUCT INNOVATION MANAGEMENT, Issue 4 2002
Marc H. Meyer
The article presents methods for defining product platforms and measuring business performance in process intensive industries. We first show how process intensive product platforms can be defined using the products and processes of a film manufacturer. We then present an empirical method for understanding the dynamics of process intensive platform innovation, allocating engineering and sales data to specific platform and product development efforts within a product family. We applied this method to a major product line of a materials manufacturer. We gathered ten years of engineering and manufacturing cost data and allocated these to successive platforms and products, and then generated R&D performance measures. These data show the dynamic of heavy capital spending relative to product engineering as one might expect in a process intensive industries. The data also show how derivative products can be leveraged from underlying product platforms and processes for nonassembled products. Embedded within these data are strategies for creating reusable subsystems (comprising components, materials, etc.) and common production processes. Hard data on the degree to which subsystems and processes are shared across different products frequently are typically not maintained by corporations for the duration needed to understand the dynamics of evolving product families. For this reason, we developed and applied a second method to assess the degree of reuse of subsystems and processes. This method asks engineering managers to provide subjective ratings on an ordinal scale regarding the use of technology and processes from one product to the next in a cumulative manner. We find that high levels of reuse generally indicate that a product family was developed with a platform discipline. We applied this measure of platform intensity to two product lines of integrated circuits from another large manufacturer. We used this method to gather approximately ten years of information for each product family. Upon analysis, one product family showed substantial platform discipline, emphasizing a common architecture and processes across specific products within the product line. The other product family was developed with significantly less sharing and reuse of architecture, components, and processes. We then found that the platform centric product family outperformed the latter along a number of performance dimensions over the course of the decade under examination. [source]

Compatibility of Government Guarantees with Flexibility in Canadian Wheat Price Pooling

CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 1 2001
James Unterschultz
Financial option theory is used to evaluate Canadian Wheat Board (CWB) price pooling and associated government guarantees. Price guarantees and final payments on the pool can be viewed as special financial derivative products. Financial models are used to evaluate alternative pricing flexibility alternatives within the constraints of the CWB price pooling system and at the same time to provide a measure of the CWB dollars at risk associated with offering these contracts. Flexible pricing alternatives are incompatible with a government price guarantee that is valuable. The CWB dollar risk associated with flexible pricing could be substantial. Les auteurs recourent à la théorie des contrats d'option pour évaluer le système de fixation de prix communs par la Commission canadienne du blé (CCB) et les garanties connexes du gouvemement. On peut considérer les prix garantis et les paiements finals du pool comme un type particulier de produits dérivés. Des modéles financiers permettent d'évaluer d'autres méthodes qui autoriseraient la fluctuation des prix dans les contraintes du systéme de pool de la CCB, mais serviraient aussi à mesurer les risques financiers de la CCB associés à la proposition de contrats. Les autres méthodes de fixation des prix sont incompatibles avec une garantie valable du gouvemement au niveau des prix. La CCB courrait le risque de penes importantes si elle adoptait une politique de variation des prix. [source]

Copula sensitivity in collateralized debt obligations and basket default swaps

THE JOURNAL OF FUTURES MARKETS, Issue 1 2004
Davide Meneguzzo
This article empirically faces the lively debate over the choice of an appropriate copula function to be used to price and risk monitor some credit derivatives products. We consider the explicit pricing of collateralized debt obligations and basket default swaps, and empirically examine these credit derivatives within the copula framework. The results support in particular the choice of the T-copula because of its greater flexibility in capturing the tail dependence. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:37,70, 2004 [source]