Who uses derivatives? (Artigo com vários links)
Enviado: 13/1/2004 21:21Bartram, Brown, and Fehle provide a fascinating look at who uses derivatives? And what type of derivatives do they use? After examining nearly 7300 non financial firms from 48 countries, they report that about 60% of the firms used some derivatives. Currency derivatives were the most popular kind used followed by interest rate derivatives. Only 10% used commodity derivatives.
http://papers.ssrn.com/sol3/papers.cfm? ... _id=471245
Bondarenko reports that the Put option anomaly (that is why put prices are higher than models would predict) is still alive and well. He finds “no model within a fairly broad class of models can possibly explain the put anomaly. In fact, only a small portion of the put mispricing can be attributed to a combination of risk aversion, the Peso problem, and incorrect beliefs.” (BTW even if you are not an expert on the math involved in most derivatives, I HIGHLY recommend that you read the introduction. VERY GOOD!)
http://papers.ssrn.com/sol3/papers.cfm? ... _id=375784
A reader forwarded me this cool introductory article on derivatives and their dangers.
http://www.busrep.co.za/index.php?fArti ... fSetId=304
FinanceProfessor.com
http://papers.ssrn.com/sol3/papers.cfm? ... _id=471245
Bondarenko reports that the Put option anomaly (that is why put prices are higher than models would predict) is still alive and well. He finds “no model within a fairly broad class of models can possibly explain the put anomaly. In fact, only a small portion of the put mispricing can be attributed to a combination of risk aversion, the Peso problem, and incorrect beliefs.” (BTW even if you are not an expert on the math involved in most derivatives, I HIGHLY recommend that you read the introduction. VERY GOOD!)
http://papers.ssrn.com/sol3/papers.cfm? ... _id=375784
A reader forwarded me this cool introductory article on derivatives and their dangers.
http://www.busrep.co.za/index.php?fArti ... fSetId=304
FinanceProfessor.com