Journal of Derivatives and Quantitative Studies: 선물연구: Volume 10 Issue 1 , Open Access

An Empirical Study on the Nonlinear Dynam Relationship between Spot and Futures Pri

In Joon Kim, Young Gyun Seo

This paper examines empirically the dynamic relationship between spot and futures prices in stock index futures market using data for the KOSPI200 during 1996 to 2001, and…

Optimal Hedging Strategy with Natural Ga Futures and Options

Sang Jang Kwon, Soo Jong Kwak

In this paper, we theoretically examine the optimal hedge strategy for a natural gas company. The use of natural gas derivatives to minimize consumers' per unit cost of natural…

Intraday Volatility in the Korean Stock Ind and Korean Stock Index Futures Markets

Se Kyung Oh

This paper tries to find the information flow between KOSPI200 Index and KOSPI200 Futures more accurately by considering two models. First, three-stage least-squares regression is…

Price Limits, the VaR calculation, and a Monte Carlo Simulation

Jin Yoo

This paper raises an issue of calculating a value at risk (VaR) of a stock price in the presence of daily price limits, suggests an appropriate methodology for it, and discusses…

The Impact of Default Correlations on the Prices of Collateralized Bond Obligat

In Joon Kim, Suk Joon Byun, Yuen Jung Park

This paper presents a numerical procedure for pricing collateralized bond obligations (CBO) and analyze the impact of default correlations for the prices of collateralized bond…