SELECTIVE HEDGING OF BANK ASSETS WITH TREASURY BILL FUTURES CONTRACTS

Hedging of Options in Jump-Diffusion Markets with Correlated Assets

We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. ‎This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ‎...

Cross-Hedging Fishmeal: Exploring Corn and Soybean Meal Futures Contracts

Martingale Property in Bond Futures Return including Volatility Spillover Effect from Bank Bill Futures

This paper analyses the time series properties of the daily return from the ten year bond futures contracts traded on the Sydney Futures Exchange (SFE), together with the transmission of volatility from other interest rate futures contracts. The methodology relies on appropriate modelling of the conditional hetersocedasticity observed in the futures price change series. It is then evidnt that t...

Treasury Bill Yields : Overlooked Information ∗

Suppose a risk premium factor denotes the time-varying market prices of risk in the Treasury bond market. The question is whether the risk premium factor affects bond prices. Equivalently, we may ask whether the factor is spanned by the crosssection of term structure. This paper finds that the factor is almost but not completely hidden from term structure. Particularly, Treasury bill yields are...

Conditional Time-varying Interest Rate Risk Premium: Evidence from the Treasury Bill Futures Market

We investigate the conditional interest rate risk premium in Treasury bill futures returns. A one-factor model predicts that the premium depends on the conditional variance. An Intertemporal CAPM based two-factor model predicts that it also depends on conditional covariance with the equity premium. Univariate and bivariate Integrated GARCH-in-Mean models suggest that the premium relates positiv...