the history of legislations and statutory law securities markets in iran represents a scattered and haphazard adoption for other jurisdictions without a proper attention to the theoretical foundations of foreign laws. this has led to incompetent and alien laws to the indigenous conditions. as such a theoretical investigation of the foundations and policies behind such laws is inevitable. as far...

as a way to hedge barrier options when the underlying is a futures price with no drift. Derman, Ergener & Hani (1994) relaxed this drift restriction by introducing an algorithm for hedging barrier options in a bi-nomial model, using options with a single strike but multiple expiries. By contrast, this article provides explicit formulas for static hedges in the standard Black-Scholes (1973) mode...

he introduction of Treasury inflation-protected securities (TIPS) in the United States in 1997 offered multiple potential benefits. First, the development was intended to offer investors a security that would enable them to hedge inflation. Second, by taking on the risk of inflation, the U.S. Treasury Department would not have to pay an inflation risk premium on its securities, thereby lowering...

The market for U.S. Treasury securities is by many measures the largest, most active debt market in the world. At the end of September 1999, the amount of Treasury debt held outside federal government accounts totaled about $3.6 trillion, close to the amount of outstanding debt securities issued by all U.S. corporations combined.1 Moreover, enormous amounts of Treasury securities are traded eve...

Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infi...