The Central Bank of Iran banned online currency trading through Forex brokers in November 2016. However, some Iranian speculators still trade in the online Forex market. Is this prohibition on Forex trading reasonable? According to reports, the majority of Forex day traders fail and leave the market within six months to a year. Some scholars attribute this failure to the changeable characterist...

the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

the main goal in carrying out this paper was to investigate the impacts of government’s support policies on income risk of egg producers in iran during years 1989-2008. index ccv, was employed to assess the variation in income of the producers. the results revealed that, market price support along with the overall support policies lead to a lowering of the percentage variations in income risk o...

this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

A new approach to credit risk modelling is introduced that avoids the use of inaccessible stopping times. Default events are associated directly with the failure of obligors to make contractually agreed payments. Noisy information about impending cash flows is available to market participants. In this framework the market filtration is modelled explicitly, and is assumed to be generated by one ...

The value of delayed differentiation (aka postponement) for a monopolist has been extensively studied in the Operations literature. We analyze the case of (imperfectly) competitive markets with demand uncertainty, wherein the choice of supply chain configuration (early/delayed differentiation) is endogenous to the competing firms. We characterize firms’ choices in equilibrium and analyze the ef...

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the ‘Libor market’ modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and recovery is modelled as a fraction of the par value of the defaulted claim. The newly introduced survival...

Financial return on investments and movement of market indicators are fraught with uncertainties and a highly volatile environment that exists in the global market. Equity markets are heavily affected by market unpredictability and maintaining a healthy diversified portfolio with minimum risk is undoubtedly crucial for any investment made in such assets. Effective price and volatility predictio...

this research applies and compares the market leverage lally method, ibbotson and sinquefield method and siegel method, to present alternative measures for market risk premium (mrp) estimation and test forecasting power of these methods in calculating expected rate of return. the higher level of leverage implies greater risk of investment in a specified stock, so higher return is expected by in...