The economics of gold price movements

An abstract for this article is not availableGold - Prices

Commercial paper

An abstract for this article is not available.Commercial paper issues

Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options

This paper expands and tests the approach of Madan and Milne (1994) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and use the model to price options on Eurodollar futures. Restrictions on the prices of Hermite polynomial risk for contingent claims with different times to maturity are derived. These restrictions are rejected by our empirical tests of a four-parameter model. The unrestricted results indicate skewness and excess kurtosis in the implied risk-neutral density. These characteristics of the density are also mirrored in the statistical density estimated from a time series on LIBOR. The out-of-sample performance of the four-parameter model is consistently better than that of a two-parameter version of the model.Euro-dollar market ; Financial markets ; Futures

Pricing S&P 500 index options using a Hilbert space basis

This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on S&P 500 index options. Restrictions on the prices of Hermite polynomial risk are imposed that allow all option maturity classes to be used in estimation. These restrictions are rejected by our empirical tests of a four-parameter specification of the model. Nevertheless, the unrestricted four-parameter model, based on a single maturity class, demonstrates better out-of-sample performance than that of the Black-Scholes version of the Hermite model. The unrestricted four-parameter model results indicate skewness and excess kurtosis in the implied risk-neutral density. The skewness of the risk-neutral density contrasts with the symmetry of the statistical density estimated using the Hermite model on the S&P 500 index returnsOptions (Finance) ; Stock - Prices

The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods

This paper develops a model in which information losses may be an important part of the cost of an OTC derivatives dealer's failure. A dealer failure forces solvent counterparties of a failed dealer to seek replacement hedges with other dealers. However, by forcing good firms into the derivatives market, the failure provides camouflage for insolvent firms seeking to speculate with a dealer that does not know their credit status. The paper models this information loss and uses the model to quantitatively evaluate a range of scenarios. The results suggest that a market breakdown is unlikely but not quite impossible.Derivative securities ; Liquidity (Economics)

Redirecting T Cells to Ewing's Sarcoma Family of Tumors by a Chimeric NKG2D Receptor Expressed by Lentiviral Transduction or mRNA Transfection

We explored the possibility to target Ewing's sarcoma family of tumors (ESFT) by redirecting T cells. To this aim, we considered NKG2D-ligands (NKG2D-Ls) as possible target antigens. Detailed analysis of the expression of MICA, MICB, ULBP-1, -2, and -3 in fourteen ESFT cell lines revealed consistent expression of at least one NKG2D-L. Thus, for redirecting T cells, we fused a CD3ζ/CD28-derived signaling domain to the ectodomain of NKG2D, however, opposite transmembrane orientation of this signaling domain and NKG2D required inverse orientation fusion of either of them. We hypothesized that the particularly located C-terminus of the NKG2D ectodomain should allow reengineering of the membrane anchoring from a native N-terminal to an artificial C-terminal linkage. Indeed, the resulting chimeric NKG2D receptor (chNKG2D) was functional and efficiently mediated ESFT cell death triggered by activated T cells. Notably, ESFT cells with even low NKG2D-L expression were killed by CD8pos and also CD4pos cells. Both, mRNA transfection and lentiviral transduction resulted in high level surface expression of chNKG2D. However, upon target-cell recognition receptor surface levels were maintained by tranfected RNA only during the first couple of hours after transfection. Later, target-cell contact resulted in strong and irreversible receptor down-modulation, whereas lentivirally mediated expression of chNKG2D remained constant under these conditions. Together, our study defines NKG2D-Ls as targets for a CAR-mediated T cell based immunotherapy of ESFT. A comparison of two different methods of gene transfer reveals strong differences in the susceptibility to ligand-induced receptor down-modulation with possible implications for the applicability of RNA transfection

Using Eurodollar futures options: gauging the market's view of interest rate movements

Investors and analysts frequently use financial market prices in their attempts to divine market expectations--a difficult exercise because of the myriad influences on financial market prices. This article focuses on shifts in market outlook regarding the direction of interest rate movements since 1988 as well as market reaction to specific events influencing interest rate changes in the short run--namely, Federal Reserve monetary policy and its periodic Federal Open Market Committee meetings. ; The discussion examines the Eurodollar futures options traded at the Chicago Mercantile Exchange and explains how to infer the implied skewness of interest rates--a measure that gauges the direction and magnitude of their movements--from these options. In particular, this article shows how the skewness of the distribution of a short-term interest rate, LIBOR, can be inferred from market prices. ; The basic conclusion of this article is that a marked shift in market outlook on interest rate movements occurred in late 1992. The analysis finds that during 1993 and 1994, skewness was manifest by a premium in the prices of Eurodollar futures puts, which offer protection against rising interest rates, compared with those of Eurodollar futures calls. The findings also indicate, though, that the Eurodollar futures options prices are too noisy to detect changes in the markets' view of future short-term interest rate movements following FOMC meetings.Euro-dollar market ; Futures ; Financial markets

Over-the-counter financial derivatives: risky business?

Derivative securities ; Over-the-counter markets