Relative informational efficiency of cash, futures, and options markets: The case of an emerging market

Article Abstract:

The lead-lag relationships among the spot, futures, and options markets in the Hong Kong's Hang Seng Index were studied and found to be dependent on market maturity.

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Reading PIBOR futures options smiles: The 1997 snap election

Article Abstract:

Research information is given for various methods that extract a Risk Neutral Density out of PIBOR interest rate futures options. In conjunction the research compares how investors react to political events.

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Reading PIBOR futures options smiles: The 1997 snap election

Article Abstract:

This paper investigates information in PIBOR futures options during the 1997 snap election, a period of political uncertainty for financial markets. Using the Hermite polynomials method to extract risk neutral densities, investigation found several levels of uncertainty influenced interest rate increases.

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