Pricing and hedging a participating forward contract

Download
index.pdf
2013
Ünver, İbrahim Emre
Show full item record
232
views
236
downloads
We use the Garman-Kohlhagen model to compute the hedge and price of a participating forward contract on the US dollar that is written by a Turkish Bank. The algorithm is computed using actual market data and a weekly updated hedge is computed. We note that despite a weekly update and many assumptions made on the volatility and the interest rates the model gives a very reasonable hedge.
Money market, Foreign exchange, Capital market
http://etd.lib.metu.edu.tr/upload/12615532/index.pdf
https://hdl.handle.net/11511/22610
Graduate School of Applied Mathematics, Thesis

Suggestions

Pricing to market : an evaluation for Turkey
Yönder, Erkan; Akbostancı Özkazanç, Elif; Department of Economics (2007)
This thesis investigates pricing to market behavior in the exports of Turkey, which is a small economy. The investigated sectors are hazelnut, dried grape, dried apricot, dried fig and feldspar. The sectors are selected because Turkey is the leading producer and exporter for these products in the world. We apply pricing to market model for the exports from Turkey to each of the largest importer countries and the world in total for each product to check whether there is monopolistic behavior in the markets. ...
Modelling nonlinearities in European money demand : an application of threshold cointegration model
Korucu Gümüşoğlu, Nebile; Öcal, Nadir; Department of Economics (2013)
The money demand function has been regarded as a fundamental building block in macroeconomic modelling, as it represents the link between the monetary policy and rest of the economy. The extensive literature on money demand function is concerned with the existence of a stable money demand function, which ensures adequate prediction of impact of a given change in money supply on other economic variables such as, inflation, interest rates, national income, private investment and other policy variables. This t...
Non-linear structure of the Turkish interest rate transmission mechanism
Bozok, İhsan; Yıldırım Kasap, Dilem; Department of Economics (2012)
This paper empirically analyses the interest rate transmission mechanism from money market rate to lending rate by utilizing the bank-level data in the distinction of cash, automobile, housing and corporate loans in Turkey. The main objective is to reveal the possible asymmetries of the adjustment process as well as the extent of the pass through. Empirical results indicate that mark-up value is the minimum for corporate rates on average, followed by housing, automobile and cash rates, respectively. Additio...
A Comparative study for nonlinear structure of the interest rate pass through
Değer, Osman; Yıldırım Kasap, Dilem; Department of Economics (2012)
This study investigates the interest rate pass through from the money market rate to the lending rate by utilizing monthly data of fifteen countries, grouped as high income, upper middle income and lower middle income, over the period 1999:01-2011:09. Taking the linear cointegration test of Engle-Granger as benchmark, we employ threshold cointegration tests of Enders and Siklos (2001) in order to account for the possible nonlinearities in the pass-through process. Empirical results reveal that the pass thro...
Heuristic based trading system on forex data using technical indicator rules
Öztürk, Murat; Toroslu, İsmail Hakkı; Fidan, Güven; Department of Computer Engineering (2015)
The foreign exchange market, which is widely known as Forex or FX, is the largest financial market with a daily transactional volume of $5 trillion. Due to the huge structure of the market, price analysis on FX market draws attention of many scientists and practitioners. There are 2 main analysis approaches: Fundamental and technical analysis. Fundamental analysis focuses on the macroeconomic factors such as interest rate to explain the market movements. Technical analysis deals with past market price data ...
Citation Formats
İ. E. Ünver, “Pricing and hedging a participating forward contract,” M.S. - Master of Science, Middle East Technical University, 2013.
METU IIS - Integrated Information Service open@metu.edu.tr