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Commodity
Futures in India
-- Rajesh
Chakrabarti
Financial
derivatives, futures and options, have emerged as widely-traded
instruments around the world, including emerging markets.
Commodity futures form a small part of trading but have important
hedging implications for agricultural producers and consumers.
In India, trading in futures was banned for decades before
it was again made legal in mid-1990s. Since then commodity
futures trading is conducted in over 25 exchanges, with four
major multi-commodity exchanges set to dominate trading in
the future. The exchanges vary in their contract specifications
and settlement rules. Keeping pace with the rest of the world,
Indian futures exchanges are also increasingly taking to the
Electronic Communication Network (ECN) framework for trading.
©
2005 Rajesh Chakrabarti. All Rights Reserved.
Estimation
of the Risk Premiums in Natural Gas Markets
-- James S Doran
In
this paper the author attempts to estimate the risk premiums
in energy markets using the closing prices from futures and
options contracts of natural gas. Solving for the instantaneous
parameters is conducted over several parametric models where
the results suggest a model that incorporates both return
and volatility jumps best capture the return dynamics for
this energy commodity. Solving for the market price(s) of
risk requires calibrating the model by combining both the
risk-neutral and real world distributions. In using both the
current futures price and the cross-section of option prices,
estimation of the parameters is conducted using a simulated
method of moments technique by minimizing the difference between
the estimated and actual realized volatility and option prices.
A statistically significant negative volatility and price
premium for natural gas contracts is found. Controlling for
seasonality suggest differences in premia across different
seasons, with winter months having higher negative premiums.
©
2005 James S Doran. All Rights Reserved.
Potential
of Idea Futures Markets in Educational Technology
-- David L Passmore, Evin Dogan Cebeci and Rose M Baker
The
concepts and methods used in commodity and financial futures
markets are adapted to structure "idea" futures
markets. Instead of trading on future prices for commodities
or financial instruments, an idea futures market trades on
the likelihood of realization of a specific, identifiable,
operational proposition at some future point in timean idea.
Shares in an idea future are bought and sold using standard
market methods. The price of a future reflects the aggregated
information over all traders about the probability associated
with the proposition. Prices rise or fall based upon changes
in information perceived by market participants. Idea futures
markets have strong applicability to strategic, tactical,
and logistics decisions about the development, diffusion,
and implementation of educational technology innovations.
©
2005 IUP. All Rights Reserved.
The
Indian Swap Market A Primer
-- Amit
Kulkarni
Traded
volumes in the Indian OTC derivatives market have grown exponentially
since their introduction in the late 1990s. The products traded
have gradually evolved from being simple `plain vanilla' to
some extremely complex exotic structures. In this article,
the author presents the findings of the survey undertakenonsite
and offsite of the products traded in the Indian swap market.
The broad conclusion of the study appears to be that a sizeable
number of public sector banks and corporates are exposed to
significant off-balance sheet risk arising from OTC derivatives;
the counterparties to such deals being primarily major private
banks and foreign banks operational in India.
©
2005 IUP. All Rights Reserved.
Research
Summary
Currency
Futures and Currency Crises
In
the light of growing derivatives trading around the world
it is important to know about both the positive and negative
consequences of derivatives usage in the financial markets
regime. The present research investigates the role of currency
futures in currency crises.
©
2004 Andreas Röthig. All Rights Reserved. The IUP holds the copyright for the summary. |
