Template-Type: ReDIF-Article 1.0 Author-Name: Sunrita Chaudhuri Author-X-Name-First: Sunrita Author-X-Name-Last: Chaudhuri Author-Name: Alok Pandey Author-X-Name-First: Alok Author-X-Name-Last: Pandey Title: Equilibrium interest rate models for the Indian Government security market Abstract: After the financial sector reforms of the 1990s, interest rates in the debt segment are increasingly being determined by the market. Active participants in the debt market, therefore, need to use appropriate models to ensure fair pricing of interest rate related products and their derivatives. The two most widely used equilibrium models are Vasicek and Cox Ingersoll and Ross model. This study estimates the parameters of the Vasicek and Cox and Ingersoll and Ross model using 91Days T-Bills data from the Indian market. Thereafter the term structure of interest rates is simulated for future periods. Finally, the model parameters are used to price interest rate related instruments and derivative instruments. Journal: Int. J. of Financial Markets and Derivatives Pages: 70-86 Issue: 1 Volume: 10 Year: 2024 Keywords: Vasicek model; Cox Ingersoll and Ross model; calibration; maximum likelihood estimation; MLE; ordinary least squares; OLS; pricing of interest rate options. File-URL: http://www.inderscience.com/link.php?id=140636 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:70-86 Template-Type: ReDIF-Article 1.0 Author-Name: Chanchal Saini Author-X-Name-First: Chanchal Author-X-Name-Last: Saini Author-Name: Ishwar Sharma Author-X-Name-First: Ishwar Author-X-Name-Last: Sharma Title: Price discovery and volatility connectedness in Indian gold market: a study of ETFs, spot and futures Abstract: We examined the relationship among Indian gold exchange-traded funds (ETFs), spot, and futures markets through price discovery and volatility spillover. Eleven gold ETFs traded on NSE, spot price prevailed in Ahmedabad, and the nearest futures contract traded on the MCX have been chosen for the study. The period is taken from the inception of each gold ETF till 31 December 2023. We used a new measure, i.e., price leadership share (PLS), based on the Markov chain and found that the futures market leads in price discovery. The ETF market's price discovery is improved compared to the spot market. Applying the TVP-VAR extended joint connectedness approach; we found that futures transmit volatility, while spot and ETFs are net receivers. These findings have important implications for government policy making and investors' risk management strategies. The study contributes new evidence on the price discovery and volatility transmission dynamics in the Indian gold market. Journal: Int. J. of Financial Markets and Derivatives Pages: 1-20 Issue: 1 Volume: 10 Year: 2024 Keywords: price leadership share; TVP-VAR extended joint connectedness; Indian gold market; market efficiency; information flow. File-URL: http://www.inderscience.com/link.php?id=140652 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: Zagdbazar Davaadorj Author-X-Name-First: Zagdbazar Author-X-Name-Last: Davaadorj Title: The impact of CDX spreads on individual credit default swap contracts Abstract: The study empirically tests whether CAPM can effectively explain the spread of CDSs by evaluating systematic risk within this market and examines the impact of the credit default swap index (CDX) on the pricing of individual CDS contracts across different sectors. The findings reveal the significant role of the CDX in signalling the overall health of the credit market and influencing individual CDS spreads, emphasising its importance for hedging purposes rather than for speculation. This study not only fills a critical gap by extending CAPM's testing to the CDS market but also provides nuanced insights into the dynamics of credit risk management, which are crucial for investors and policymakers engaged in the financial markets. These findings underscore the need for a deeper understanding of market-wide indicators and their impact on pricing and risk assessment in the evolving landscape of financial derivatives. Journal: Int. J. of Financial Markets and Derivatives Pages: 35-46 Issue: 1 Volume: 10 Year: 2024 Keywords: credit default swap index; CDX; credit default swap; CDS; capital asset pricing model; CAPM. File-URL: http://www.inderscience.com/link.php?id=140653 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:35-46 Template-Type: ReDIF-Article 1.0 Author-Name: Marco Cucculelli Author-X-Name-First: Marco Author-X-Name-Last: Cucculelli Author-Name: Paritosh Navinchandra Jha Author-X-Name-First: Paritosh Navinchandra Author-X-Name-Last: Jha Author-Name: Francesca Mariani Author-X-Name-First: Francesca Author-X-Name-Last: Mariani Author-Name: Simone Orazi Author-X-Name-First: Simone Author-X-Name-Last: Orazi Title: Modelling options on football players using individual rankings and club market value: evidence from Italy Abstract: The paper develops a theoretical model for the valuation of options on players using individual player performance and club market value as value drivers. The paper also provides a test of the model by using data on individual rankings (from Squawka) to determine the value of players. For the team, the market value of listed clubs net of fixed assets is used. To account for the influence of player age on the ranking, the value is modelled using a mean reversion process. The model provides estimates that are consistent with the actual values on the transfer market in the case of three Italian football players. The empirical analysis is complemented by a predictive approach to check the robustness, generalisation and consistency of the proposed model. Journal: Int. J. of Financial Markets and Derivatives Pages: 47-69 Issue: 1 Volume: 10 Year: 2024 Keywords: option pricing; football player; club; rankings; data analysis; sport; Italy. File-URL: http://www.inderscience.com/link.php?id=140655 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:47-69 Template-Type: ReDIF-Article 1.0 Author-Name: Patrick Ge Author-X-Name-First: Patrick Author-X-Name-Last: Ge Author-Name: Jerry Zhou Author-X-Name-First: Jerry Author-X-Name-Last: Zhou Title: Asian option pricing under negative asset price in commodity market Abstract: The conundrum of crude oil's futures price plunging below zero thrust the markets into a turbulent period in April 2020. Negative prices have long been seen in commodity markets, such as negative freight rates and electricity prices, etc. Those phenomena led to the failure of the traditional options pricing models, as they cannot accept negative asset prices. In this paper, an analytical pricing formula based on the Bachelier model is derived for Asian options, to replace the well-adopted Turnbull-Wakeman model in the midst of negative asset prices. In practice, the switching of models involves a couple of issues of volatility transformation, valuation changes, etc. A realistic approach is discussed to achieve a smooth model transition and minimise the impact on the market. Journal: Int. J. of Financial Markets and Derivatives Pages: 21-34 Issue: 1 Volume: 10 Year: 2024 Keywords: option pricing; negative price; Bachelier model; commodity; Asian option; model switch. File-URL: http://www.inderscience.com/link.php?id=140662 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:10:y:2024:i:1:p:21-34