Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / by Klaus Kobold.

Format:

Book

Author/Creator:

Kobold, Klaus.

Series:

Series D--Economics ; 1.

Series D--Economics = Economiques ; 1

Language:

English

Subjects (All):

Interest rate futures.

Capital market.

Hedging (Finance).

Portfolio management.

Physical Description:

1 online resource (xvi, 321 pages) : illustrations

Edition:

Reprint 2011

Place of Publication:

Berlin : W. de Gruyter, 1986.

Language Note:

English

Summary:

Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.

Contents:

Front matter

ACKNOWLEDGEMENTS

INTRODUCTION

CHAPTER I : THE INTEREST RATE FUTURES MARKET

CHAPTER II : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY

CHAPTER III : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL

CHAPTER IV : SUMMARY AND CONCLUSIONS

BIBLIOGRAPHY

Notes:

Description based upon print version of record.

Includes bibliographical references.

ISBN:

9783110903300

311090330X

OCLC:

1013947854