[BOOK][B] An introduction to derivatives and risk management
DM Chance, R Brooks - 2021 - dspace.vnbrims.org
As this book goes into its eighth edition, I continue to be amazed at how the derivatives and
risk management world have evolved. When I originally drafted a plan for the first edition, I …
risk management world have evolved. When I originally drafted a plan for the first edition, I …
Therepricing'of executive stock options
We examine a sample of firms that reset the exercise prices on their executive options. These
repricings follow a period of about one year of poor firm-specific performance in which the …
repricings follow a period of about one year of poor firm-specific performance in which the …
A Re-examination of Interest Rate Sensitivity in the Common Stocks of Financial Institutions.
DM Chance, WR Lane - Journal of Financial Research, 1980 - search.ebscohost.com
This article focuses on the re-examination of interest rate sensitivity in the common stocks of
financial institutions. Although no definitive theoretical or empirical link has been developed, …
financial institutions. Although no definitive theoretical or empirical link has been developed, …
The effect of 12b-1 plans on mutual fund expense ratios: A note
IN 1980, THE SECURITIES AND Exchange Commission approved rule 12b-1 which authorizes
mutual funds to deduct a sum of money, called a distribution fee, from net assets, with …
mutual funds to deduct a sum of money, called a distribution fee, from net assets, with …
Default risk and the duration of zero coupon bonds
DM Chance - The journal of finance, 1990 - Wiley Online Library
This paper applies a contingent claims approach to examine the duration of a zero coupon
bond subject to default risk. One replicating portfolio for a default‐prone zero coupon bond …
bond subject to default risk. One replicating portfolio for a default‐prone zero coupon bond …
The performance of professional market timers: daily evidence from executed strategies
DM Chance, ML Hemler - Journal of Financial Economics, 2001 - Elsevier
We examine the performance of 30 professional market timers during 1986–1994. Prior
studies have analyzed implicit recommendations from mutual fund returns or explicit …
studies have analyzed implicit recommendations from mutual fund returns or explicit …
Benefits and limitations of diversification among commodity trading advisors
RS Billingsley, DM Chance - Journal of Portfolio Management, 1996 - search.proquest.com
Randall S. Billingsley and Don M. Chance he benefits of diversification have been well-established
since the early work of Markowitz| 1952] and the formal proofs of Samuelson| 1967]. …
since the early work of Markowitz| 1952] and the formal proofs of Samuelson| 1967]. …
The effect of aviation disasters on the air transport industry: a financial market perspective
An air crash is a devastating event. The immediate and long-range human loss cannot be
fully measured, much less adequately compensated. The ramifications on the companies …
fully measured, much less adequately compensated. The ramifications on the companies …
A synthesis of binomial option pricing models for lognormally distributed assets
DM Chance - Available at SSRN 969834, 2007 - papers.ssrn.com
The finance literature has revealed no fewer than 11 alternative versions of the binomial
option pricing model for pricing options on lognormally distributed assets. These models are …
option pricing model for pricing options on lognormally distributed assets. These models are …
A generalized simple formula to compute the implied volatility
DM Chance - Financial Review, 1996 - Wiley Online Library
This paper provides a direct method of obtaining an accurate estimate of the implied volatility
of a call option. It adds a quadratic adjustment term to an already‐known formula for at‐the‐…
of a call option. It adds a quadratic adjustment term to an already‐known formula for at‐the‐…