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6 records from EconBiz based on author Name
1. Liquidity resilience in the UK gilt futures market : evidence from the order book
Fullwood, Jonathan; Massacci, Daniele;2018
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link
2. Volatility and the cross-section of returns on FX options
Fullwood, Jonathan; James, Jessica; Marsh, Ian;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 5 (based on OpenCitations)
3. Liquidity Resilience in the UK Gilt Futures Market : Evidence from the Order Book
abstractWe analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These findings mitigate the potential trade-off faced by policy makers such as regulators in maintaining an adequate level of liquidity in the UK long gilt futures market
Fullwood, Jonathan; Massacci, Daniele;2018
Availability: Link Link
4. FX option performance : an analysis of the value delivered by FX options since the start of the market
abstract"Get the little known - yet crucial - facts about FX optionsDaily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance.This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific - travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. The ancillary website supplies additional information, pointing readers toward the tools that allow them to recreate some of the strategies themselves. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it? This book provides concrete answers to these questions and more, showing how general consensus runs counter to the actual numbers. For the interested investor, FX Option Performance is a valuable guide"--
James, Jessica; Fullwood, Jonathan; Billington, Peter;2015
5. FX Option Performance : An Analysis of the Value Delivered by FX Options since the Start of the Market
abstractGet the little known - yet crucial - facts about FX options Daily turnover in FX options is an estimated U.S. 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific - travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?.
James, Jessica; Fullwood, Jonathan; Billington, Peter;2015
Availability: Link
6. The fair value of FX options. Do you get what you pay for?
Charvin, Vincent; Fullwood, Jonathan; James, Jessica;2014
Availability: Link