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Evolution of advertisements in a dynamic environment: a case study of soft drinks
(Indian Institute of Management Ahmedabad, 2004)
The Product’s life cycle usually consists of five major steps or phases : Product development, Product introduction, Product growth, Product maturity and finally Product decline. The PLC shows projected or historical sales ...
Comparison of CDS prices for different valuation models and hazard rates
(Indian Institute of Management Ahmedabad, 2004)
This paper provides a comparison between the CDS spreads estimated by Hull and white model and Equivalent Recovery model. The paper compares the models for different maturities, using different time-varying hazard rate ...
Weekend effect in stock markets
(Indian Institute of Management Ahmedabad, 2004)
Weekend Effects is described as a common occurrence in which stock returns tend to be negative on Mondays and positive on Fridays. The existence of the effect has been established in various countries. We intend examining ...
Volatility trading and information content: the Indian implied volatility index
(Indian Institute of Management Ahmedabad, 2004)
Testing time and calendar anomalies in Indian equity market
(Indian Institute of Management Ahmedabad, 2004)
Weak and semi- strong forms of inefficiencies have been found to exist even in developed market. Abnormal returns on a specific day, month or calendar event are one such example of inefficiencies. Researches have found ...
Value at risk for non normally distributed market variables and incorporating event risk
(Indian Institute of Management Ahmedabad, 2004)
The paper present a new method for computing the VaR for a set of fixed income securities based on extreme value theory that models the tail probabilities directly without making any assumption about the distribution of ...
Tri-sector model of development: an extension of labour surplus economics
(Indian Institute of Management Ahmedabad, 2004)
Volatility forecasting of S&P CNX NIFTY stock index returns with long memory
(Indian Institute of Management Ahmedabad, 2004)
Volatility characteristics of Indian options market
(Indian Institute of Management Ahmedabad, 2004)
Study of the approaches to term structure modelling and their applications in the pricing of interest rate derivatives
(Indian Institute of Management Ahmedabad, 2004)
The theory of the term structure of interest rates has evolved greatly over the last fifty years. This evolution has been largely motivated by the growth of the markets and their diverse needs. Simple explanations like the ...