:: Collaborations ::

:: Journals & Articles ::

Articles

• The Pricing of Options and Corporate Liabilities - Fisher Black and Myron Scholes's original paper on pricing options, published by Journal of Political Economy. You will need to subscribe to the journal to download this paper.
  
  
• The Midas Formula - A BBC TV programme on the the history behind the Black-Scholes formula and its application to solve a problem that had plagued economists for centuries. Transcript and biographies of the programme is available for download. Video copies of the programme can be purchased from the website.
  
  
• A Study of Option Pricing Models - This interesting article by Kevin Rubash charted the short history of how Fisher and Myron came to develop the Black-Scholes model, and with the aid of graphs and equations, a few properties of the model are also described.
  
  
• Metallgesellschaft AG: A Case Study - Case study on how the US subsidiary of Metallgesellschaft AG, a german conglomerate wrote and lost $1.5 billion of oil forward contracts, forcing its parent to close out the NYMEX contracts at a loss.
  
  
• Not Just One Man - Barings - Case study on the chain of events led to the collapse of Barings Bank.
  
  
• Analysing Sumitomo - Case study on how Mr. Hamanaka, a commodity trader at Sumitomo Bank managed to lose $1.8 billion.
  
  
• Orange County Case: Using Value at Risk to Control Financial Risk - Philippe Jorion's excellent case study on how a municipality can lose $1.6 billion through investment in derivatives, which led to the bankruptcy of the county shortly thereafter. Philippe Jorion is also the author of the first book on VAR - Value at Risk: The New Benchmark for Controlling Market Risk.
  
  
• The Causes of the Asian Financial and Economic Crisis - Case study on how the East Asian crisis materialised in mid-1997, after continuous strong economic performance for over 8 years.
  
  
• Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management - The US Treasury's final report into what exactly happened at LTCM.
  
  
• Lessons From The Collapse of Hedge Fund, Long-Term Capital Management (LTCM) - Case study on the collapse of LTCM by David Shirreff. A Word copy is available for download .
  
  
• Action in the Marketplace - Provides an overview of the history of the CBOT. Describes the workings of the market, and explains how futures contracts are traded.
  
  
• Trading in Futures: An Introduction for Speculators - Published by the CBOT. Describes the fundamentals of speculating, the mechanics of the futures market, and trading techniques incorporating fundamental and technical analysis.
  
  

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