Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "8488"
  #_source: array:26 [
    "id" => "8488"
    "slug" => "trading-on-interest-rate-derivatives-and-the-cost-of-marking-to-market"
    "yearMonth" => "1998-02"
    "year" => "1998"
    "title" => "Trading on Interest Rate Derivatives and the Cost of Marking-to-Market"
    "description" => "LIOUI, A. et PONCET, P. (1998). <i>Trading on Interest Rate Derivatives and the Cost of Marking-to-Market</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Quand les taux d'intérêt sont stochastiques, le prix du contrat futures écrit  sur une obligation à long terme a une espèrance instantanée supérieure à celle du prix du contrat forward correspondant et une volatilité instantanée identique. De plus, l'investisseur cherchant à se couvrir au maximum préfèrera le futures au forward s'il a une position courte sur l'obligation, et vice-versa. Le spéculateur pur préfèrera  toujours le futures."
      "en" => "Under stochastic interest rates, the price of the market-to-market futures contract written on a bond is shown to have a larger instantaneous drift than that of its forward counterpart while having the same instantaneous volatility. Also, the pure hedger is better (worse) off with futures if he is short (long) in the underlying bond and the pure speculator is better off with futures."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-15T07:21:49.000Z"
    "docTitle" => "Trading on Interest Rate Derivatives and the Cost of Marking-to-Market"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, LIOUI A."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, LIOUI A.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1998</span>"
    "keywordList" => ""
    "docPreview" => "<b>Trading on Interest Rate Derivatives and the Cost of Marking-to-Market</b><br><span>1998-02 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Trading on Interest Rate Derivatives and the Cost of Marking-to-Market</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.436417
  +"parent": null
}