Essec\Faculty\Model\Contribution {#2205
  #_index: "academ_contributions"
  #_id: "5185"
  #_source: array:26 [
    "id" => "5185"
    "slug" => "trading-on-interest-rate-derivatives-and-the-cost-of-marking-to-market"
    "yearMonth" => "1997-06"
    "year" => "1997"
    "title" => "Trading on Interest Rate Derivatives and the Cost of Marking-to-Market"
    "description" => "LIOUI, A. et PONCET, P. (1997). Trading on Interest Rate Derivatives and the Cost of Marking-to-Market. Dans: <i>14e Conférence Internationale de Finance</i>. Association Française de Finance (AFFI), pp. 683-710."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
    ]
    "ouvrage" => "14e Conférence Internationale de Finance"
    "keywords" => []
    "updatedAt" => "2021-04-19 17:57:25"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "683-710"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Actes d'une conférence"
      "en" => "Conference Proceedings"
    ]
    "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 espérance 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 futur au forward s'il a une position courte sur l'obligation, et vice-versa. Le spéculateur pur préfèrera toujours le futur."
      "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 althought it has the same instantaneous volatility. Also, the pure hedger is better off with futures if it is short  in the underlying bond and the pure speculator is better off with futures."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-24T08:22:11.000Z"
    "docTitle" => "Trading on Interest Rate Derivatives and the Cost of Marking-to-Market"
    "docSurtitle" => "Actes d'une conférence"
    "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">1997</span>"
    "keywordList" => ""
    "docPreview" => "<b>Trading on Interest Rate Derivatives and the Cost of Marking-to-Market</b><br><span>1997-06 | Actes d'une conférence </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Trading on Interest Rate Derivatives and the Cost of Marking-to-Market</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.434619
  +"parent": null
}