The effects of noise on the world, and on our views of the world, are profound. Noise in the
sense of a large number of small events is often a causal factor much more powerful than a …

… Fischer Black’s published and unpublished work is quoted with permission of the estate
of Fischer Black. Courtesy Alethea Black. For general information on our other products and …

… In the postwar period, the estimates obtained by Black, Jensen, and Scholes for the
mean of R. were significantly greater than zero. One possible explanation for these …

The contract price on a forward contract stays fixed for the life of the contract, while a futures
contract is rewritten every day. The value of a futures contract is zero at the start of each day. …

If options are correctly priced in the market, it should not be possible to make sure profits by
creating portfolios of long and short positions in options and their underlying stocks. Using …

… I follow the BJS procedure closely, except that at the very end I adopt the Black-Scholes
method of estimating portfolio beta, alpha, and residual risk at the same time. I use monthly data …

Options trading is where the action is in the securities markets these days.'There are some
good reasons for the growing popularity of options trading, such as the fact that the brokerage …

1. Its fundamental variable is the short rate? the annualized one-period interest rate. The short
rate is the one factor of the model; its changes drive all security prices. 2. The model takes …

Since people can hold currency at a zero nominal interest rate, the nominal short rate
cannot be negative. The real interest rate can be and has been negative, since low risk real …

Consideration of the global CAPM equilibrium can significantly improve the usefulness of
these models. In particular, equilibrium returns for equities, bonds and currencies provide …