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dc.contributor.advisorFadıloğlu, M. Muraten_US
dc.contributor.authorPoyraz, Altay Emreen_US
dc.date.accessioned2016-01-08T18:05:28Z
dc.date.available2016-01-08T18:05:28Z
dc.date.issued2008
dc.identifier.urihttp://hdl.handle.net/11693/14702
dc.descriptionAnkara : The Department of Industrial Engineering and and the Institute of Engineering and Sciences of Bilkent University, 2008.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 20068en_US
dc.descriptionIncludes bibliographical references leaves 46-49.en_US
dc.description.abstractAlong with price limits, the margin mechanism ensures the integrity of futures markets. Exchanges face a trade-off between setting higher margin levels to protect the market from possible defaults and setting lower margin levels to make the market attractive to customers. In this thesis we develop a model to determine optimal margins and price limits for futures contracts, which minimizes the liquidity and margin costs to the traders while protecting the market from disruptions. Our model allows asymmetry between upper and lower price limits consequently between margins for long and short positions. We also provide a model, which is valid in the absence of price limits, to determine optimal margins and compare it with our previous model with price limits. The suggested model is applied to canola futures contract traded in Winnipeg Commodity Exchange (WCE) and comparable results to actual margin levels imposed by the exchange are obtained.en_US
dc.description.statementofresponsibilityPoyraz, Altay Emreen_US
dc.format.extentx, 49 leavesen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMargin settingen_US
dc.subjectGARCH estimationen_US
dc.subjectcensored observationsen_US
dc.subjectfutures marketsen_US
dc.subjectprice limitsen_US
dc.subject.lccHG6024.A3 P69 2008en_US
dc.subject.lcshFutures market--Mathematical models.en_US
dc.subject.lcshFinancial futures--Mathematical models.en_US
dc.subject.lcshCommodity exchanges.en_US
dc.titleOptimal margins and price limits for future contractsen_US
dc.typeThesisen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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