Gold Derivatives: Gold Derivatives: - World Gold Council

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123456 Gold Derivatives: The market impact May 2001 Anthony Neuberger Associate Professor of Finance London Business School Advisers: Ian Cooper, Professor of Finance, London Business School Julian Franks, Corp. of London Professor of Finance, London Business School Stephen Schaefer, Tokai Bank Professor of Finance, London Business School Gold Derivatives: The market impact
Gold Derivatives: The market impact by Anthony Neuberger, London Business School, advised by a Steering Group comprising Ian Cooper, Julian Franks and Stephen Schaefer of London Business School. The views expressed in this study are those of the author and not necessarily the views of the World Gold Council or the London Business School. While every care has been taken, neither the World Gold Council nor the London Business School nor the author can guarantee the accuracy of any statement or representations made. Published by Centre for Public Policy Studies, World Gold Council, 45 Pall Mall, London SW1Y 5JG, UK. Tel +44(0)20 7930 5171 Fax + 44(0)20 7839 6561 E-mail: cpps@wgclon.gold.org Website www.gold.org Gold Derivatives: The market impact
Page 1: WORLD GOLD COUNCIL Gold Derivatives
Page 5 and 6: 4 Gold Derivatives: The market impa
Page 7 and 8: 6 Gold Derivatives: The market impa
Page 9 and 10: About the author Anthony Neuberger
Page 11 and 12: When the derivative contract mature
Page 13 and 14: Owners of gold can use the derivati
Page 15 and 16: The level and volatility of lease r
Page 17 and 18: 0 Tonnes 2500 Gold Production Annua
Page 19 and 20: Breakdown of Production in 1968 Lat
Page 21 and 22: Thus while output responds to price
Page 23 and 24: Of the approximately 140,000 tonnes
Page 25 and 26: price of gold following substantial
Page 27 and 28: y the way in which reserves are vie
Page 29 and 30: 1.4 Data issues Published statistic
Page 31 and 32: mismatch of maturity, of lending ra
Page 33 and 34: 2.2 Gold derivative contracts The v
Page 35 and 36: The value of a forward contract A f
Page 37 and 38: position. In an ideal world, if the
Page 39 and 40: (in different maturities) to exploi
Page 41 and 42: Looking at gold as a commodity, it
Page 43 and 44: Gold futures and forward contracts
Page 45 and 46: In practice, the transaction is mos
Page 47 and 48: 2.7: Producer hedging We have seen
Page 49 and 50: Accounting for hedges has long been
Page 51 and 52: But the bank which has sold the hed
Page 53 and 54:
The gross numbers are impressive -
Page 55 and 56:
3.1 The debate outlined The argumen
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some 4,000 tonnes. This is a small
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stock - so many billion dollars - r
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tion is now forecast to have peaked
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62 Gold Derivatives: The market imp
Page 65 and 66:
We use ordinary least squares regre
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To apply the model to our regressio
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y changes in hedging caused by chan
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16/04/99: Gold Fields announces tha
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(5%) significance levels. Closer in
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followed the Washington Agreement (
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and total withdrawal by just one of
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distribution). Since the interest r
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contracts they have with producers.
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In the case of a producer whose mar
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Gold Forward Lease Rates 1993-99 5.
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emains valid, that term premia have
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The second and third sections of th
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over-production will cause forward
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There is a welfare gain from openin
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a strategy to a specialised interme
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2.1 Derivatives market and leverage
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prices of their bonds and reducing
Page 101 and 102:
equire physical delivery, the matur
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the contract is actually in their p
Page 105 and 106:
the GNMA market, reduced random flu
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Cash settlement is also significant
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3.5 Evidence from options: price le
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additional benefits in terms of inc
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Gray R.W., 1964, ‘The Attack on P
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114 Gold Derivatives: The market im
Page 117 and 118:
The simple summation treats all opt
Page 119 and 120:
APPENDIX 3 The Washington Agreement
Page 121:
Headquarters: UK 45 Pall Mall Londo
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Gold Derivatives: Gold Derivatives: - World Gold Council

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