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Option-Implied Correlations, Factor Models, and Market Risk 期权隐含相关性、因子模型和市场风险
StructuredMarkets Equity Derivatives Journal Pub Date : 2016-11-01 DOI: 10.2139/ssrn.2906484
A. Buss, Lorenzo Schoenleber, G. Vilkov
{"title":"Option-Implied Correlations, Factor Models, and Market Risk","authors":"A. Buss, Lorenzo Schoenleber, G. Vilkov","doi":"10.2139/ssrn.2906484","DOIUrl":"https://doi.org/10.2139/ssrn.2906484","url":null,"abstract":"Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter ahead. Contrary to the accepted view, implied correlation predicts the market return not through a diversification risk (average correlation) channel, but by predicting a concentration of market exposure, which defines the level of non-diversifiable market risk, or systematic diversification. Economy-wide implied correlation built exclusively from option prices of nine sector ETFs and the S&P500 efficiently predicts future market returns and systematic diversification risk in the form of market betas dispersion. Newly developed implied correlations for economic sectors provide industry-related information and are used to extract option-implied risk factors from sector-based covariances.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114516169","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
ETFs vs Structured Notes: The Equity Yield Enhancement Puzzle etf与结构性票据:股票收益提升之谜
StructuredMarkets Equity Derivatives Journal Pub Date : 2016-09-15 DOI: 10.2139/ssrn.2839542
Nicolas Patassi
{"title":"ETFs vs Structured Notes: The Equity Yield Enhancement Puzzle","authors":"Nicolas Patassi","doi":"10.2139/ssrn.2839542","DOIUrl":"https://doi.org/10.2139/ssrn.2839542","url":null,"abstract":"Under a particular low rates global context, the portfolio optimization question is more relevant than ever. This unveils more implicit problems which long-only investors face as well as monitor and control risks, satisfy regulatory requirements while seeking to translate a market anticipation into position in the simplest and the more comprehensible assets they can find to avoid unwanted technical downturn, and optimize their structure of fees.However, with a wide range of eligible asset classes, and under a diversification purpose, the portfolio optimization problem is often exceeded, including the aim of enhance yields in accordance with the portfolio structure and levels of hedging. This can be particularly relevant when traditional assets deliver a shifted conception of performance, meaning stocks can be invested for dividend yield and bonds for rate curve movements, and when volatility spikes obstruct a market long-term vision. This paper aims to introduce Exchange Traded Funds and structured notes as equity yield enhancement products, by presenting and confronting characteristics an investor have to focus when he seeks to find the product likely to match his needs.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127382636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intraday Share Price Volatility and Leveraged ETF Rebalancing 盘中股价波动与杠杆ETF再平衡
StructuredMarkets Equity Derivatives Journal Pub Date : 2015-10-19 DOI: 10.2139/ssrn.2161057
Pauline Shum Nolan, Walid Hejazi, Edgar Haryanto, Arthur Rodier
{"title":"Intraday Share Price Volatility and Leveraged ETF Rebalancing","authors":"Pauline Shum Nolan, Walid Hejazi, Edgar Haryanto, Arthur Rodier","doi":"10.2139/ssrn.2161057","DOIUrl":"https://doi.org/10.2139/ssrn.2161057","url":null,"abstract":"Regulators and market participants are concerned about leveraged exchange-traded funds (ETFs)’ role in driving up end-of-day volatility through hedging activities near the market’s close. Leveraged ETF providers counter that the funds are too small to make a meaningful impact on volatility. For the period surrounding the financial crisis, 2006–11, we show that end-of-day volatility was positively and statistically significantly correlated with the ratio of potential rebalancing trades to total trading volume. The impacts were not all economically significant, but largest during the most volatile days. Given the predictable pattern of leveraged ETF hedging demands, implications for predatory trading are explored.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129787074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 49
'Hot-Start' Initialization of the Heston Model 赫斯顿模型的“热启动”初始化
StructuredMarkets Equity Derivatives Journal Pub Date : 2015-10-15 DOI: 10.2139/ssrn.2674858
S. Mechkov
{"title":"'Hot-Start' Initialization of the Heston Model","authors":"S. Mechkov","doi":"10.2139/ssrn.2674858","DOIUrl":"https://doi.org/10.2139/ssrn.2674858","url":null,"abstract":"We suggest a new way of setting up multifactor models with hidden variables. We claim that the standard initial condition, which assigns some fixed value to the stochastic volatility subprocess, is illogical and greatly underestimates the effect of the hidden variable. For instance, a stochastic volatility model generates a significantly weaker implied volatility smile at short maturities. A good initial condition should specify the distribution of the hidden variable instead of a particular fixed value. The most straightforward way of initializing a hidden variable is by specifying its equilibrium distribution, which assumes that this component of the multifactor process has been started well before the observable part. As a practical example, the Heston model is considered.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128367723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
The Information Transmission between China and the US Agricultural Commodity Markets 中美农产品市场的信息传递
StructuredMarkets Equity Derivatives Journal Pub Date : 2015-08-19 DOI: 10.2139/ssrn.2647773
Di Mo, Rakesh Gupta
{"title":"The Information Transmission between China and the US Agricultural Commodity Markets","authors":"Di Mo, Rakesh Gupta","doi":"10.2139/ssrn.2647773","DOIUrl":"https://doi.org/10.2139/ssrn.2647773","url":null,"abstract":"This study examines both long-run and short-run linkages between futures and spot prices for a wide range of agricultural commodities in China and the US. We use the Johansen cointegration test to examine the long-run equilibrium relationship in both multivariate and bivariate contexts. The VECM model is used to examine the information transmission in the short-run. Finally, we use Granger causality test to investigate how the information transmission pattern changes under different economic conditions. We find long-run equilibrium relationships between spot and futures prices in the Chinese markets, as well as the futures prices in China and the US. The long-run relationship is consistent with the LOP theory, which indicates that prices of identical assets in different markets should have the same stream of future cash flows after all adjustments. The short-run analyses show the robust bidirectional relationship between futures and spot prices in China, and the futures prices in China and the US. The findings indicate that Chinese agricultural commodity futures played a significant role in the global commodity futures markets. The GFC subsample results are mixed. In general, the domestic information becomes more important compared to the information in the international markets during the crisis and post crisis periods. Whereas, the US futures markets play important price discovery role than Chinese ones during and after crisis in the bivariate context. The findings of this study contribute to the existing literature on information transmission in agriculture commodity markets in the emerging nations by including the futures markets in China and the futures markets of USA, which is a global dominant market. Study also includes the underlying asset market to provide the relationship among all three asset markets. The findings of this study may have important implication for policy makers in emerging markets who seek to develop policies for stability of the commodity prices.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123613214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A Critical Review of the Fair Value Settlement Procedure for Stock Options 对股票期权公允价值结算程序的批判性回顾
StructuredMarkets Equity Derivatives Journal Pub Date : 2014-12-01 DOI: 10.2139/ssrn.2289463
Oege Pennin, Martijn J. van den Assem, Remco C. J. Zwinkels
{"title":"A Critical Review of the Fair Value Settlement Procedure for Stock Options","authors":"Oege Pennin, Martijn J. van den Assem, Remco C. J. Zwinkels","doi":"10.2139/ssrn.2289463","DOIUrl":"https://doi.org/10.2139/ssrn.2289463","url":null,"abstract":"We review the European practice of fair value settlement of stock options after a successful takeover bid. We argue on both fundamental and practical grounds that the inherent complexity, arbitrariness and inaccuracy of fair value calculations call for replacement by intrinsic value settlement. This alternative is simple, transparent, well-defined, and common practice at other exchanges.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"222 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115530677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing and Hedging Basket Options with Exact Moment Matching 精确时刻匹配的一篮子期权定价和套期保值
StructuredMarkets Equity Derivatives Journal Pub Date : 2013-12-16 DOI: 10.2139/ssrn.2368316
Tommaso Paletta, A. Leccadito, R. Tunaru
{"title":"Pricing and Hedging Basket Options with Exact Moment Matching","authors":"Tommaso Paletta, A. Leccadito, R. Tunaru","doi":"10.2139/ssrn.2368316","DOIUrl":"https://doi.org/10.2139/ssrn.2368316","url":null,"abstract":"Theoretical models applied to option pricing should take into account the empirical characteristics of financial time series. In this paper, we show how to price basket options when the underlying asset prices follow a displaced log-normal process with jumps, capable of accommodating negative skewness and excess kurtosis. Our technique involves Hermite polynomial expansion that can match exactly the first m moments of the model-implied basket return. This method is shown to provide superior results for basket options not only with respect to pricing but also for hedging.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114265324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Standardization of Call Prices and No-Arbitrage Properties with Extension to Negative Forwards Post Financial Crisis 金融危机后看涨价格的标准化与无套利性质及其向负远期的延伸
StructuredMarkets Equity Derivatives Journal Pub Date : 2013-09-27 DOI: 10.2139/ssrn.2341249
P. Gope, Christian P. Fries
{"title":"Standardization of Call Prices and No-Arbitrage Properties with Extension to Negative Forwards Post Financial Crisis","authors":"P. Gope, Christian P. Fries","doi":"10.2139/ssrn.2341249","DOIUrl":"https://doi.org/10.2139/ssrn.2341249","url":null,"abstract":"After the recent financial crisis (also known as the \"Credit Crunch'') it was observed that some market data exhibited non-zero probability for negative forward rates. In particular, options with zero strikes were quoted with non-zero prices. This led to the requirement to model and interpret option prices for negative strikes. In this note, irrespective of the asset classes, we provide a standardization technique for market call prices and derive the no-arbitrage properties that allow for negative strikes and forwards. Our approach works with non-deterministic discounting rates and multiple discounting curves that are increasingly becoming standard.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"63 8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128726288","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Individual Investor Trading in Leverage Products - Risk Appetite and Positioning Around Earnings Announcements 个人投资者在杠杆产品交易-风险偏好和围绕收益公告的定位
StructuredMarkets Equity Derivatives Journal Pub Date : 2013-08-05 DOI: 10.2139/ssrn.2223957
Sebastian Schroff, Stephan Meyer, Hans-Peter Burghof
{"title":"Individual Investor Trading in Leverage Products - Risk Appetite and Positioning Around Earnings Announcements","authors":"Sebastian Schroff, Stephan Meyer, Hans-Peter Burghof","doi":"10.2139/ssrn.2223957","DOIUrl":"https://doi.org/10.2139/ssrn.2223957","url":null,"abstract":"We study the trading behavior of individual investors in leverage bank-issued products around earnings announcements. The trading activity increases substantially around earnings announcements. Aggregated individual investor trading is strongly correlated, both pre- and post event. We find intense aggregate positive positioning ahead of earnings announcements, irrespective of the direction of the subsequent earnings surprise. Thus, individual investors are subject to an \"optimism bias\". The risk appetite of individual investors increases in the run-up to earnings announcements. We find that neither pre-event risk appetite nor pre-event imbalances can be attributed to informed trading. We attribute the increased risk appetite to investor overconfidence. Overall, individual investor trading in leverage products is not particularly skillful.","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127048123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
On Adaptive Approach to the Ranking of Investment Funds 投资基金排名的适应性方法研究
StructuredMarkets Equity Derivatives Journal Pub Date : 2013-02-24 DOI: 10.2139/ssrn.2223722
A. Reztsov
{"title":"On Adaptive Approach to the Ranking of Investment Funds","authors":"A. Reztsov","doi":"10.2139/ssrn.2223722","DOIUrl":"https://doi.org/10.2139/ssrn.2223722","url":null,"abstract":"An adaptive approach for the ranking of investment funds by the fund of funds manager is presented. This is a quantitative tool to help the manager make a decision regarding ranking of funds and allocating capital between them for the next few months (for example, for the next quarter) where the available information/data is limited to daily returns for a relatively short time period (for example, the ending quarter). This new adaptive algorithm comes in line with those computational methods that fill the gap between more sophisticated approaches (that need more information/data available and more powerful cluster of the analytic computing procedures) and non-numerical Laplacian approach (where capital is allocated more or less equally between all funds that did not fail in a previous quarter).","PeriodicalId":412239,"journal":{"name":"StructuredMarkets Equity Derivatives Journal","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124355874","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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