{"title":"Persistence of volatility of sovereign credit risk in presence of structural breaks","authors":"G. Ngene, Hannah Carley, M. K. Hassan","doi":"10.1057/JDHF.2014.9","DOIUrl":"https://doi.org/10.1057/JDHF.2014.9","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130277185","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}
{"title":"Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market","authors":"V. Nazarova","doi":"10.1057/JDHF.2014.6","DOIUrl":"https://doi.org/10.1057/JDHF.2014.6","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123979723","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}
{"title":"Trading in option contracts before large price changes: A comparative study of US and UK markets","authors":"E. Galariotis, Wu Rong, S. Spyrou","doi":"10.1057/JDHF.2014.8","DOIUrl":"https://doi.org/10.1057/JDHF.2014.8","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114528301","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}
{"title":"Option pricing with a dynamic fat-tailed model","authors":"Sofiane Aboura, Sébastien Valeyre, N. Wagner","doi":"10.2139/ssrn.2031400","DOIUrl":"https://doi.org/10.2139/ssrn.2031400","url":null,"abstract":"In the aftermath of the 2008 financial crisis, the need to consider more realistic risk models for derivative products has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various attractive features such as a mixture of heavy-tails and Gaussian distribution along with a leverage effect property. We test the model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the model adequately fits the volatility smile dynamics particularly during stress periods. Furthermore, we find that the leverage effect form is driven by the sticky-strike rule.","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127268125","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}
{"title":"Factors that affect the performance of distressed securities hedge funds","authors":"Georgi Bontschev, M. Eling","doi":"10.1057/JDHF.2013.12","DOIUrl":"https://doi.org/10.1057/JDHF.2013.12","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127599826","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}
{"title":"Optimal cross-hedging under futures mispricing: A note","authors":"Juan A. Lafuente","doi":"10.1057/JDHF.2013.11","DOIUrl":"https://doi.org/10.1057/JDHF.2013.11","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116824876","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}
{"title":"Valuation of reverse convertibles in the variance gamma economy","authors":"Geng Deng, Tim Dulaney, C. McCann","doi":"10.2139/ssrn.2014049","DOIUrl":"https://doi.org/10.2139/ssrn.2014049","url":null,"abstract":"Prior research on structured products has demonstrated that equity-linked notes (ELNs) sold to retail investors in initial public offerings are typically issued at above their fair market value. A particular type of ELN – reverse convertibles – embed down-and-in put options and offer investors relatively high coupon payments in exchange for bearing some of the downside risk of the equity underlying the note. We analytically study the magnitude of the overpricing of reverse convertibles – one of the most popular structured products on the market today – within a stochastic volatility model.We extend the current literature to include analytical valuation formulas within a model of stochastic volatility – the variance gamma (VG) model. We show that these complex notes are even more overpriced than previously estimated when stochastic volatility is taken into account. As a result of their complex payoffs and the lack of a secondary market to correct the mispricing, reverse convertible notes continue to be sold at prices substantially in excess of their fair market value.","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130843580","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}