Journal of Derivatives & Hedge Funds最新文献

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Persistence of volatility of sovereign credit risk in presence of structural breaks 在存在结构性断裂的情况下,主权信用风险持续波动
Journal of Derivatives & Hedge Funds Pub Date : 2014-04-03 DOI: 10.1057/JDHF.2014.9
G. Ngene, Hannah Carley, M. K. Hassan
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引用次数: 3
Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market 俄罗斯远期市场金融期权不完全套期保值方法的有效性评价
Journal of Derivatives & Hedge Funds Pub Date : 2014-02-20 DOI: 10.1057/JDHF.2014.6
V. Nazarova
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引用次数: 2
Trading in option contracts before large price changes: A comparative study of US and UK markets 价格大变动前的期权合约交易:美国和英国市场的比较研究
Journal of Derivatives & Hedge Funds Pub Date : 2014-02-01 DOI: 10.1057/JDHF.2014.8
E. Galariotis, Wu Rong, S. Spyrou
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引用次数: 1
Option pricing with a dynamic fat-tailed model 动态肥尾模型的期权定价
Journal of Derivatives & Hedge Funds Pub Date : 2014-01-31 DOI: 10.2139/ssrn.2031400
Sofiane Aboura, Sébastien Valeyre, N. Wagner
{"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}
引用次数: 4
Factors that affect the performance of distressed securities hedge funds 影响不良证券对冲基金业绩的因素
Journal of Derivatives & Hedge Funds Pub Date : 2013-12-24 DOI: 10.1057/JDHF.2013.12
Georgi Bontschev, M. Eling
{"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}
引用次数: 1
Optimal cross-hedging under futures mispricing: A note 期货错定价下的最优交叉对冲:一份报告
Journal of Derivatives & Hedge Funds Pub Date : 2013-12-24 DOI: 10.1057/JDHF.2013.11
Juan A. Lafuente
{"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}
引用次数: 1
Delivering Alpha 2013 Conference 发布Alpha 2013大会
Journal of Derivatives & Hedge Funds Pub Date : 2013-12-24 DOI: 10.1057/JDHF.2013.9
G. Gregoriou
{"title":"Delivering Alpha 2013 Conference","authors":"G. Gregoriou","doi":"10.1057/JDHF.2013.9","DOIUrl":"https://doi.org/10.1057/JDHF.2013.9","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"2 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":"122234697","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
Modeling volatility smile: Empirical evidence from India 波动微笑建模:来自印度的经验证据
Journal of Derivatives & Hedge Funds Pub Date : 2013-12-24 DOI: 10.1057/JDHF.2013.14
V. Singh
{"title":"Modeling volatility smile: Empirical evidence from India","authors":"V. Singh","doi":"10.1057/JDHF.2013.14","DOIUrl":"https://doi.org/10.1057/JDHF.2013.14","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"11 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":"131632589","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
Crude oil futures markets: Another look into traders’ positions 原油期货市场:再次审视交易员的头寸
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.1057/JDHF.2013.15
D. Tokic
{"title":"Crude oil futures markets: Another look into traders’ positions","authors":"D. Tokic","doi":"10.1057/JDHF.2013.15","DOIUrl":"https://doi.org/10.1057/JDHF.2013.15","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"24 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":"123854620","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: 3
Valuation of reverse convertibles in the variance gamma economy 方差经济中反向可转换证券的估值
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.2139/ssrn.2014049
Geng Deng, Tim Dulaney, C. McCann
{"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}
引用次数: 9
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