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Journal of Derivatives & Hedge Funds最新文献

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Reconsidering funds of hedge funds 重新考虑对冲基金的基金
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.1057/JDHF.2014.2
Maher Kooli
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引用次数: 1
A simple and precise method for pricing convertible bond with credit risk 一种简单而精确的可转换债券信用风险定价方法
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.1057/JDHF.2014.5
Tim Xiao
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引用次数: 6
Determinants of credit default swaps spreads in European and Asian markets 欧洲和亚洲市场信用违约互换价差的决定因素
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.1057/JDHF.2014.1
M. Hassan, Thiti S. Ngow, Jung-Suk Yu, Abul Hassan
{"title":"Determinants of credit default swaps spreads in European and Asian markets","authors":"M. Hassan, Thiti S. Ngow, Jung-Suk Yu, Abul Hassan","doi":"10.1057/JDHF.2014.1","DOIUrl":"https://doi.org/10.1057/JDHF.2014.1","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"34 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":"131546376","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: 11
Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio 策略多样化:在外汇投资组合中结合动量和套利策略
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.1057/JDHF.2013.16
Francis Olszweski, Guofu Zhou
{"title":"Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio","authors":"Francis Olszweski, Guofu Zhou","doi":"10.1057/JDHF.2013.16","DOIUrl":"https://doi.org/10.1057/JDHF.2013.16","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"44 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":"124987561","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: 14
Crooked volatility smiles: Evidence from leveraged and inverse ETF options 扭曲的波动率微笑:来自杠杆和反向ETF期权的证据
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.2139/ssrn.2190931
Geng Deng, Tim Dulaney, C. McCann, M. Yan
{"title":"Crooked volatility smiles: Evidence from leveraged and inverse ETF options","authors":"Geng Deng, Tim Dulaney, C. McCann, M. Yan","doi":"10.2139/ssrn.2190931","DOIUrl":"https://doi.org/10.2139/ssrn.2190931","url":null,"abstract":"We find that leverage in exchange traded funds (ETFs) can affect the ‘crookedness’ of volatility smiles. This observation is consistent with the intuition that return shocks are inversely correlated with volatility shocks – resulting in more expensive out-of-the-money put options and less expensive out-of-the-money call options. We show that the prices of options on leveraged and inverse ETFs can be used to better calibrate models of stochastic volatility. In particular, we study a sextet of leveraged and inverse ETFs based on the S&P 500 index. We show that the Heston model can reproduce the crooked smiles observed in the market price of options on leveraged and inverse leveraged ETFs. We show further that the model predicts a leverage-dependent moneyness, consistent with empirical data, at which options on positively and negatively leveraged ETFs (LETF) have the same price. Finally, by analyzing the asymptotic behavior for the implied variances at extreme strikes, we observe an approximate symmetry between pairs of LETF smiles empirically consistent with the predictions of the Heston model.","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"110 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":"131237226","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
Very exotic derivatives 非常奇特的衍生品
Journal of Derivatives & Hedge Funds Pub Date : 2013-11-01 DOI: 10.1057/JDHF.2014.7
S. Satchell
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引用次数: 0
Frictional costs of diversification: How many CTAs make a diversified portfolio? 多元化的摩擦成本:多少个cta构成一个多元化的投资组合?
Journal of Derivatives & Hedge Funds Pub Date : 2013-09-20 DOI: 10.1057/JDHF.2013.5
B. Scherer
{"title":"Frictional costs of diversification: How many CTAs make a diversified portfolio?","authors":"B. Scherer","doi":"10.1057/JDHF.2013.5","DOIUrl":"https://doi.org/10.1057/JDHF.2013.5","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114784833","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
Informational dependency between spot and futures markets: Evidence from Turkish foreign exchange markets 现货和期货市场之间的信息依赖:来自土耳其外汇市场的证据
Journal of Derivatives & Hedge Funds Pub Date : 2013-09-20 DOI: 10.1057/JDHF.2013.8
Yen-Hsian Lee, A. Ozun
{"title":"Informational dependency between spot and futures markets: Evidence from Turkish foreign exchange markets","authors":"Yen-Hsian Lee, A. Ozun","doi":"10.1057/JDHF.2013.8","DOIUrl":"https://doi.org/10.1057/JDHF.2013.8","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129745794","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
An exceedingly simple method of pricing American options 一种非常简单的美式期权定价方法
Journal of Derivatives & Hedge Funds Pub Date : 2013-09-20 DOI: 10.1057/JDHF.2013.6
Moawia Alghalith
{"title":"An exceedingly simple method of pricing American options","authors":"Moawia Alghalith","doi":"10.1057/JDHF.2013.6","DOIUrl":"https://doi.org/10.1057/JDHF.2013.6","url":null,"abstract":"","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130740478","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
Option pricing: Very simple formulas 期权定价:非常简单的公式
Journal of Derivatives & Hedge Funds Pub Date : 2013-09-13 DOI: 10.2139/ssrn.2325641
Moawia Alghalith
{"title":"Option pricing: Very simple formulas","authors":"Moawia Alghalith","doi":"10.2139/ssrn.2325641","DOIUrl":"https://doi.org/10.2139/ssrn.2325641","url":null,"abstract":"We provide simple formulas for pricing both the European and American options.","PeriodicalId":433287,"journal":{"name":"Journal of Derivatives & Hedge Funds","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124164109","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: 5
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