Review of Derivatives Research最新文献_第5页

Portfolio construction using bootstrapping neural networks: evidence from global stock market 利用自举神经网络构建投资组合：来自全球股市的证据

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-07-25 DOI: 10.1007/s11147-019-09163-y

Hsiao-Fen Hsiao, Jiang-Chuan Huang, Zheng-Wei Lin

引用次数: 3

Approaching rainfall-based weather derivatives pricing and operational challenges 接近基于降雨的天气衍生品定价和操作挑战

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-07-08 DOI: 10.1007/s11147-019-09161-0

Andrea Martínez Salgueiro, Maria-Antonia Tarrazon-Rodon

{"title":"Approaching rainfall-based weather derivatives pricing and operational challenges","authors":"Andrea Martínez Salgueiro, Maria-Antonia Tarrazon-Rodon","doi":"10.1007/s11147-019-09161-0","DOIUrl":"https://doi.org/10.1007/s11147-019-09161-0","url":null,"abstract":"This article approaches some of the current rainfall derivatives pricing and operational challenges through an empirical application to Comunidad Valenciana, Spain. Regarding the former, two different issues are addressed. First, we examine the rightness of suggesting the Gamma distribution to price rainfall contracts, which is the alternative chosen by previous authors applying the Index Value Simulation technique. This is done for the purpose of determining whether the consideration and comparison of other alternatives may lead to more accurate valuation results. Concretely, two different distributions, in addition to the Gamma, are proposed: the exponential and the mixed exponential, whose fits are assessed through the Kolmogorov–Smirnov/Lilliefors test and graphical analyses. The outcomes attained indicate that this selection process leads indeed to a precise generation of the rainfall index’s moments. Next, we examine the viability of using a unique distribution to model the rainfall risk of regions located nearby, since this would considerably decrease valuation complexity. Our analysis shows that the most convenient choice depends on the period and location considered, although the mixed exponential appears as a reasonable option in most cases. Finally, a relevant operational challenge related to geographical basis risk is approached. Concretely, an evaluation of this type of risk among the locations studied is conducted. The results attained indicate that, given the insufficient degree of correlation between nearby locations, rainfall risk hedging measures may rely on compound derivatives referred to several neighbor stations.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"348 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542851","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Yield curves from different bond data sets 不同债券数据集的收益率曲线

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-07-05 DOI: 10.1007/s11147-019-09162-z

Antonio Díaz, Francisco Jareño, Eliseo Navarro

{"title":"Yield curves from different bond data sets","authors":"Antonio Díaz, Francisco Jareño, Eliseo Navarro","doi":"10.1007/s11147-019-09162-z","DOIUrl":"https://doi.org/10.1007/s11147-019-09162-z","url":null,"abstract":"It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which the set of security prices used in the yield curve construction of three popular interest rate datasets (from the Federal Reserve Board, the US Department of the Treasury, and Bloomberg) may determine the results of different analyses. Using the same US Treasury prices from GovPX and applying the same fitting technique, we estimate zero coupon rates using different baskets of assets, i.e., including/excluding bills, on-the-run, and off-the-run bonds, attempting to mimic those used by each data providers. To illustrate the uncertainty surrounding these alternatives representations of the underlying yield curve, we examine common uses of these data sets in pricing, risk management and macroeconomic purposes. We find significant and sometime overwhelming differences in the volatility term structure, the pricing of interest rate derivatives, and the correlations among different forward rates particularly in both ends of the yield curve. Relevant implications are also observed on a classic test of the expectations hypothesis. The simplest asset basket, which only includes the on-the-run bills and bonds, is probably the one with the best results.","PeriodicalId":45022,"journal":{"name":"Review of Derivatives Research","volume":"14 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2019-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138542862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

A generalization of option pricing to price-limit markets 对价格限制市场的期权定价的概括

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-07-03 DOI: 10.1007/s11147-019-09160-1

Jia‐Hau Guo, Lung‐Fu Chang

引用次数: 1

Time consistent pricing of options with embedded decisions 具有内嵌决策的期权时间一致性定价

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-05-04 DOI: 10.1007/s11147-019-09158-9

G. Dorfleitner, J. Gerer

引用次数: 0

The global minimum variance hedge 全局最小方差对冲

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-04-30 DOI: 10.1007/s11147-019-09159-8

Wan-Yi Chiu

引用次数: 3

Valuing American-style options under the CEV model: an integral representation based method CEV模型下的美式期权价值评估:基于积分表示的方法

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-04-29 DOI: 10.1007/s11147-019-09157-w

Aricson Cruz, José Carlos Dias

引用次数: 6

Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints 基于无套利约束的局部多项式核平滑的期权价格条件风险中性密度

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-03-20 DOI: 10.1007/s11147-019-09156-x

Ana M. Monteiro, Antonio A. F. Santos

引用次数: 4

Option-implied Value-at-Risk and the cross-section of stock returns 期权隐含风险价值与股票收益的横截面

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-03-04 DOI: 10.1007/s11147-019-09154-z

Manuel Ammann, Alexander Feser

引用次数: 2

Empirical performance of reduced-form models for emission permit prices 排放许可证价格降阶模型的经验性能

IF 0.8 4区经济学

Review of Derivatives Research Pub Date : 2019-01-11 DOI: 10.1007/s11147-018-09152-7

Steffen Hitzemann, M. Uhrig-Homburg

引用次数: 1