NBER WORKING PAPER SERIES SIMPLE VARIANCE SWAPS Ian Martin Working Paper 16884
... that hit almost all financial markets in 2008 had particularly pronounced effects on volatility derivatives . . . . Dealers learned the hard way that the standard theory for pricing and hedging variance swaps is not nearly as model-free as previously supposed . . . . In particular, sharp moves in th ...
... that hit almost all financial markets in 2008 had particularly pronounced effects on volatility derivatives . . . . Dealers learned the hard way that the standard theory for pricing and hedging variance swaps is not nearly as model-free as previously supposed . . . . In particular, sharp moves in th ...
Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong
... amount of HKD1358 billion (approx. USD174 billion). The recent amount of CBBC issuance exceeds that of the exchange-traded derivative warrants (DWs). The market turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW t ...
... amount of HKD1358 billion (approx. USD174 billion). The recent amount of CBBC issuance exceeds that of the exchange-traded derivative warrants (DWs). The market turnover of CBBCs as a percentage of the total market turnover in 2009 reached 10.86%, surpassing the DW turnover of 10.72%. CBBC and DW t ...
Pricing Short-Term Market Risk: Evidence from
... of summarizing the state of the local risk-neutral distribution in a continuous-time setting, the spot volatility and jump characteristics constitute sufficient statistics. They fully characterize the local behavior of the underlying semi-martingale representing the risk-neutral asset price process. ...
... of summarizing the state of the local risk-neutral distribution in a continuous-time setting, the spot volatility and jump characteristics constitute sufficient statistics. They fully characterize the local behavior of the underlying semi-martingale representing the risk-neutral asset price process. ...
CHAPTER 6
... is that Historical VaR is strongly backward-looking, meaning the bank is, in effect, protecting itself from the last crisis, but not necessarily preparing itself for the next – There can also be an unpleasant "window effect." When 250 days have passed since the crisis, the crisis observation drops o ...
... is that Historical VaR is strongly backward-looking, meaning the bank is, in effect, protecting itself from the last crisis, but not necessarily preparing itself for the next – There can also be an unpleasant "window effect." When 250 days have passed since the crisis, the crisis observation drops o ...
Chapter 10 - Blackwell Publishing
... For a given well-diversified portfolio, selling stock index futures can create a combined stock/futures portfolio with reduced risk. Portfolio insurance refers to a collection of techniques for managing the risk of an underlying portfolio. The goal of portfolio insurance is to manage the risk of a p ...
... For a given well-diversified portfolio, selling stock index futures can create a combined stock/futures portfolio with reduced risk. Portfolio insurance refers to a collection of techniques for managing the risk of an underlying portfolio. The goal of portfolio insurance is to manage the risk of a p ...
introduction to cotton options
... Cotton futures contracts, traded at the New York Board of Trade, are first distinguished by the month associated with the contract. The futures contract months for cotton are: March, May, July, October, and December. These months represent separate cotton contracts. The month associated with each co ...
... Cotton futures contracts, traded at the New York Board of Trade, are first distinguished by the month associated with the contract. The futures contract months for cotton are: March, May, July, October, and December. These months represent separate cotton contracts. The month associated with each co ...
La Cassa Controparte Centrale dei Mercati Cash Azionari US
... summing the theoretical liquidation gains/loss of each position under the same hypothesis of underlying price variation within the Margin Interval. In such a way a full offset is obtained among positions that having opposite sensitivity to underlying price movements (cross-margining). In the case of ...
... summing the theoretical liquidation gains/loss of each position under the same hypothesis of underlying price variation within the Margin Interval. In such a way a full offset is obtained among positions that having opposite sensitivity to underlying price movements (cross-margining). In the case of ...
Collective Investment Schemes Control Act: Determination on
... considers the effective exposure of derivatives to, and takes an aggregate view of, securities with the same or similar underlying exposure, where the total commitment is considered to be the sum of the absolute value of the commitment of each individual position, including derivatives after taking ...
... considers the effective exposure of derivatives to, and takes an aggregate view of, securities with the same or similar underlying exposure, where the total commitment is considered to be the sum of the absolute value of the commitment of each individual position, including derivatives after taking ...
NRG Energy Investor Conference- Day 2: Afternoon Presentation
... support evaluation of STP 3&4 Recently issued letters of support to the DOE, NINA and Toshiba – Letters state intent to support the project up to Japanese content – Japanese content estimated at ~$4 billion Timing of commitment will lag DOE – Likely in the first half of 2010 (1) Revised on 12/2/ ...
... support evaluation of STP 3&4 Recently issued letters of support to the DOE, NINA and Toshiba – Letters state intent to support the project up to Japanese content – Japanese content estimated at ~$4 billion Timing of commitment will lag DOE – Likely in the first half of 2010 (1) Revised on 12/2/ ...
CHAPTER THIRTEEN
... Box 14.5 in Chapter 14 shows how leverage creates eps growth. The box also shows how the added growth does not add value; leverage also increases the required return for equity and the net effect on equity value of the increased eps growth and the increased leverage is zero. The stock market very mu ...
... Box 14.5 in Chapter 14 shows how leverage creates eps growth. The box also shows how the added growth does not add value; leverage also increases the required return for equity and the net effect on equity value of the increased eps growth and the increased leverage is zero. The stock market very mu ...
Risk and Return in Equity and Options Markets
... may be the result of equilibrium pricing in the market due to market incompleteness. An alternative explanation is simply that there are limits to arbitrage preventing this apparent mispricing from being arbitraged away. This explanation is consistent with Figlewski (1989) who shows that arbitrage ...
... may be the result of equilibrium pricing in the market due to market incompleteness. An alternative explanation is simply that there are limits to arbitrage preventing this apparent mispricing from being arbitraged away. This explanation is consistent with Figlewski (1989) who shows that arbitrage ...
internalization and market quality: an empirical
... to internalize their orders do not have a significant effect on quoted or effective spreads. They conclude that the presence of adverse selection is not economically significant, and that the regional exchanges may be able to realize sufficiently strong cost efficiencies. Other studies contend that ...
... to internalize their orders do not have a significant effect on quoted or effective spreads. They conclude that the presence of adverse selection is not economically significant, and that the regional exchanges may be able to realize sufficiently strong cost efficiencies. Other studies contend that ...
CAPSTEAD MORTGAGE CORP (Form: 8-K, Received: 01
... increasing 85 basis points to end the year at 2.45%. As a consequence, longer duration mortgage-backed securities lost considerable value. For instance, Fannie Mae 30-year fixed 3.0% mortgage securities declined in price by approximately 4.75% during this period. In contrast, Capstead’s ARM securiti ...
... increasing 85 basis points to end the year at 2.45%. As a consequence, longer duration mortgage-backed securities lost considerable value. For instance, Fannie Mae 30-year fixed 3.0% mortgage securities declined in price by approximately 4.75% during this period. In contrast, Capstead’s ARM securiti ...
House Price Indexes, Approaches and Methods. Abstract
... be done by mass apprisal models where all properties are valued at the same time. Often this is not the case. In valuation practice, the proper market value is often dependent on grade and condition of the property, besides size of land and building and in some countries property owner can request a ...
... be done by mass apprisal models where all properties are valued at the same time. Often this is not the case. In valuation practice, the proper market value is often dependent on grade and condition of the property, besides size of land and building and in some countries property owner can request a ...
How to assess a manager recovery skill - ORBi
... Before the financial crisis, several authors had observed that investors of the mutual fund industry, when choosing among funds, responded to returns ignoring differences in risk (Harless and Peterson [1998]; Berkowitz and Kotowitz [2000]). Yet, the latest financial crisis has left investors wary o ...
... Before the financial crisis, several authors had observed that investors of the mutual fund industry, when choosing among funds, responded to returns ignoring differences in risk (Harless and Peterson [1998]; Berkowitz and Kotowitz [2000]). Yet, the latest financial crisis has left investors wary o ...
London Precious Metals Markets Guide
... that are available, explains the way in which transactions are quoted and conducted and indicates the type of clients for whom the products may be appropriate. The credit risk or exposure involved between dealer and client in using individual products is also examined. The Guide also introduces pote ...
... that are available, explains the way in which transactions are quoted and conducted and indicates the type of clients for whom the products may be appropriate. The credit risk or exposure involved between dealer and client in using individual products is also examined. The Guide also introduces pote ...
A Guide to the London Precious Metals Markets
... that are available, explains the way in which transactions are quoted and conducted and indicates the type of clients for whom the products may be appropriate. The credit risk or exposure involved between dealer and client in using individual products is also examined. The Guide also introduces pote ...
... that are available, explains the way in which transactions are quoted and conducted and indicates the type of clients for whom the products may be appropriate. The credit risk or exposure involved between dealer and client in using individual products is also examined. The Guide also introduces pote ...
OTC guide - London Bullion Market Association
... that are available, explains the way in which transactions are quoted and conducted and indicates the type of clients for whom the products may be appropriate. The credit risk or exposure involved between dealer and client in using individual products is also examined. The Guide also introduces pote ...
... that are available, explains the way in which transactions are quoted and conducted and indicates the type of clients for whom the products may be appropriate. The credit risk or exposure involved between dealer and client in using individual products is also examined. The Guide also introduces pote ...
Why do firms speculate? - UvA-DARE
... in order to eliminate some risk, because of risk aversion. “If expected returns to financial assets vary, the manager faces a trade-off between expected income and risk of income. In such cases, he will hedge less if hedging involves going short in a portfolio with a high expected return. If transac ...
... in order to eliminate some risk, because of risk aversion. “If expected returns to financial assets vary, the manager faces a trade-off between expected income and risk of income. In such cases, he will hedge less if hedging involves going short in a portfolio with a high expected return. If transac ...