Essays on Volatility Derivatives and Portfolio Optimization
... VIX futures, and 4)Asset allocation and generalized buy and hold trading strategies. The first three papers answer various questions relating to the volatility derivatives. Volatility derivatives are securities whose payoff depends on the realized variance of an underlying asset or an index. These i ...
... VIX futures, and 4)Asset allocation and generalized buy and hold trading strategies. The first three papers answer various questions relating to the volatility derivatives. Volatility derivatives are securities whose payoff depends on the realized variance of an underlying asset or an index. These i ...
Chen_uta_2502D_12115
... shares in 2008. The main corresponding derivative market, the Chicago Board of Options Exchange (CBOE), also had about 1.2 billion in total number of contracts traded. It translates into an annual total trading value of over 969 billion dollars. The heavy trading activities in those markets makes us ...
... shares in 2008. The main corresponding derivative market, the Chicago Board of Options Exchange (CBOE), also had about 1.2 billion in total number of contracts traded. It translates into an annual total trading value of over 969 billion dollars. The heavy trading activities in those markets makes us ...
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... The market advisory services evaluated by the AgMAS Project do not comprise the population or a random sample of market advisory services available to farmers. Neither approach is feasible because no public agency or trade group assembles a list of advisory services that could be considered the "po ...
... The market advisory services evaluated by the AgMAS Project do not comprise the population or a random sample of market advisory services available to farmers. Neither approach is feasible because no public agency or trade group assembles a list of advisory services that could be considered the "po ...
Hedging Barrier Options - Institute for Advanced Studies (IHS)
... negative values because the option payo turns into a spike in this region. Vega also turns negative when the price of the underlying asset is close to the barrier because a volatility pickup near the barrier increases the likelihood of the price passing through it. In contrast, the Delta, Gamma, an ...
... negative values because the option payo turns into a spike in this region. Vega also turns negative when the price of the underlying asset is close to the barrier because a volatility pickup near the barrier increases the likelihood of the price passing through it. In contrast, the Delta, Gamma, an ...
Optimal Hedging when the Underlying Asset Follows a
... the derivative's payo. Since the option buyer alone carries the price of the hedging risk, the initial capital required is often unacceptably large. Eberlein & Jacod (1997) show that, under many models, the initial capital required to super-replicate a call option is the price of the underlying ass ...
... the derivative's payo. Since the option buyer alone carries the price of the hedging risk, the initial capital required is often unacceptably large. Eberlein & Jacod (1997) show that, under many models, the initial capital required to super-replicate a call option is the price of the underlying ass ...
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... services that could be considered the "population." To assemble the sample of services for the AgMAS Project, five criteria were developed to define an agricultural market advisory service and a list of services was assembled. The first criterion is that marketing recommendations from an advisory se ...
... services that could be considered the "population." To assemble the sample of services for the AgMAS Project, five criteria were developed to define an agricultural market advisory service and a list of services was assembled. The first criterion is that marketing recommendations from an advisory se ...
Hedging Barrier Options - Homepages of UvA/FNWI staff
... options to insure only against a limited downswing prefer down-and-out puts. Using barrier options, investors can easily translate chartist views into their trading strategies. (Clarke (1998) presents detailed applications of these instruments to technical trading in foreign-exchange markets.) Optio ...
... options to insure only against a limited downswing prefer down-and-out puts. Using barrier options, investors can easily translate chartist views into their trading strategies. (Clarke (1998) presents detailed applications of these instruments to technical trading in foreign-exchange markets.) Optio ...
Credit Default Swaps -new regulations and conversion
... that has a consistent term structure. The importance of this report is major, since many CDS contracts are still quoted as running spreads, instead of upfront payments. Hence usage of the proposed conversion method may lead to continuous inconsistencies, as well as ambiguous upfront payments, if use ...
... that has a consistent term structure. The importance of this report is major, since many CDS contracts are still quoted as running spreads, instead of upfront payments. Hence usage of the proposed conversion method may lead to continuous inconsistencies, as well as ambiguous upfront payments, if use ...
A Study of Implied Risk-Neutral Density Functions in
... holder the right to buy the underlying asset by a certain date for a certain price. A put option gives the holder the right to sell the underlying asset by a certain date for a certain price. Note that the holder is not obliged to exercise this right. The underlying assets include stocks, stock indi ...
... holder the right to buy the underlying asset by a certain date for a certain price. A put option gives the holder the right to sell the underlying asset by a certain date for a certain price. Note that the holder is not obliged to exercise this right. The underlying assets include stocks, stock indi ...
Transaction Costs, Trade Throughs, and Riskless Principal Trading
... elsewhere. Such trades may be risky to the dealer if the dealer is committing capital (trading for its inventory account). But most dealers immediately offset these trades by taking the better price offered elsewhere because doing so guarantees that they profit with little risk. For example, if the ...
... elsewhere. Such trades may be risky to the dealer if the dealer is committing capital (trading for its inventory account). But most dealers immediately offset these trades by taking the better price offered elsewhere because doing so guarantees that they profit with little risk. For example, if the ...
Hedging volatility risk
... Only in March 2004 did the Chicago Futures Exchange (CFE) launch its first product, a futures contract on VIX. Options on VIX have been planned for some time now but have not been introduced yet. The main reason, in our opinion, that it has taken so long to introduce such derivatives is the lack of a ...
... Only in March 2004 did the Chicago Futures Exchange (CFE) launch its first product, a futures contract on VIX. Options on VIX have been planned for some time now but have not been introduced yet. The main reason, in our opinion, that it has taken so long to introduce such derivatives is the lack of a ...
exam133
... d. None of the above since gold cannot be a hedged item under FAS 133. 6. (03 Points) Suppose that a change in the price of a lumber inventory forecasted sale is effectively offset by a forward fair value hedge. The hedge may result in which of the following outcomes, relative to having no hedge, in ...
... d. None of the above since gold cannot be a hedged item under FAS 133. 6. (03 Points) Suppose that a change in the price of a lumber inventory forecasted sale is effectively offset by a forward fair value hedge. The hedge may result in which of the following outcomes, relative to having no hedge, in ...
Decimals and Liquidity: A study of the NYSE
... BBOs are generated by the specialist and public limit orders originating both in the primary market and in the regional stock exchanges, which dictates which exchange at any time has the BBO quotes. The fraction of time that any exchange has the BBO is an indication of its dominance in terms of liqu ...
... BBOs are generated by the specialist and public limit orders originating both in the primary market and in the regional stock exchanges, which dictates which exchange at any time has the BBO quotes. The fraction of time that any exchange has the BBO is an indication of its dominance in terms of liqu ...
Trading Volume Reaction to the Earnings Reconciliation from IFRS
... U.S. GAAP during the period of 1995-2004. They find that investors in the U.S. markets trade on the earnings reconciliation information from IAS to U.S. GAAP during this time period. They also find weak evidence that there is a short-term trading volume reaction in the local markets to the same earn ...
... U.S. GAAP during the period of 1995-2004. They find that investors in the U.S. markets trade on the earnings reconciliation information from IAS to U.S. GAAP during this time period. They also find weak evidence that there is a short-term trading volume reaction in the local markets to the same earn ...
Stock Splits, Liquidity and Limit Orders
... Table 3 provides information on the types and sources of system orders. In this table we also partition both on type of order (market orders, marketable limit orders, and limit orders) and whether orders originated directly from individuals (as opposed to institutions or exchange member firms). Mark ...
... Table 3 provides information on the types and sources of system orders. In this table we also partition both on type of order (market orders, marketable limit orders, and limit orders) and whether orders originated directly from individuals (as opposed to institutions or exchange member firms). Mark ...
The 2008 Short Sale Ban`s Impact on Equity Option Markets
... economic net short position seemed to give market makers an incentive to avoid knowing what their customers were doing. The SEC’s original list of 797 banned stocks did not include all financial stocks. This is hardly surprising since the list was drawn up overnight and without industry comment. On ...
... economic net short position seemed to give market makers an incentive to avoid knowing what their customers were doing. The SEC’s original list of 797 banned stocks did not include all financial stocks. This is hardly surprising since the list was drawn up overnight and without industry comment. On ...
Bid-ask spread components on the foreign exchange market: The
... major in Finance. The subject was chosen because it had so many different elements in it which could provide me with the necessary variation during the whole period I worked on it and because I have a general interest in financial topics. After more than a year of hard work, it still is interesting. ...
... major in Finance. The subject was chosen because it had so many different elements in it which could provide me with the necessary variation during the whole period I worked on it and because I have a general interest in financial topics. After more than a year of hard work, it still is interesting. ...
Do Noise Traders Move Markets?
... investors are well informed, because informed traders face risks that are likely to limit their actions. This theory relies on the assumption that psychological biases and sentiment cause noise trades to trade systematically as a group and that, when there are no perfect substitutes for mispriced as ...
... investors are well informed, because informed traders face risks that are likely to limit their actions. This theory relies on the assumption that psychological biases and sentiment cause noise trades to trade systematically as a group and that, when there are no perfect substitutes for mispriced as ...
Mastering The Markets
... show the strongest possible performance and the greatest growth. To this end, every so often they will weed out the poor performers and replace them with up-and-coming strong performers. ...
... show the strongest possible performance and the greatest growth. To this end, every so often they will weed out the poor performers and replace them with up-and-coming strong performers. ...
ASIC Market Integrity Rules (Securities Markets – Capital) 2017
... (1) If for the purposes of these Rules in respect of conduct engaged in by a person, it is necessary to establish the state of mind of the person, it is sufficient to show that an officer, Employee, or other agent of the person, being an officer, Employee, or other agent by whom the conduct was enga ...
... (1) If for the purposes of these Rules in respect of conduct engaged in by a person, it is necessary to establish the state of mind of the person, it is sufficient to show that an officer, Employee, or other agent of the person, being an officer, Employee, or other agent by whom the conduct was enga ...
Dark pools in European equity markets
... concern resulting from the growing number of dark pools is the potential for liquidity fragmentation, which can increase search costs and reduce market efficiency. 5 Understanding the impact of dark pools on market stability is of particular relevance given the upcoming regulatory changes under MiFI ...
... concern resulting from the growing number of dark pools is the potential for liquidity fragmentation, which can increase search costs and reduce market efficiency. 5 Understanding the impact of dark pools on market stability is of particular relevance given the upcoming regulatory changes under MiFI ...
learning and evolution of trading strategies in limit order markets
... trading strategies in limit order markets. We now summarize the main findings and discuss the main contributions of the paper. To help the discussion, we refer one-sided learning to the cases where either the informed or the uninformed traders learn and two-sided learning to the case where both the ...
... trading strategies in limit order markets. We now summarize the main findings and discuss the main contributions of the paper. To help the discussion, we refer one-sided learning to the cases where either the informed or the uninformed traders learn and two-sided learning to the case where both the ...
0224 - European Financial Management Association
... been thin due to the perception that they delivered little benefit to the investor. This view was reinforced by the seminal work of Merton, Scholes and Gladstein (1978) who studied an equally weighted, fully hedged covered call strategy based on a portfolio of 136 US stocks. This portfolio is rebala ...
... been thin due to the perception that they delivered little benefit to the investor. This view was reinforced by the seminal work of Merton, Scholes and Gladstein (1978) who studied an equally weighted, fully hedged covered call strategy based on a portfolio of 136 US stocks. This portfolio is rebala ...
Limit Order Markets: A Survey 1
... When Walras sought inspiration in the nineteenth century for his eponymous model of markets, the Paris Bourse ran batch auctions. Periodically, an auctioneer aggregated orders and announced a market-clearing price. Later in the 1980s when Kyle [1985] and Glosten and Milgrom [1985] published their o ...
... When Walras sought inspiration in the nineteenth century for his eponymous model of markets, the Paris Bourse ran batch auctions. Periodically, an auctioneer aggregated orders and announced a market-clearing price. Later in the 1980s when Kyle [1985] and Glosten and Milgrom [1985] published their o ...