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Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management

Boyer, Marcel; Boyer, M. Martin; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We characterize a firm as a nexus of activities and projects with their associated cash flow distributions across states of the world and time periods. We propose a characterization of the firm where variations in the market price of risk induce adjustments in the value-maximizing combination of...

Persistent link: https://www.econbiz.de/10009643789

The Valuation of Volatility Options

Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999

we examine the properties and hedging behavior of volatility options. Unlike American options, European call options on …

Persistent link: https://www.econbiz.de/10005100856

Derivatives Do Affect Mutual Funds Returns : How and When?

Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper is the first to present evidence on the magnitude of derivative use by mutual funds. Using a unique data set of detailed balance sheet information on open-end mutual funds, we characterize the nature of derivative use by these funds. Most mutual funds using derivatives do so to a very...

Persistent link: https://www.econbiz.de/10005100892

The Value of Real and Financial Risk Management

Boyer, Marcel; Boyer, M. Martin; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 2005

. Empirically, we show that a firm's reactiveness to variations in risk prices is linked to its hedging activities. We also argue …

Persistent link: https://www.econbiz.de/10005100941

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Recently, Duan (1995) proposed a GARCH option pricing formula and a corresponding hedging formula. In a similar ARCH …-type model for the underlying asset, Kallsen and Taqqu (1994) arrive at a hedging formula different from Duan's , although they … and Taqqu corresponds to the usual concept of hedging in the context of ARCH-type models. We argue however that Duan …

Persistent link: https://www.econbiz.de/10005101110