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The Robustness of Economic Activity to Destructive Events

Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2009

While the efficiency of economic arrangements is the primary focus of economic research, we may ask whether the efficiency improvements that have been experienced in the developed economies have been accompanied by increased vulnerability of output to catastrophic events. In order to address...

Persistent link: https://www.econbiz.de/10005027208

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