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Pricing CAC 40 Index Options under Asymmetry of Information.

Aboura, Sofiane - Université Paris-Dauphine - 2005

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Persistent link: https://www.econbiz.de/10008572194

GARCH option pricing under skew.

Aboura, Sofiane - Université Paris-Dauphine - 2005

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

Persistent link: https://www.econbiz.de/10008520036

Rationalization of Investment Preference Criteria

Pézier, Jacques - Henley Business School, University of Reading - 2011

The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...

Persistent link: https://www.econbiz.de/10010938095

Optimal Hedging with Higher Moments

Brooks, Chris; Cerny, A.; Miffre, J. - Henley Business School, University of Reading - 2006

This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts. We find that in sample, the performance...

Persistent link: https://www.econbiz.de/10005357664

Detecting instability in the volatility of carbon prices.

Chevallier, Julien - Université Paris-Dauphine - 2011

This article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the...

Persistent link: https://www.econbiz.de/10008725852

Hedging with Stochastic and Local Volatility

Alexander, Carol; Nogueira, Leonardo M. - Henley Business School, University of Reading - 2004

We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities. We also show that a common feature of all Markovian single factor...

Persistent link: https://www.econbiz.de/10005558324

Analytic Moments for GARCH Processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010

Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk assessment and portfolio optimization, are typically generated via simulation. This paper extends previous research on analytic moments of GARCH returns distributions in several...

Persistent link: https://www.econbiz.de/10010838036

Generalized Beta-Generated Distributions

Alexander, Carol; Cordeiro, Gauss M.; Ortega, Edwin M. M.; … - Henley Business School, University of Reading - 2011

Persistent link: https://www.econbiz.de/10010838056

Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory

Pézier, Jacques - Henley Business School, University of Reading - 2007

Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...

Persistent link: https://www.econbiz.de/10008542356

The Statistical Properties of Hedge Fund Index Returns

Brooks, Chris; Kat, Harry. M - Henley Business School, University of Reading - 2001

he monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as … fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and …

Persistent link: https://www.econbiz.de/10005357672

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