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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …
Persistent link: https://www.econbiz.de/10011340958
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Performance maximization of actively managed funds
Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010
literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the …
Persistent link: https://www.econbiz.de/10010287049
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …
Persistent link: https://www.econbiz.de/10012144710
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas; Schmalz, Martin; … - 2015
We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...
Persistent link: https://www.econbiz.de/10011340962
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Understanding Mortgage Spreads
Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014
Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...
Persistent link: https://www.econbiz.de/10011340970
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No good deals - no bad models
Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012
Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...
Persistent link: https://www.econbiz.de/10010333634
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010333651
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An analysis of OTC interest rate derivatives transactions: Implications for public reporting
Fleming, Michael; Jackson, John; Li, Ada; Sarkar, Asani; … - 2012
. Nonetheless, we find evidence of dealers hedging rapidly after large interest rate swap trades, suggesting that, for this product …
Persistent link: https://www.econbiz.de/10010287160
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Broker-dealer risk appetite and commodity returns
Etula, Erkko - 2010
commodities to hedge against commodity price risk. Broker-dealers play an important role in this hedging process because commodity …
Persistent link: https://www.econbiz.de/10010287180
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011538004