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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539953
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of … models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in …
Persistent link: https://www.econbiz.de/10010263305
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Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors
Branger, Nicole; Schlag, Christian - 2004
jump model under continuous trading and correct model specification. Jump risk is structurally different from, e … closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to … assumptions about trading frequency and the model may lead to incorrect conclusions. …
Persistent link: https://www.econbiz.de/10010316083
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Why is the index smile so steep?
Schlag, Christian; Branger, Nicole - Money Macro and Finance Research Group - 2004
Persistent link: https://www.econbiz.de/10004977128
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2008
. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of … models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in …
Persistent link: https://www.econbiz.de/10005102178
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Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
Branger, Nicole; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2004
model under continuous trading and correct model specification. Jump risk is structurally different from, e.g., stochastic … form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to the … about trading frequency and the model may lead to incorrect conclusions. …
Persistent link: https://www.econbiz.de/10005057037
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Volatility-of-volatility risk
Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, identified modelfree from the option price data as...
Persistent link: https://www.econbiz.de/10011849504
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An Economic Motivation for Variance Contracts
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005
Variance contracts permit the trading of ’variance risk’, i.e. the risk that the realizedvariance of stock returns …
Persistent link: https://www.econbiz.de/10005867623
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Put Options Are Not Too Expensive— An Analysis of Path Peso Problems —
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005
The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under-represented in the data sets used for empirical...
Persistent link: https://www.econbiz.de/10005867630
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Model Risk: A Conceptual Framework for RiskMeasurement and Hedging
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2004
The vast majority of approaches to risk management, hedging, or portfolio planningassume that some model is given. However, under model risk, the true data gener-ating process is not known. The focus of this paper is on problems related to thehedging of derivative contracts. We explain the main...
Persistent link: https://www.econbiz.de/10005867667