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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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How to hedge if the payment date is uncertain?
Korn, Olaf; Merz, Alexander - 2016 - [revised]
This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different …
Persistent link: https://www.econbiz.de/10011506271
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Analysis of price risk management strategies in dairy farming using whole-farm simulations
Neyhard, James; Tauer, Loren W.; Gloy, Brent - In: Journal of agricultural and applied economics 45 (2013) 2, pp. 313-327
Persistent link: https://www.econbiz.de/10009757070
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Managing storable commodity risks : the role of inventory and financial hedge
Kouvelis, Panos; Li, Rong; Ding, Qing - In: Manufacturing & service operations management : M & SOM 15 (2013) 3, pp. 507-521
Persistent link: https://www.econbiz.de/10009782007
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The Rise and Fall of S&P500 Variance Futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility … as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and … volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed …
Persistent link: https://www.econbiz.de/10009358981
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The Rise and Fall of S&P500 Variance Futures
Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2011
index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most … futures as derivatives of the “fear” index. VIX is based on S&P500 call and put options over a wide range of strike prices … risk. VIX and its options and futures derivatives has been widely analysed in recent years. An alternative volatility …
Persistent link: https://www.econbiz.de/10009364036
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The Rise and Fall of S&P500 Variance Futures
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Institute of Economic Research, Kyoto University - 2011
, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility … as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and … volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed …
Persistent link: https://www.econbiz.de/10009370133
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 151-167
, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility … as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and … volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed …
Persistent link: https://www.econbiz.de/10011056678
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Case study of event risk management with options strangles and straddles
Kownatzki, Clemens; Putnam, Bluford H.; Yu, Arthur Zeyang - In: Review of financial economics : RFE 40 (2022) 2, pp. 150-167
Persistent link: https://www.econbiz.de/10013185897
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019 - This version: June 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10012040065