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A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets

Bellalah, Mondher; Lavielle, Marc - In: Multinational Finance Journal 6 (2002) 2, pp. 99-130

generating conditions. It can used for the valuation of standard and exotic derivatives. …

Persistent link: https://www.econbiz.de/10010937187

Trading activity in the equity market and its contingent claims: An empirical investigation

Roll, Richard; Schwartz, Eduardo; Subrahmanyam, Avanidhar - In: Journal of Empirical Finance 28 (2014) C, pp. 13-35

the time-series of trading activity in the cash S&P 500 index and its derivatives (options, the legacy and E-mini futures …

Persistent link: https://www.econbiz.de/10010939533

Up- and Downside Variance Risk Premia in Global Equity Markets

Held, Matthias; Omachel, Marcel - Fakultät für Wirtschaftswissenschaft, … - 2014

This paper studies the variance risk premium from a new perspective by disaggregating the total premium into upper and lower semivariance premia. To this end, we provide novel tools for computing conditional expectations using traded options as well as moment generating functions. Across a...

Persistent link: https://www.econbiz.de/10010960418

Asset Management in Volatile Markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - SUERF - The European Money and Finance Forum

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Persistent link: https://www.econbiz.de/10005018003

The risk neutral valuation paradox

Maccioni, A. Fiori - Centro Ricerche Nord Sud (CRENoS) - 2011

This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We … propose the following theorem. A market for derivatives, which has all the features of a perfect market except completeness … fundamental values of derivatives, and that extreme price movements like price peaks or crashes may have endogenous origin and …

Persistent link: https://www.econbiz.de/10009220539

Financial Management of Weather Risk with Energy Derivatives

Janda, Karel; Vylezik, Tomas - Volkswirtschaftliche Fakultät, … - 2011

weather derivatives as financial tools for weather risk management. …

Persistent link: https://www.econbiz.de/10009372535

Efficient Markets and the Law: A Predictable Past and an Uncertain Future

Hu, Henry T.C. - In: Annual Review of Financial Economics 4 (2012) 1, pp. 179-214

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...

Persistent link: https://www.econbiz.de/10010603964

Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE

Kandir, Serkan Yilmaz; Erismis, Ahmet - In: Istanbul Stock Exchange Review 12 (2012) 46, pp. 49-83

found to be affected by exchange rate risk appear to be smaller and tend to use fewer derivatives when they are compared …

Persistent link: https://www.econbiz.de/10010754637

Volatility dependent structured products

Dyachenko, Artem; Farkas, Walter; Rieger, Marc Oliver - 2019

We construct a derivative that depends on the SPY and VIX and, in this way, incorporates both the market risk premium and the variance risk premium. We show that the product's Sharpe ratio is higher than the SPY Sharpe ratio. If we invest $10000 into the product, the products' payoff is around...

Persistent link: https://www.econbiz.de/10012177147

Chapter 19 Derivatives

Whaley, Robert E. - 2003

The area of derivatives is arguably the most fascinating area within financial economics during the past thirty years …. This chapter reviews the evolution of derivatives contract markets and derivatives research over the past thirty years. The …. The key economic insight of their model is that a risk-free hedge can be formed between a derivatives contract and its …

Persistent link: https://www.econbiz.de/10014023852