"The aim of this book is to present a clear exposition of key results on pricing, hedging and speculation using derivative securities. The emphasis is on drawing out the practical uses of derivatives. The reader needs only to have undertaken an introductory course in finance, together with some...

Cover -- Title Page -- Copyright -- Contents -- About the Authors -- About the Companion Site -- Preface -- Chapter 1 Derivative Securities -- 1.1 Forwards and Futures -- 1.1.1 Market Classification -- 1.2 Options -- 1.2.1 Call Options -- 1.2.2 Long Call: Speculation -- 1.2.3 Closing Out --...

Using a comprehensive data set on (surviving and non-surviving) UK equity mutual funds, we use a cross-section bootstrap methodology to distinguish between 'skill' and 'luck' for individual funds. This methodology allows for non-normality in the idiosyncratic risk of the funds -- a major issue...

We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric...