Journal of Derivatives & Hedge Funds
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Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market
Journal of Derivatives & Hedge Funds - Tập 20 - Trang 28-51 - 2014
Under unstable economic conditions, interest in the financial derivatives market
is easy to understand. On the Russian forward market, derivatives such as
options and futures are gaining increasing popularity as a means of managing the
risks of business units in order to protect against possible financial losses.
The competition created among the organizers of forward trading has encouraged
the em...
The pricing of dividend futures in the European market: A first empirical analysis
Journal of Derivatives & Hedge Funds - Tập 16 - Trang 136-143 - 2010
This article is the first to study empirically the pricing of the Euro Stoxx 50
dividend futures, introduced at the European Exchange (Eurex) in mid-2008. These
instruments are an easy means of obtaining exposure to the future dividends of
the index constituents for hedging and speculation purposes. Trading figures
thus far show a viable interest of market participants in this innovation. Based
on...
Empirical competitiveness of deterministic option pricing models: Evidences from the recent waves of financial upheavals in India
Journal of Derivatives & Hedge Funds - Tập 19 - Trang 129-156 - 2013
It is acknowledged by the leading researchers that the fundamental force behind
the emergence of advanced option pricing models was the result of abundant
empirical research analysis, leading to the fact that the asset return
distribution is non-log-normal. It obviously resulted in strong moneyness and
maturity pricing biases of Black–Scholes (BS). The concept defined the assertive
distributional ...
Pricing, value-at-risk and dynamic properties of re-settable strike-price puts
Journal of Derivatives & Hedge Funds - Tập 13 - Trang 107-124 - 2007
This paper considers a particular type of re-settable strike-price put contract.
This class of contract is important because it has come into widespread use as
an embedded feature of investment vehicles such as segregated-funds investments
and protected index notes. Holders of short positions in these contracts face a
potential liability that crystallises if contracts mature at a time when market
...
Derivatives pricing and liquidity dominance in alternative trading venues
Journal of Derivatives & Hedge Funds - Tập 17 Số 3 - Trang 198-218 - 2011
Currency trading in volatile markets: Did neural networks outperform for the EUR/USD during the financial crisis 2007–2009?
Journal of Derivatives & Hedge Funds - Tập 18 - Trang 2-41 - 2012
The motivation for this article is to check whether neural network models have
remained a superior method for forecasting the EUR/USD exchange rate during the
financial crisis of 2007–2009. Alternative neural network architectures
(Multi-Layer Perceptron (MLP), Recurrent Neural Network and Higher Order Neural
Network (HONN)) are benchmarked against a random walk and a traditional ARMA
model, and e...
Empirical performance of a spline-based implied volatility surface
Journal of Derivatives & Hedge Funds - Tập 18 - Trang 361-376 - 2012
Since the crash of 1987, it has been observed by option market participants that
implied volatilities for out-of-the-money options are higher than predicted by
the constant volatility Black-Scholes (1973) model. Option prices also exhibit
dependence on time to expiry. The collection of these implied volatilities
across strike and maturity is known as the implied volatility surface (IVS). We
propos...
The problem with hedge fund fees
Journal of Derivatives & Hedge Funds - Tập 18 - Trang 42-52 - 2011
The structure of hedge fund fees is meaningfully flawed. These imperfections are
so great that institutional investors will force substantive change over the
coming years. The problem arises when the basis on which fees are calculated
serves to break the required clean connection between value and price.
Unfortunately, the structure of hedge fund fees when superimposed on how hedge
fund portfolios...
A policy proposal to manage the risk of leveraged MBS and CDO purchases
Journal of Derivatives & Hedge Funds - - 2011
A primer on commodity hedge funds
Journal of Derivatives & Hedge Funds - Tập 18 - Trang 223-235 - 2012
This article aims to describe the universe of long–short commodity funds and to
identify the style that generates the highest α. We construct an extensive
database of 683 active commodity hedge funds, covering the January 2000 –
December 2010 observation period. Each fund is allocated to one of three styles:
long–short futures, long–short equities or funds of funds. Overall, we show that
all commo...
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