Satchell Derivatives and Hedge Funds

1. Auflage 2015
ISBN: 978-1-137-55417-8
Verlag: Palgrave Macmillan UK
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 416 Seiten, eBook

Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues.

This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.

Zielgruppe

Research

Autoren/Hrsg.

Satchell, Stephen

Inhaltsverzeichnis

1;Cover;1
2;Contents;6
3;List of Figures, Tables and Boxes;8
4;Preface;17
5;Part I: Hedge Funds;22
5.1;1 Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio?;23
5.2;2 Crude Oil Futures Markets: Another Look into Traders’ Positions;40
5.3;3 Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach;65
5.4;4 A Primer on Structured Finance;92
5.5;5 Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility;111
5.6;6 Index Futures Trading, Information and Stock Market Volatility: The Case of Greece;138
5.7;7 Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story;160
5.8;8 The Relation between Bid–Ask Spreads and Price Volatility in Forward Markets;181
6;Part II: Markets, Pricing and Products;205
6.1;9 Introduction of Futures and Options on a Stock Index and Their Impact on the Trading Volume and Volatility: Empirical Evidence from the DJIA Components;206
6.2;10 The Characteristics and Evolution of Credit Default Swap Trading;221
6.3;11 The Performance Persistence of Equity Long/Short Hedge Funds;237
6.4;12 Examination of Fund Age and Size and Its Impact on Hedge Fund Performance;259
6.5;13 Great in Practice, Not in Theory: An Empirical Examination of Covered Call Writing;272
6.6;14 Hedge Funds and Higher Moment Portfolio Selection;288
6.7;15 Sovereign Wealth Funds – Investment Strategies and Financial Distress;317
6.8;16 Modeling Autocallable Structured Products;342
6.9;17 The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returns;364
6.10;18 Option Pricing Based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market;389
7;Index;410

Über Autor(innen)

Stephen Satchell is a Lecturer in Financial Economics at Birbeck University of London, UK and Professor at the University of Sydney, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.