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

This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF).

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