Derivatives and hedge funds
著者
書誌事項
Derivatives and hedge funds
Palgrave Macmillan, 2016
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注記
"Chapters originally published in The journal of derivatives and hedge funds by Palgrave Macmillan (various years)"--T.p. verso
Includes bibliographical references and index
内容説明・目次
内容説明
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.
目次
- Preface: Stephen Satchell 1. Frictional Costs Of Diversification: How Many CTAs Make A Diversified Portfolio?
- Bernd Scherer 2. Crude Oil Futures Markets: Another Look Into Traders' Positions
- Damir Tokic 3. Fund Of Hedge Funds Portfolio Selection: A Multiple-Objective Approach
- Ryan J Davies, Harry M Kat And Sa Lu 4. A Primer On Structured Finance
- Andreas A Jobst 5. Value At Risk, GARCH Modelling And The Forecasting Of Hedge Fund Return Volatility
- Roland Fuss, Dieter G Kaiser And Zeno Adams 6. Index Futures Trading, Information And Stock Market Volatility: The Case Of Greece
- Christos Floros And Dimitrios V Vougas 7. Modelling And Trading The Gasoline Crack Spread: A Non-Linear Story
- Christian L Dunis, Jason Laws And Ben Evans 8. The Relation Between Bid-Ask Spreads And Price Volatility In Forward Markets
- Roy A Batchelor, Amir H Alizadeh And Ilias D Visvikis 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
- Mohammad G Robbani And Rafiqul Bhuyan 10. The Characteristics And Evolution Of Credit Default Swap Trading
- Lei Meng And Owain Ap Gwilym 11. The Performance Persistence Of Equity Long/Short Hedge Funds
- Samuel Manser And Markus M Schmid 12. Examination Of Fund Age And Size And Its Impact On Hedge Fund Performance
- Meredith Jones 13. Great In Practice, Not In Theory: An Empirical Examination Of Covered Call Writing
- Michael L Mcintyre And David Jackson 14. Hedge Funds And Higher Moment Portfolio Selection
- Greg Bergh And Paul Van Rensburg 15. Sovereign Wealth Funds - Investment Strategies And Financial Distress
- Raphael W Lam And Marco Rossi 16. Modeling Autocallable Structured Products
- Geng Deng, Joshua Mallett And Craig Mccann 17. The Beta Puzzle Revisited: A Panel Study Of Hedge Fund Returns
- Francois-Eric Racicot And Raymond Theoret 18. Option Pricing Based On Mixtures Of Distributions: Evidence From The Eurex Index And Interest Rate Futures Options Market
- Sascha Wilkens Index
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