Derivatives and Hedge Funds / / by Stephen Satchell

• Autore: Satchell Stephen <1949->
• Pubblicazione: London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2016
• Edizione: 1st ed. 2016.
• Descrizione fisica: 1 online resource (418 p.)
• Disciplina: 572
• Soggetto topico: Biochemistry; Business enterprises—Finance; Biochemistry, general; Business Finance
• Note generali: "Chapters originally published in The journal of derivatives and hedge funds by Palgrave Macmillan 2016."--title page verso.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Cover; Contents; List of Figures, Tables and Boxes; Preface; Part I: Hedge Funds; 1 Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio?; 2 Crude Oil Futures Markets: Another Look into Traders' Positions; 3 Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach; 4 A Primer on Structured Finance; 5 Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility; 6 Index Futures Trading, Information and Stock Market Volatility: The Case of Greece; 7 Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story ; 8 The Relation between Bid-Ask Spreads and Price Volatility in Forward MarketsPart II: Markets, Pricing and Products; 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; 10 The Characteristics and Evolution of Credit Default Swap Trading; 11 The Performance Persistence of Equity Long/Short Hedge Funds; 12 Examination of Fund Age and Size and Its Impact on Hedge Fund Performance; 13 Great in Practice, Not in Theory: An Empirical Examination of Covered Call Writing ; 14 Hedge Funds and Higher Moment Portfolio Selection15 Sovereign Wealth Funds - Investment Strategies and Financial Distress; 16 Modeling Autocallable Structured Products; 17 The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returns; 18 Option Pricing Based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market; Index
• Sommario/riassunto: 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.
• Titolo autorizzato: Derivatives and Hedge Funds
• ISBN: 1-137-55417-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910253873403321
• Lo trovi qui: Univ. Federico II