Opis: Derivatives and Hedge Funds

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

Szczegóły: Derivatives and Hedge Funds

Tytuł: Derivatives and Hedge Funds
Producent: Palgrave Macmillan
ISBN: 9781137554161
Rok produkcji: 2015
Ilość stron: 397
Oprawa: Twarda
Waga: 0.45 kg

Recenzje: Derivatives and Hedge Funds