Derivatives and Hedge Funds [electronic resource] /
Satchell, Stephen.author.
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.
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
"Chapters originally published in The journal of derivatives and hedge funds by Palgrave Macmillan 2016."--title page verso.
Includes bibliographical references and index.
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.
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