Value Of Uncertainty, The: Dealing With Risk In The Equity Derivatives Market PDF Download
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Author: George J Kaye
Publisher: World Scientific Publishing Company
ISBN: 1908979585
Category : Business & Economics
Languages : en
Pages : 438
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Book Description
Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application./a
Author: George J Kaye
Publisher: World Scientific Publishing Company
ISBN: 1908979585
Category : Business & Economics
Languages : en
Pages : 438
Get Book Here
Book Description
Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application./a
Author: Robert A. Schwartz
Publisher: Springer Science & Business Media
ISBN: 1441914749
Category : Business & Economics
Languages : en
Pages : 152
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Book Description
Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Author: Nick Firoozye
Publisher: Springer
ISBN: 1137334541
Category : Business & Economics
Languages : en
Pages : 281
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Book Description
Managing Uncertainty, Mitigating Risk proposes that financial risk management broaden its approach, maintaining quantification where possible, but incorporating uncertainty. The author shows that by using broad quantification techniques, and using reason as the guiding principle, practitioners can see a more holistic and complete picture.
Author: Elizabeth Connor Stone
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The synthesizing element of this dissertation is the use of financial data to research topics relevant for the regulation of financial markets and for policy aimed at stimulating economic activity. The first chapter, entitled "The Effect of Uncertainty on Investment: Evidence from Options" and co-authored with Luke Stein, uses information incorporated in securities prices to understand firm behavior. In particular, the research presents new empirical evidence on the relationship between uncertainty and firm-level investment. The chapter's contributions fall into two categories: measurement and identification. We use the expected volatility of stock prices as implied by equity options as a proxy for the uncertainty faced by firms. In addition, we introduce a natural instrument strategy that relies upon variation in firms' exposure to the volatility of energy prices and currency exchange rates. We find a negative and statistically significant relationship between uncertainty and investment that is robust across a variety of specifications. The coefficient estimates are larger in magnitude after addressing the endogeneity of the uncertainty measure, suggesting potential reverse causation that biases the OLS estimates towards zero. The second and third chapters use financial data to analyze topics capturing regulatory attention in equity markets. The second chapter evaluates the Securities Exchange Commission's implementation of a "penny pricing" pilot in the exchange-traded equity options market in February 2007. The initial phase of this trial required options exchanges to reduce the minimum bid-offer spread from five or ten cents to a penny for the options corresponding to thirteen underlying equity securities. The chapter presents an analysis of the market impact of the Penny Pilot and highlights the SEC's central role in shaping the options market's innovations and competitive environment. Beyond a reduction in bid-offer spreads, the pilot has stimulated a variety of changes in trading dynamics and market structure. These repercussions include thinner markets, changes in market maker fee structures, the introduction of alternative trading venues, and incentives for the exchanges to prioritize further technological innovation. The third chapter, entitled "Fails to Deliver: The Price Impact of Naked Short Sales", presents research on the effect of naked short selling on asset prices and trading dynamics. The chapter evaluates the validity of the claim that naked shorting leads to negative excess returns by creating additional selling pressure. While data on naked short sales is not available, Securities Exchange Commission data on failures to deliver is a strong proxy. Fail to deliver data for 2004 covers a period during which the prevalence of naked short selling was not public knowledge since neither the fail to deliver data nor the Regulation SHO Threshold List was publicly available. In excluding information and regulation effects, the analysis isolates potential microstructure price effects. Using a methodology that constructs daily portfolios according to the quantity of naked short selling, I find no evidence that stocks subject to naked short selling experience negative excess returns. Rather, I find evidence that these stocks outperform on the day the trades occur. Naked short sellers appear to target stocks that outperform during the trading day and cover existing fails on days when the stocks underperform. This outperformance is not evident for stocks subject to the greatest amount of naked short selling, suggesting that positive excess returns may be offset by the additional selling pressure.
Author: Robert A Jarrow
Publisher:
ISBN: 9789811292507
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Author: DR. SHASHIBHUSHAN PALVE
Publisher: Lulu.com
ISBN: 1329849760
Category : Education
Languages : en
Pages : 182
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Book Description
Derivatives are an innovation that has redefined the financial services industry and it has assumed a very important place in the capital markets. Financial derivative markets have enjoyed significant growth and innovation in the past few decades. Derivatives trading have become an important part of most modern financial markets. Initially financial derivatives were popular in only few developed countries but nowadays there is an extensive increase in their application in the developing counties like India.
Author: Oliver Brockhaus
Publisher:
ISBN: 9781899332878
Category : Business & Economics
Languages : en
Pages : 248
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Book Description
The definitive practitioners' reference on the advanced use of equity derivatives.
Author: Richard Lehman
Publisher: John Wiley & Sons
ISBN: 1118022262
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.
Author: David Emrus Lawrence
Publisher:
ISBN: 9781861520067
Category : Derivative securities
Languages : en
Pages : 0
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Book Description
Recent well-publicised losses on the derivatives markets have highlighted the need for a much closer understanding of the price risk involved, not just among the specialists but at all levels within financial institutions and end-user companies. This timely book sets out a clear, logical approach to the measurement of price risk positions using the techniques of factor sensitivity analysis and 'value at risk', illustrated with straightforward numerical examples. It will be an essential guide to a key area of risk management.
Author: Richard Friberg
Publisher: MIT Press
ISBN: 0262528193
Category : Business & Economics
Languages : en
Pages : 395
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Book Description
A comprehensive framework for assessing strategies for managing risk and uncertainty, integrating theory and practice and synthesizing insights from many fields. This book offers a framework for making decisions under risk and uncertainty. Synthesizing research from economics, finance, decision theory, management, and other fields, the book provides a set of tools and a way of thinking that determines the relative merits of different strategies. It takes as its premise that we make better decisions if we use the whole toolkit of economics and related fields to inform our decision making. The text explores the distinction between risk and uncertainty and covers standard models of decision making under risk as well as more recent work on decision making under uncertainty, with a particular focus on strategic interaction. It also examines the implications of incomplete markets for managing under uncertainty. It presents four core strategies: a benchmark strategy (proceeding as if risk and uncertainty were low), a financial hedging strategy (valuable if there is much risk), an operational hedging strategy (valuable for conditions of much uncertainty), and a flexible strategy (valuable if there is much risk and/or uncertainty). The book then examines various aspects of these strategies in greater depth, building on empirical work in several different fields. Topics include price-setting, real options and Monte Carlo techniques, organizational structure, and behavioral biases. Many chapters include exercises and appendixes with additional material. The book can be used in graduate or advanced undergraduate courses in risk management, as a guide for researchers, or as a reference for management practitioners.
