Derivatives and Hedge Funds

1. Front Matter

   Pages i-xx

   PDF

2. Hedge Funds

   1. Front Matter

      Pages 1-1

      PDF

   2. Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio?

      • Bernd Scherer

      Pages 3-19

   3. Crude Oil Futures Markets: Another Look into Traders’ Positions

      • Damir Tokic

      Pages 20-44

   4. Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach

      • Ryan J. Davies, Harry M. Kat, Sa Lu

      Pages 45-71

   5. A Primer on Structured Finance

      • Andreas A. Jobst

      Pages 72-90

   6. Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility

      • Roland Füss, Dieter G. Kaiser, Zeno Adams

      Pages 91-117

   7. Index Futures Trading, Information and Stock Market Volatility: The Case of Greece

      • Christas Floros, Dimitrios V. Vougas

      Pages 118-139

   8. Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story

      • Christian L. Dunis, Jason Laws, Ben Evans

      Pages 140-160

   9. The Relation between Bid-Ask Spreads and Price Volatility in Forward Markets

      • Roy A. Batchelor, Amir H. Alizadeh, Ilias D. Visvikis

      Pages 161-184

3. Markets, Pricing and Products

   1. Front Matter

      Pages 185-185

      PDF

   2. 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, Rafiqul Bhuyan

      Pages 187-201

   3. The Characteristics and Evolution of Credit Default Swap Trading

      • Lei Meng, Owain ap Gwilym

      Pages 202-217

   4. The Performance Persistence of Equity Long/Short Hedge Funds

      • Samuel Manser, Markus M. Schmid

      Pages 218-239

   5. Examination of Fund Age and Size and Its Impact on Hedge Fund Performance

      • Meredith Jones

      Pages 240-252

   6. Great in Practice, Not in Theory: An Empirical Examination of Covered Call Writing

      • Michael L. McIntyre, David Jackson

      Pages 253-268

   7. Hedge Funds and Higher Moment Portfolio Selection

      • Greg Bergh, Paul van Rensburg

      Pages 269-297

   8. Sovereign Wealth Funds-Investment Strategies and Financial Distress

      • Raphael W. Lam, Marco Rossi

      Pages 298-322

   9. Modeling Autocallable Structured Products

      • Geng Deng, Joshua Mallett, Craig McCann

      Pages 323-344

   10. The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returns

       • François-Éric Racicot, Raymond Théoret

       Pages 345-369

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.

• Derivative
• hedge fund
• Frictional cost
• diversification
• CTAs
• diversified portfolio
• crude oil
• markets
• traders
• primer
• structured finance
• value
• risk
• GARCH model
• volatility
• stock market
• Greece
• gasoline crack spread
• bid ask spreads
• stock index
• derivatives
• investment
• Rating

• Sydney University, Australia

  Stephen Satchell

Stephen Satchell is a Lecturer in Financial Economics at Birbeck University of London, UK and Professor at the University of Sydney, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

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