Equity Derivatives Markets
نویسنده
چکیده
Since the ideas of arbitrage free pricing were born, finance has changed radically both in theory and practice. Derivatives markets have evolved and options serve nowadays as underlyings and as hedging instruments. In this thesis, we consider some markets for equity derivatives. We start by statistical analysis of the markets for European options and variance swaps because these products are important for hedging more complex claims. Then we consider different option pricing models and their calibration to observed price surfaces. Finally, we investigate the connection between option prices and the fundamental economic concept of risk aversion by the empirical pricing kernel.
منابع مشابه
Transparency in OTC Equity Derivatives Markets: a Quantitative Study
We study trade-transparency in over-the-counter (OTC) equity derivatives markets, performing two related experiments. The first consists of a statistical study: we analyze a very large dataset of reported OTC transactions to the MarkitServ database and seek to correlate the trade prices with the prices of analogous derivatives listed in exchanges or with model prices derived from the latter (“f...
متن کاملApplications of Conic Optimization and Quadratic Programming in the Investigation of Index Arbitrage in the Thai Derivatives and Equity Markets
This research seeks to investigate the frequency and profitability of index arbitrage opportunities involving the SET50 futures, SET50 component stocks, and the ThaiDEX SET50 ETF (ticker symbol: TDEX). In particular, the frequency and profit of arbitrage are measured in the following three arbitrage tests: (1) SET50 futures vs. ThaiDEX SET50 ETF, (2) SET50 futures vs. SET50 component stocks, an...
متن کاملTrade Transparency in OTC Equity Derivatives Markets
This paper describes the over-the-counter derivatives markets from the point of view of its structure, participants and products. We highlight the current trading venues for OTC equity derivatives, which include the inter-dealer market as well as electronic trading networks. The paper shows that the link between listed stock exchanges, options exchanges and the OTC market provides significant p...
متن کاملDo Hedge Funds Outperform Stocks and Bonds?
H funds’ extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric and parametric performance measures to d...
متن کاملAnalysis of Systematic Risks in Multi-Name Credit and Equity Markets
In this paper, we present an intensity-based common factor model that is used to analyze the valuation of common systematic risks in multi-name credit and equity markets. In particular, we use a hybrid intensity model to price single-name credit instruments such as credit default swaps (CDSs), multi-name credit derivatives such as collateralized debt obligations (CDOs), and equity index options...
متن کامل