Derivatives and Hedge Funds

Part I. Hedge Funds

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, 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 Füss, Dieter G. Kaiser, Zeno Adams

6. Index Futures Trading, Information and Stock Market Volatility: The Case of Greece
Christas Floros, Dimitrios V. Vougas

7. Modelling and Trading the Gasoline Crack Spread: A Non-Linear Story
Christian L. Dunis, Jason Laws, Ben Evans

8. The Relation between Bid-Ask Spreads and Price Volatility in Forward Markets
Roy A. Batchelor, Amir H. Alizadeh, Ilias D. Visvikis

Part 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
Mohammad G. Robbani, Rafiqul Bhuyan

10. The Characteristics and Evolution of Credit Default Swap Trading
Lei Meng, Owain ap Gwilym

11. The Performance Persistence of Equity Long/Short Hedge Funds
Samuel Manser, 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, David Jackson

14. Hedge Funds and Higher Moment Portfolio Selection
Greg Bergh, Paul Rensburg

15. Sovereign Wealth Funds-Investment Strategies and Financial Distress
Raphael W. Lam, Marco Rossi

16. Modeling Autocallable Structured Products
Geng Deng, Joshua Mallett, Craig McCann

17. The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returns
François-Éric Racicot, Raymond Théoret

18. Option Pricing Based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market
Sascha Wilkens

Avainsanat: Life Sciences, Biochemistry, general, Business Finance