Titlebook: Derivatives and Hedge Funds; Stephen Satchell (Professor of Finance) Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 Deriva

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Index Futures Trading, Information and Stock Market Volatility: The Case of Greecee first theory supports the argument that futures trading destabilises the underlying spot market by increasing its volatility. In practice, volatility increases through speculation or arbitrage strategies. Then, an increase in interest rates and the cost of capital, leading to a reduction in the va

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Introduction of Futures and Options on a Stock Index and Their Impact on the Trading Volume and Volathis old issue. The different views on this issue can be no better illustrated than by the article published in the ‘Abreast of the Market’ column of the . on the first trading day of the index futures and options. The front page article reported that Michael Schwartz, Chief Options Strategist at Op

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The Characteristics and Evolution of Credit Default Swap Tradinge of the market’s rapid growth, CDS have attracted increasing attention in academic research. In recent years, there has also been an increase in CDS index trading, which has provided further depth to the market.

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Hedge Funds and Higher Moment Portfolio Selectionskewness and kurtosis for a given set of investor preferences. This comparison will be presented in the context of both a fund-of-hedge-fund strategy allocation as well as the asset allocation problem of what proportion to allocate to hedge funds in a balanced portfolio.

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Frictional Costs of Diversification: How Many CTAs Make a Diversified Portfolio?rved portfolios. Early studies focused on equity markets and tried to answer the question: ‘How many stocks make a diversified portfolio?’ Elton and Gruber (1977), Statman (1987), Newbould and Poon (1993), O’Neal (1997) and Statman (2004) all come to different conclusions about the optimal number of

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