Derivatives Use, Trading & Regulation

Title Publication Date Language Citations
The VIX and VXN volatility measures: Fear gauges or forecasts?2006/05/0120
Modelling and trading the gasoline crack spread: A non-linear story2006/05/0116
Autocorrelation, bias and fat tails: Are hedge funds really attractive investments?2006/05/0113
Alternative volatility models for risk management and trading: Application to the EUR/USD and USD/JPY rates2005/09/0111
Examination of fund age and size and its impact on hedge fund performance2007/02/0111
Index futures trading, information and stock market volatility: The case of Greece2006/05/019
Trading on the information content of open interest: Evidence from the US equity options market2005/06/019
The relation between bid–ask spreads and price volatility in forward markets2005/09/019
Introduction of futures and options on a stock index and their impact on the trading volume and volatility: Empirical evidence from the DJIA components2005/12/018
Option pricing based on mixtures of distributions: Evidence from the Eurex index and interest rate futures options market2005/12/017
Trading efficiency of commodity trading advisors using Data Envelopment Analysis2006/05/016
Variance swap volatility dispersion2006/02/015
Correlation, price discovery and co-movement of asset-backed securities and equity2006/05/015
Empirical investigation of the VaR of hedge funds using daily data2007/02/013
Investing in the environment: Some thoughts on the new breed of green hedge funds2007/02/013
Survival of micro hedge funds2006/11/013
Invited Editorial2006/05/013
US legal and regulatory developments: Registration under the Investment Advisers Act of 1940 of certain hedge fund advisers2005/12/013
Derivatives Use: Valuation and hedging of contingent claims on power with spikes: A non-Markovian approach2006/02/012
The dollar correction and the Asian currencies2006/02/012
Performance metrics for Spanish investment funds2006/11/012
The diversification benefits of hedge funds and funds of hedge funds2007/02/012
Preventing and detecting hedge fund failure risk through partial transparency2007/02/012
Foreign exchange hedging in Chile2006/11/011
Hedge fund indices for retail investors: UCITS eligible or not eligible?2007/02/011
CDOs cubed: The first-ever triple derivative2006/11/011
Why maximising information ratios is incorrect2005/12/011
Unobservable information and behavioural patterns in futures markets: The case for Brent Crude Oil, Gold and Robusta Coffee contracts2006/05/011
How to Invest in Hedge Funds: An Investment Professional's Guide2005/06/011
Derivatives Trading: The credit derivatives conundrum2005/06/011