{"title":"Testing and Mapping an Empirical Exercise Boundary for the American Put Option","authors":"J. Pimbley","doi":"10.3905/JOD.2021.1.134","DOIUrl":"https://doi.org/10.3905/JOD.2021.1.134","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"9 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74443820","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees","authors":"Tom P. Davis","doi":"10.3905/JOD.2021.1.130","DOIUrl":"https://doi.org/10.3905/JOD.2021.1.130","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"7 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79371181","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"An Arbitrage-Free Real-World Model for Fractional Option Prices","authors":"H. Fink","doi":"10.3905/JOD.2021.1.128","DOIUrl":"https://doi.org/10.3905/JOD.2021.1.128","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"142 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76800791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.1007/978-3-030-51751-9
J. Witzany
{"title":"Derivatives: Theory and Practice of Trading, Valuation, and Risk Management","authors":"J. Witzany","doi":"10.1007/978-3-030-51751-9","DOIUrl":"https://doi.org/10.1007/978-3-030-51751-9","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"46 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90293023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch15
{"title":"Uses of Options","authors":"","doi":"10.1002/9781119595663.ch15","DOIUrl":"https://doi.org/10.1002/9781119595663.ch15","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"196 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79884755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch7
{"title":"Currency Forwards and Futures","authors":"","doi":"10.1002/9781119595663.ch7","DOIUrl":"https://doi.org/10.1002/9781119595663.ch7","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"52 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75954092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch32
{"title":"Energy and Weather Derivatives","authors":"","doi":"10.1002/9781119595663.ch32","DOIUrl":"https://doi.org/10.1002/9781119595663.ch32","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"27 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81778000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch44
A. Vries
The main business of banks and insurance companies is risk. Banks and financial institutions lend money, running the risk of losing the lended amount, and they borrow “short money” having less risk but higher expected rates of return. Insurance companies on the other hand earn a risk premium for guaranteeing indemnifification for a negative outcome of a certain event. The evaluation of risk is essential for both kinds of business. During the 1990’s there has been established a measure for risk in finance theory as well as in practice, the Value at Risk, VaR. It was mainly popularized by J.P. Morgan’s RiskMetrics, a database supplying the essential statistical data to calculate the VaR of derivatives. In the context of finance Value at Risk is an estimate, with a given degree of confidence, of how much one can lose from a portfolio over a given time horizon. The portfolio can be that of a single trader, or it can be the portfolio of the whole bank. As a downside risk measure, Value at Risk concentrates on low probability events that occur in the lower tail of a distribution. In establishing a theoretical construct for VaR, Jorion [10] first defines the critical end of period portfolio value as the worst possible end-of-period portfolio value with a pre-determined confidence level “1− α” (e.g., 99%) These worst values should not be encountered more than α percent of the time. For example, a Value at Risk estimate of 1 million dollars at the 99% level of confidence implies that portfolio losses should not exceed 1 million dollars more than 1% of the time over the given holding period [10]. Currently, Value at Risk is being embraced by corporate risk managers as an important tool in the overall risk management process. Initial interest in VaR, however, stemmed from its potential applications as a regulatory tool. In the wake of several financial disasters involving the trading of derivatives products, such as the Barrings Bank collapse (see [10], regulatory agencies such as
银行和保险公司的主要业务是风险。银行和金融机构借钱，冒着失去贷款金额的风险，他们借“短期资金”，风险较小，但预期回报率较高。另一方面，保险公司通过保证对某一事件的负面结果进行赔偿而获得风险溢价。风险评估对这两种业务都是必不可少的。20世纪90年代，在金融理论和实践中都建立了一种衡量风险的方法，即风险价值(Value at risk, VaR)。它主要是由摩根大通的RiskMetrics推广开来的，该数据库提供了计算衍生品VaR的必要统计数据。在金融的背景下，风险价值是在给定的信心程度下，对一个投资组合在给定的时间范围内可能损失多少的估计。投资组合可以是单个交易员的投资组合，也可以是整个银行的投资组合。作为一种下行风险度量，风险值集中于发生在分布下尾的低概率事件。在建立VaR的理论结构时，Jorion[10]首先将关键期末投资组合价值定义为具有预先确定的置信水平“1 - α”(例如，99%)的最差可能期末投资组合价值，这些最差值不应超过α %的时间。例如，在99%的置信水平下，风险价值估计为100万美元，这意味着在给定的持有期间，投资组合损失不应超过1%的时间超过100万美元[10]。目前，风险价值作为整体风险管理过程中的一个重要工具被企业风险管理人员所接受。然而，最初对风险价值的兴趣源于其作为监管工具的潜在应用。在几次涉及衍生产品交易的金融灾难之后，如巴林银行的崩溃(见[10])，监管机构如
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