Using Bessel processes, one can solve several open problems involving the integral of an
exponential of Brownian motion. This point will be illustrated with three examples. The first …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Portfolio insurance strategies are used on both the institutional and the retail side of the
asset management industry. While standard utility theory struggles to provide an …

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many
topics of modern investment analysis. It provides a balanced presentation of theories …

Designed as a text for postgraduate students of management, commerce, and financial
studies, this compact text clearly explains the subject without the mathematical complexities …

We forecast portfolio risk for managing dynamic tail risk protection strategies, based on
extreme value theory, expectile regression, copula‐GARCH and dynamic generalized …

This paper simulates the performance of synthetic put portfolio insurance and Constant
Proportion Portfolio Insurance (CPPI) using Australian data for the period from 1992 to 2000 …

In this paper, we discuss a newly introduced exotic derivative called the “Timer Option”.
Instead of being exercised at a fixed maturity date as a vanilla option, it has a random date of …

The paper analyzes a family of dynamic trading strategies which do not rely on any
stochastic process assumptions (aside from continuity and positivity) and in particular do not …

This paper proposes a methodology using VIX futures as an investment asset while
controlling downside risk. For this purpose, three portfolio insurance (PI) strategies are built …