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    New Florida Tech business school dean is optimistic: The Nathan M. Bisk College of Business has addressed this n... http://bit.ly/k5noj9

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    Solo Business School http://www.disolo.com/solo-business-school/ #fb #disolo

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    Most research on option hedging has compared the performance of delta hedges derived from different stochastic volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the 'implied BSM' model in which an option's delta is based on its own market implied volatility. Various empirical studies of vanilla options on different equity indices have provided substantial evidence that minimum variance deltas outperform the partial derivative delta, but no clear evidence that they

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    Most research on option hedging has compared the performance of delta hedges derived from different stochastic volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the 'implied BSM' model in which an option's delta is based on its own market implied volatility. Various empirical studies of vanilla options on different equity indices have provided substantial evidence that minimum variance deltas outperform the partial derivative delta, but no clear evidence that they

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    Conditional distributions of financial asset returns in the physical measure in a GARCH context are of particular importance for portfolio optimization and risk assessment. For the GJR-GARCH model with a generic innovation distribution we derive new analytic expressions for the first four moments of the forward return, forward variance, aggregated returns and aggregated variances. Moments for standard GARCH models can be recovered as special cases. We also derive the limits of moments as the tim

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    Negative equity returns during excessively volatile market conditions could be offset by large positive returns on long volatility positions. However, institutional investors should be extremely cautious of the apparent benefits of volatility diversification. An ex-post mean-variance analysis demonstrates that a sizable, long position on volatility is indeed an optimal diversification for long equity exposure, but only if taken at the onset of a market crash. And when the market recovers the str

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    Recent research advocates volatility diversification for long equity investors. It can even be justified when short-term expected returns are highly negative, but only when its equilibrium return is ignored. Its advantages during stock market crises are clear but we show that the high transactions costs and negative carry and roll yield on volatility futures during normal periods would outweigh any benefits gained unless volatility trades are carefully timed. Our analysis highlights the difficul

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    This article introduces generalized beta-generated (GBG) distributions. Sub-models include all classical beta-generated, Kumaraswamy-generated and exponentiated distributions. They are maximum entropy distributions under three intuitive conditions, which show that the classical beta generator skewness parameters only control tail entropy and an additional shape parameter is needed to add entropy to the centre of the parent distribution. This parameter controls skewness without necessarily differ

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    Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model risks but, as yet, there is no accepted framework for computing such an add-on. We introduce a top-down approachto quantifying VaR model risk in a rigorous statistical framework and derive a corresponding

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    This article introduces generalized beta-generated (GBG) distributions. Sub-models include all classical beta-generated, Kumaraswamy-generated and exponentiated distributions. They are maximum entropy distributions under three intuitive conditions, which show that the classical beta generator skewness parameters only control tail entropy and an additional shape parameter is needed to add entropy to the centre of the parent distribution. This parameter controls skewness without necessarily differ

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    Conditional distributions of financial asset returns in the physical measure in a GARCH context are of particular importance for portfolio optimization and risk assessment. For the GJR-GARCH model with a generic innovation distribution we derive new analytic expressions for the first four moments of the forward return, forward variance, aggregated returns and aggregated variances. Moments for standard GARCH models can be recovered as special cases. We also derive the limits of moments as the tim

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    This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from the class of rotational matrices. We describe the characteristics of ROM simulated samples that are generated using random Hessenberg, Cayley and exponential matrices and compare the computational efficiency of parametric ROM simulations with standard Monte Carlo techniques.

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    Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk assessment and portfolio optimization, are typically generated via simulation. This paper extends previous research on analytic moments of GARCH returns distributions in several ways: we consider a general GARCH model -- the GJR specification with a generic innovation distribution; we derive analytic expressions for the first four conditional moments of the forward return, of the

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    This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from the class of rotational matrices. We describe the characteristics of ROM simulated samples that are generated using random Hessenberg, Cayley and exponential matrices and compare the computational efficiency of parametric ROM simulations with standard Monte Carlo techniques.

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    Most research on option hedging has compared the performance of delta hedges derived from different stochastic volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the 'implied BSM' model in which an option's delta is based on its own market implied volatility. Various empirical studies of vanilla options on different equity indices have provided substantial evidence that minimum variance deltas outperform the partial derivative delta, but no clear evidence that they

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    It is widely accepted that some of the most accurate predictions of aggregated asset returns are based on an appropriately specified GARCH process. As the forecast horizon is greater than the frequency of the GARCH model, such predictions either require time-consuming simulations or they can be approximated using a recent development in the GARCH literature, viz. analytic conditional moment formulae for GARCH aggregated returns. We demonstrate that this methodology yields robust and rapid calcul

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    Different theoretical and numerical methods for calcuating the fair-value of a variance swap give rise to systematic biases that are most pronounced during volatile periods. For instance, differences of 10-20 percentage points would have been observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its implementation. Our empirical study utilizes more than 16 years of FTSE 100 daily options prices to compare three fair-value variance s

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    Different theoretical and numerical methods for calcuating the fair-value of a variance swap give rise to systematic biases that are most pronounced during volatile periods. For instance, differences of 10-20 percentage points would have been observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its implementation. Our empirical study utilizes more than 16 years of FTSE 100 daily options prices to compare three fair-value variance s

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    Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic biases that are most pronounced during volatile periods. For instance, differences of 10-20 percentage points would have been observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its implementation. Our empirical study utilizes more than 16 years of FTSE 100 daily options prices to compare three fair-value variance

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    moneyscience: MoneyScience Daily is out! http://bit.ly/hWX9Ak

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