Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Mathieu Fournier"'
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:65-91
We show that the prices of risk for factors that are nonlinear in the market return can be obtained using index option prices. The price of coskewness risk corresponds to the market variance risk premium, and the price of cokurtosis risk corresponds
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7d25cebbeca636f6be7fdb5528ecab0
https://doi.org/10.1017/s002210902000023x
https://doi.org/10.1017/s002210902000023x
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2329af72d786720ad9fdb49bb381915f
https://doi.org/10.2139/ssrn.4138544
https://doi.org/10.2139/ssrn.4138544
Autor:
Kris Jacobs, Mathieu Fournier
Publikováno v:
Journal of Financial and Quantitative Analysis. 55:1117-1162
We develop a tractable dynamic model of an index option market maker with limited capital. We solve for the variance risk premium and option prices as a function of the asset dynamics and market maker option holdings and wealth. The market maker abso
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3b3934dd7b3af9ab06d606cd9d881d14
https://doi.org/10.1017/s0022109019000462
https://doi.org/10.1017/s0022109019000462
Publikováno v:
SSRN Electronic Journal.
We evaluate the empirical validity of the compound option framework. In a model where corporate securities are options on a firm's assets, option contracts on these can be viewed as options on options, or compound options. We estimate a model with pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ec25cff20e8627979a10354c69e9bb9
https://doi.org/10.2139/ssrn.3885357
https://doi.org/10.2139/ssrn.3885357
Publikováno v:
SSRN Electronic Journal.
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option retu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f92c72715ea4448628f1d5d5e08a8175
https://doi.org/10.2139/ssrn.3893807
https://doi.org/10.2139/ssrn.3893807
Publikováno v:
Heuristics for Optimization and Learning ISBN: 9783030589295
Hybridization metaheuristics can enhance algorithm performance by combining the advantages of several strategies in order to profit from the resulting synergy. Multi-objective optimization is no exception to this trend. In this paper we develop a new
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d01ea9c8b91c22f02a2b54d4841a5efa
https://doi.org/10.1007/978-3-030-58930-1_12
https://doi.org/10.1007/978-3-030-58930-1_12
Publikováno v:
Review of Financial Studies. 31(2):595-637
Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the crosssectional variation. Furthermore, these principal components are h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a6cb002615f27a4fb0e3b94b6e842bbc
https://doi.org/10.1093/rfs/hhx089
https://doi.org/10.1093/rfs/hhx089
Publikováno v:
SSRN Electronic Journal.
Regardless of whether the CAPM is rejected for valid reasons or by mistake, a single long-short portfolio will always explain, together with the market, 100% of the cross- sectional variation in returns. Yet, this portfolio, which we coin the “Low-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::068da93e0d74828b0681c03eb8e84ca8
https://doi.org/10.2139/ssrn.3367898
https://doi.org/10.2139/ssrn.3367898
Publikováno v:
SSRN Electronic Journal.
We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c43254946621cd0cd90206de0cbe9dd
https://doi.org/10.2139/ssrn.3190340
https://doi.org/10.2139/ssrn.3190340
Autor:
Nicolas Turgeon, Sylvain Savard, David Sénéchal, Mathieu Fournier, Mylène D’Aoust, Yann Le Bihan
Publikováno v:
WIT Transactions on Ecology and the Environment.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3b55bff77cbd20cad13b0b5e113f0133
https://doi.org/10.2495/air170211
https://doi.org/10.2495/air170211