Message-ID: <338877.1075863442005.JavaMail.evans@thyme> Date: Tue, 28 Aug 2001 07:11:01 -0700 (PDT) From: j.kaminski@enron.com To: vkaminski@aol.com Subject: FW: Check out the first paper--Hope you are all well Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Kaminski, Vince J X-To: 'vkaminski@aol.com' X-cc: X-bcc: X-Folder: \VKAMINS (Non-Privileged)\Kaminski, Vince J\Sent Items X-Origin: Kaminski-V X-FileName: VKAMINS (Non-Privileged).pst -----Original Message----- From: "John D. Martin" @ENRON [mailto:IMCEANOTES-+22John+20D+2E+20Martin+22+20+3CJ+5FMartin+40baylor+2Eedu+3E+40ENRON@ENRON.com] Sent: Tuesday, August 28, 2001 8:14 AM To: Kaminski, Vince J Subject: Check out the first paper--Hope you are all well >Approved-By: approve@SSRN.COM >Date: Mon, 27 Aug 2001 12:50:30 -0500 >Reply-To: admin@SSRN.COM >Sender: Derivatives Working Paper Abstracts >From: Stephen Figlewski >Subject: FEN Derivatives WPS Vol. 8, No. 19, 08/23/2001 >To: DERIVATIVES-WPS@PUBLISHER.SSRN.COM >X-OriginalArrivalTime: 28 Aug 2001 00:33:41.0186 (UTC) FILETIME=[16108220:01C12F59] > >_________________________________________________________________ > > D E R I V A T I V E S A B S T R A C T S > Working Paper Series > Vol. 8, No. 19: August 23, 2001 >_________________________________________________________________ > >Publisher: FEN Subject Matter Journals > a division of > Social Science Electronic Publishing, Inc. (SSEP) > and Social Science Research Network (SSRN) > >Editor: STEPHEN FIGLEWSKI > NYU Stern School of Business > Mailto:sfiglews@stern.nyu.edu > >Copyright: SSEP, Inc. 2001. All rights reserved. > >Leading Social Science Research Delivered To Your Desktop > http://www.SSRN.Com/ > >SEARCHING THE SSRN ELECTRONIC LIBRARY > To search the entire SSRN Electronic Library by author, title, > JEL code, or full text of the abstracts in our database, please > visit http://papers.ssrn.com/ > > To browse all abstracts published in this journal, please visit > http://www.ssrn.com/link/derivatives.html > >REDISTRIBUTION > Individual and professional subscriptions to the journal are for > single users. It is a violation of copyright to redistribute > this document electronically or otherwise without the explicit > permission of Social Science Electronic Publishing, Inc. > Site licenses for organizations are available by contacting > Mailto:Site@SSRN.Com > >SIGN OFF > To stop delivery of one or more of the SSRN journals, write to > Mailto:Remove@SSRN.Com Include the JOURNAL name or the NETWORK > name or ALL in the subject line. If your address has changed, let > us know by writing to Mailto:AddressChg@SSRN.Com > >ALIGNMENT > If this document is misaligned, please set type face to a > non-proportional font such as Courier 10. > >PAPER DOWNLOADS > If you need assistance downloading papers from our web site, > please contact Mailto:Support@SSRN.Com > > >T A B L E of C O N T E N T S >_________________________________________________________________ > > >"Pricing Electricity Forwards Under Stochastic Volatility" > B. PHILIPP KELLERHALS > Universitaet Tuebingen > Dept. of Finance > > >"Interdealer Trading in Futures Markets" > PETER R. LOCKE > George Washington University > Department of Finance > PATTARAKE SARAJOTI > George Washington University > Department of Finance > > >"Quadratic Volatility Smiles" > HAIM REISMAN > Technion-Israel Institute of Technology > Faculty of Management > > >"An Application of Malliavin Calculus to Continuous Time Asian > Options Greeks" > ERIC BENHAMOU > Goldman Sachs International > London School of Economics & Political Science > (LSE) > Financial Markets Group > > >"Delta-Hedged Gains and the Negative Market Volatility Risk > Premium" > GURDIP BAKSHI > University of Maryland > Robert H. Smith School of Business > NIKUNJ KAPADIA > University of Massachusetts at Amherst > Department of Finance > > >"Hedge Fund Performance 1990-2000: Do the Money Machines Really > Add Value?" > HARRY M. KAT > University of Reading > ISMA Centre for Education & Research in Securities > Markets > GAURAV S. AMIN > University of Reading > ISMA Centre for Education & Research in Securities > Markets > > >S S R N I N F O R M A T I O N >_________________________________________________________________ > > * Administrative Information > - Missing issues & change of address > - Solicitation of abstracts > * Directors > * Advisory Board > * Subscription to SSRN Journals >_________________________________________________________________ > >ACQUIRING PAPERS > Download papers directly from the included web address or contact > the author or other contact person directly. Provide an address > to which the author or other contact person can send a paper > copy and mention that you saw the abstract in SSRN. Some of > SSRN's Partners in Publishing require a subscription or charge a > fee for electronic downloads. > > > >EDITORIAL POLICIES > To provide the broadest coverage of research in Derivatives we > do not referee working papers. We accept abstracts of working > papers in Derivatives whose topics suit the coverage of the > journal and which are part of the worldwide scholarly discourse. > >W O R K I N G P A P E R A B S T R A C T S >_________________________________________________________________ > >"Pricing Electricity Forwards Under Stochastic Volatility" > > BY: B. PHILIPP KELLERHALS > Universitaet Tuebingen > Dept. of Finance > >Document: Available from the SSRN Electronic Paper Collection: > http://papers.ssrn.com/paper.taf?abstract_id=274788 > > Date: May 2001 > > Contact: B. PHILIPP KELLERHALS > Email: Mailto:philipp.kellerhals@uni-tuebingen.de > Postal: Universitaet Tuebingen > Dept. of Finance > Mohlstrasse 36 > D-72074 Tuebingen, GERMANY > Phone: +49-7071-2977088 > Fax: +49-7071-550622 > >ABSTRACT: > Based on the peculiarities of electricity as underlying > commodity of forward contracts we develop a time-continuous > pricing model for short-term electricity forwards. The suggested > stochastic volatility model utilizes the non-tradeable spot > price of electricity and its variance rate as state variables. > This enables us to capture the non-linearities, and the high and > time varying volatility seen in electricity prices. Using > maximum likelihood estimation based on Kalman filtering we > report empirical results on electricity data from the > Californian market. > > Keywords: Electricity forwards, stochastic volatility, > time-continuous model, equilibrium pricing, Kalman filtering. > > >JEL Classification: G13 >______________________________ > >"Interdealer Trading in Futures Markets" > > BY: PETER R. LOCKE > George Washington University > Department of Finance > PATTARAKE SARAJOTI > George Washington University > Department of Finance > >Document: Available from the SSRN Electronic Paper Collection: > http://papers.ssrn.com/paper.taf?abstract_id=265932 > > Date: April 2001 > > Contact: PETER R. LOCKE > Email: Mailto:plocke@gwu.edu > Postal: George Washington University > Department of Finance > 2023 G Street > Washington, DC 20052 USA > Phone: 202-994-3669 > Co-Auth: PATTARAKE SARAJOTI > Email: Mailto:sarajoti@gwu.edu > Postal: George Washington University > Department of Finance > 2023 G Street > Washington, DC 20052 USA > >ABSTRACT: > This paper examines the relationship of futures floor trader > proprietary positions to their market making activities. In > particular, we examine interdealer trading, its function as an > inventory management tool, and its costs. In addition, we > develop the concept of a dealer hierarchy, where some floor > traders, who are more successful, profit from their trades with > other dealers. On average, we find that dealers earn relative > profits when they execute position reducing trades. However, a > surprising finding is that more successful traders are more > likely to use interdealer trading in position reducing trades, > which we find to be consistent with the existence of a dealer > hierarchy. The research builds on the empirical work of Manaster > and Mann's 1996 article on futures floor trader inventory > control, and Reiss and Werner's 1998 article on interdealer > trading. The synthesis of these two lines of research benefits > from the elaborate futures data, and the highly competitive > nature of dealer trading on the floor. > > Keywords: Microstructure > > >JEL Classification: G10, G20 >______________________________ > >"Quadratic Volatility Smiles" > > BY: HAIM REISMAN > Technion-Israel Institute of Technology > Faculty of Management > >Document: Available from the SSRN Electronic Paper Collection: > http://papers.ssrn.com/paper.taf?abstract_id=275135 > > Date: May 2001 > > Contact: HAIM REISMAN > Email: Mailto:reisman@ie.technion.ac.il > Postal: Technion-Israel Institute of Technology > Faculty of Management > Haifa 32000, ISRAEL > Phone: 972 4 8294442 > Fax: 972 4 8245194 > >ABSTRACT: > The paper assumes that the implied volatility of options with > some given expiration is a quadratic function of the moneyness. > The coefficients of this quadratic function (the smile) are time > dependent and stochastic. The paper derives exposure parameters > of the price of the option to the local change in each of the > smile coefficients, and an approximate formula for their risk > adjusted expected value. These are important in managing the > exposure of the price of an option portfolio to changes in the > smile coefficients. > >______________________________ > >"An Application of Malliavin Calculus to Continuous Time Asian > Options Greeks" > > BY: ERIC BENHAMOU > Goldman Sachs International > London School of Economics & Political Science > (LSE) > Financial Markets Group > >Document: Available from the SSRN Electronic Paper Collection: > http://papers.ssrn.com/paper.taf?abstract_id=265284 > >Paper ID: LSE Working Paper > Date: May 2000 > > Contact: ERIC BENHAMOU > Email: Mailto:eric.benhamou@gs.com > Postal: Goldman Sachs International > SWAP Strategy > Peterborough Court > 133 Fleet Street > London EC4A2BB, UK > Phone: 0207 552 2947 > >ABSTRACT: > Traditional methods for the computation of the Greeks with Monte > Carlo simulations converge very slowly for strongly > discontinuous payoff options. As a solution, Fournie et al. > (1999) and Benhamou (2000) suggested the use of Malliavin > weighted scheme especially for options depending on a finite set > of dates. This paper extends their works to continuous time > Asian options. We illustrate results for the case of the Black > diffusion. > > >JEL Classification: G12, G13 >______________________________ > >"Delta-Hedged Gains and the Negative Market Volatility Risk > Premium" > > BY: GURDIP BAKSHI > University of Maryland > Robert H. Smith School of Business > NIKUNJ KAPADIA > University of Massachusetts at Amherst > Department of Finance > >Document: Available from the SSRN Electronic Paper Collection: > http://papers.ssrn.com/paper.taf?abstract_id=267106 > >Paper ID: AFA 2001 New Orleans Meetings > Date: April 9, 2001 > > Contact: NIKUNJ KAPADIA > Email: Mailto:nkapadia@som.umass.edu > Postal: University of Massachusetts at Amherst > Department of Finance > Amherst, MA 01003 USA > Phone: 413-545-5643 > Fax: 413-545-5600 > Co-Auth: GURDIP BAKSHI > Email: Mailto:gbakshi@rhsmith.umd.edu > Postal: University of Maryland > Robert H. Smith School of Business > Department of Finance > College Park, MD 20742-1815 USA > >ABSTRACT: > We investigate whether the volatility risk premium is negative > by examining the statistical properties of delta-hedged option > portfolios (buy the option and hedge with stock). Within a > stochastic volatility framework, we demonstrate a correspondence > between the sign and magnitude of the volatility risk premium > and the mean delta-hedged portfolio returns. Using a sample of > S&P 500 index options, we provide empirical tests that have the > following general results. First, the delta-hedged strategy > underperforms zero. Second, the documented underperformance is > less for options away from the money. Third, the > underperformance is greater at times of higher volatility. > Fourth, the volatility risk premium significantly affects > delta-hedged gains even after accounting for jump-fears. Our > evidence is supportive of a negative market volatility risk > premium. > >______________________________ > >"Hedge Fund Performance 1990-2000: Do the Money Machines Really > Add Value?" > > BY: HARRY M. KAT > University of Reading > ISMA Centre for Education & Research in Securities > Markets > GAURAV S. AMIN > University of Reading > ISMA Centre for Education & Research in Securities > Markets > >Document: Available from the SSRN Electronic Paper Collection: > http://papers.ssrn.com/paper.taf?abstract_id=270074 > >Paper ID: EFMA 2001 Lugano Meetings > Date: May 15, 2001 > > Contact: HARRY M. KAT > Email: Mailto:harrykat@hkat.freeserve.co.uk > Postal: University of Reading > ISMA Centre for Education & Research in > Securities Markets > Whiteknights Park > PO Box 242 > Reading RG6 6BA, UK > Phone: +44-118-9316428 > Fax: +44-118-9314741 > Co-Auth: GAURAV S. AMIN > Email: Mailto:g.amin@ismacentre.rdg.ac.uk > Postal: University of Reading > ISMA Centre for Education & Research in > Securities Markets > Whiteknights Park > PO Box 242 > Reading RG6 6BA, UK > >ABSTRACT: > In this paper we investigate the claim that hedge funds offer > investors a superior risk-return trade-off. We do so using a > continuous time version of Dybvig's (1988a, 1988b) payoff > distribution pricing model. The evaluation model, which does not > require any assumptions with regard to the return distribution > of the funds in question, is applied to the monthly returns of > 77 hedge funds and 13 hedge fund indices over the period May > 1990-April 2000. The results show that as a stand-alone > investment hedge funds do not offer a superior risk-return > profile. We find 12 indices and 72 individual funds to be > inefficient, with the average efficiency loss amounting to 2.76% > per annum for indices and 6.42% for individual funds. Part of > the inefficiency cost of individual funds can be diversified > away. Funds of funds, however, are not the preferred vehicle for > this as their performance appears to suffer badly from their > double fee structure. Looking at hedge funds in a portfolio > context results in a marked improvement in the evaluation > outcomes. Seven of the 12 hedge fund indices and 58 of the 72 > individual funds classified as inefficient on a stand-alone > basis are capable of producing an efficient payoff profile when > mixed with the S&P 500. The best results are obtained when > 10-20% of the portfolio value is invested in hedge funds > > >JEL Classification: G1, G2 > > >P A R T N E R S in P U B L I S H I N G >_________________________________________________________________ >Editor and Subscription Information for Journals Carrying >Accepted or Recently Published Papers Abstracted in this Issue > >Please mention SSRN when subscribing to these journals. > > >AFA 2001 NEW ORLEANS MEETINGS > Editor: George M. 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