R. Popovic and D. Goldsman, “An Examination of Forward Volatility,” (Paper presented at the Winter Simulation Conference, 8 December 2004).

Abstract: This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities. As a general proposition we are interested in discovering possible features and rules-of-thumb for the applicability of p.c. techniques. In particular, what accuracy does one lose in valuation-hedging schemes as the dimensionality of the p.c. … Read More »

P. Santa-Clara and A. Saretto, “Option Strategies: Good Deals and Margin Calls,” (Working paper, UCLA, November 2004).

Abstract: We investigate the risk and return of a wide variety of trading strategies involving options on the S&P 500. We consider naked and covered positions, straddles,strangles, and calendar spreads, with different maturities and levels of money ness.Overall, we find that strategies involving short positions in options generally compensate the investor with very high Sharpe ratios, which are statistically significant … Read More »

R. Sen, “Modeling the Stock Price Process as a Continuous Time Jump Process,” (PhD diss., University of Chicago, June 2004).

Abstract: An important aspect of the stock price process, which has of ten been ignored in the nancial literature, is that prices on organized exchanges are restricted to a grid. We consider continuous-time models for the stock price process with random waiting times of jumps and discrete jump size. We consider a class of jump processes that are close “to … Read More »

R. Tarantino, “Arbitrage and Implied Price Relationships among the S&P500 Cash Index, SPDRs, and Futures,” (Honors thesis, New York University, May 2004).

Abstract: This paper examines the spot-futures pricing and arbitrage relationships by using both the SPDR and the S&P 500 cash index as the “underlying cash asset.” Conceptually the S&P 500 futures should track the basket of stocks in the index, based on their weights in the index. However, using such a portfolio is expensive. Using the SPDR as the cash … Read More »