Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
CLICK HERE TO VIEW THE PDF
Per Hörfelt shows that the price of a fund-linked derivative depends on the autocorrelation between the returns of the fund and the length of the fixing lag, since the exact delta is not known until the value of the fund is reported
The mathematical modelling of the price process of a listed fund is similar, but not identical, to that of an equity. One difference between a listed fund and an equity is that the spot value may not be known for a fund. Fund managers are
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Investments
Getting more for less: better A / B testing via causal regularisation
A causal machine learning algorithm is used to estimate trades’ price impact
Fat tails and optimal LDI portfolios
A portfolio optimisation technique for pension funds and insurance portfolios is presented
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Asset allocation with inverse reinforcement learning
Using reinforcement learning to help replicate asset managers' allocation strategy
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
