John,

Thanks for you messages and for a polo shirt I got from the MBA program in Dallas
on Monday.

I am doing fine -  busy as usual. In case you missed it, and interesting article from the WSJ.

Vince

 

 -----Original Message-----
From: 	"John D. Martin" <J_Martin@baylor.edu>@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

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>Subject:      FEN Derivatives WPS Vol. 8, No. 19, 08/23/2001
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>            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
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>T A B L E   of   C O N T E N T S
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>
>"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
>
>
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>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
>
>
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>                         Copyright 2001
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John D. Martin
Carr P. Collins Chair in Finance
Finance Department
Baylor University
PO Box 98004
Waco, TX 76798
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J_Martin@Baylor.edu
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