Template-type: ReDIF-Paper 1.0
Author-Name: Shawkat Hammoudeh
Author-Email: Shawkat.M.Hammoudeh@drexel.edu
Author-Person: pha672 
Author-Workplace-Name: Department of Economics Drexel University
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University
Title: Risk Management and Financial Derivatives: An Overview
Abstract: Risk management is crucial for optimal portfolio management. One of the fastest growing areas 
	in empirical finance is the expansion of financial derivatives. The purpose of this special issue 
	on “Risk Management and Financial Derivatives” is to highlight some areas in which novel econometric, 
	financial econometric and empirical finance methods have contributed significantly to the analysis 
	of risk management, with an emphasis on financial derivatives, specifically conditional correlations 
	and volatility spillovers between crude oil and stock index returns, pricing exotic options using 
	the Wang transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov 
	switching multifractal model: evidence from S&P100 index and equity options, the performance of 
	commodity trading advisors: a mean-variance-ratio test approach, forecasting volatility via stock 
	return, range, trading volume and spillover effects: the case of Brazil, estimating and simulating 
	Weibull models of risk or price durations: an application to ACD models, valuation of double trigger 
	catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious 
	representation, equity and CDS sector indices: dynamic models and risk hedging, the probability of 
	default in collateralized credit operations, risk premia in multi-national enterprises, solving 
	replication problems in a complete market by orthogonal series expansion, downside risk management 
	and VaR-based optimal portfolios for precious metals, oil and stocks, and implied Sharpe ratios of 
	portfolios with options: application to Nikkei futures and listed options.
Keywords: Risk management, Optimal portfolios, Financial derivatives, Financial econometrics, 
	Options, Futures, Volatility, Spillovers, Hedging, Default, Risk premia, Complete markets.
Length: 15 pages 
Creation-Date: 2012-04 
Number: 2012-08 
X-File-Ref: https://www.ucm.es/fundamentos-analisis-economico2/jajmref/doicae1208.txt
File-URL: https://eprints.ucm.es/id/eprint/15011/1/1208.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1208