Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 
2.8
Journals
JRFM
Special Issues
Structured Financial Products and Derivatives
share announcement

Structured Financial Products and Derivatives

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (30 November 2021) | Viewed by 8338

Special Issue Editor

Prof. Dr. Marc Oliver Rieger

E-Mail Website
Guest Editor
Department IV, University of Trier, Universitätsring 15, 54296 Trier, Germany
Interests: structured financial products; cultural finance; behavioral decision theory; behavioral finance

Special Issue Information

Dear Colleagues,

We invite you to submit papers for an upcoming Special Issue of the Journal of Risk and Financial Management entitled "Structured Financial Products and Derivatives". Structured products have established themselves as a standard tool for investment, hedging and speculation in many countries. They are a highly innovative area which provides constant new challenges and questions for academic research. We welcome high-quality submissions on structured products and derivatives and on related areas in finance. Topics include, but are not limited to: pricing and hedging of structured products and derivatives, their role in portfolio management, behavioral analysis of their attractiveness, comparisons of international markets, etc.

The call for papers is now open, and a deadline will be announced in the near future.

Prof. Dr. Marc Oliver Rieger
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (3 papers)

Download All Papers
Order results
Result details
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:

Research

20 pages, 567 KiB  
Article
Time-Discrete Hedging of Down-and-Out Puts with Overnight Trading Gaps
by Rainer Baule and Philip Rosenthal
J. Risk Financial Manag. 2022, 15(1), 29; https://doi.org/10.3390/jrfm15010029 - 11 Jan 2022
Cited by 1 | Viewed by 2279
Abstract
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underlying is already close to the [...] Read more.
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underlying is already close to the barrier and the hedge portfolio can only be adjusted in discrete time intervals. In this paper, we analyze this hedging situation, especially the case of overnight trading gaps. We show how a position in a short-term vanilla call option can be used for efficient hedging. Using a mean-variance hedging approach, we calculate optimal hedge ratios for both the underlying and call options as hedge instruments. We derive semi-analytical formulas for optimal hedge ratios in a Black–Scholes setting for continuous trading (as a benchmark) and in the case of trading gaps. For more complex models, we show in a numerical study that the semi-analytical formulas can be used as a sufficient approximation, even when stochastic volatility and jumps are present. Full article
(This article belongs to the Special Issue Structured Financial Products and Derivatives)
►▼ Show Figures

Figure 1

8 pages, 487 KiB  
Article
The Slow Death of Capital Protection
by Christian Bauer and Marc Oliver Rieger
J. Risk Financial Manag. 2021, 14(7), 303; https://doi.org/10.3390/jrfm14070303 - 3 Jul 2021
Viewed by 1800
Abstract
Capital protected products are a special type of structured retail products that guarantee a minimum amount of payment at maturity. They were the earliest type of structured products and are very popular with risk averse investors, but nevertheless have become rare in the [...] Read more.
Capital protected products are a special type of structured retail products that guarantee a minimum amount of payment at maturity. They were the earliest type of structured products and are very popular with risk averse investors, but nevertheless have become rare in the past years. Using a unique dataset of all structured products issued in Switzerland, one of the biggest markets for such products in the world, we investigate why this has been the case, and argue that it is to a large degree an effect of the zero-interest policy of central banks. Full article
(This article belongs to the Special Issue Structured Financial Products and Derivatives)
►▼ Show Figures

Figure 1

27 pages, 2951 KiB  
Article
Quanto Pricing beyond Black–Scholes
by Holger Fink and Stefan Mittnik
J. Risk Financial Manag. 2021, 14(3), 136; https://doi.org/10.3390/jrfm14030136 - 23 Mar 2021
Viewed by 3452
Abstract
Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models [...] Read more.
Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so far, due to the lack of comprehensive data records of exchange-traded quanto transactions. To overcome this, we make use of exchange-traded structured products. After deriving prices for composite options in the existing modeling framework, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of fit for plain vanilla and exotic double-barrier options. Full article
(This article belongs to the Special Issue Structured Financial Products and Derivatives)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying articles 1-3
Back to TopTop