Vortrag von Prof. Carol Alexander

Abstract:

Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger (2012) for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-offs based on martingale and log-martingale processes alone form a vector space. Interestingly, these DI swaps are aggregating according to both Neuberger's definition and the aggregation property introduced by Bondarenko (2014). 

There exists an infinite variety of variance and higher-moment risk premia that are less prone to bias than standard variance swaps, because their option replication portfolios have no discrete-monitoring or jump errors. Their fair values are also independent of the monitoring partition. A sub-class consists of pay-offs with fair values that are further free from numerical integration errors over option strikes. Here exact pricing and hedging is possible via dynamic trading strategies on a few vanilla puts and calls. 

An empirical study on the determinants of higher-moment risk premia in the S&P 500 index concludes.

---

About Carol Alexander: 

Carol Alexander is a Professor of Finance at the University of Sussex and Managing Editor of the Journal of Banking and Finance, with Geert Bekaert. She holds degrees from the University of Sussex (BSc First Class, Mathematics with Experimental Psychology; PhD Algebraic Number Theory) and the London School of Economics (MSc Econometrics and Mathematical Economics). She has an Honorary Professorship at the Academy of Economic Studies in Bucharest, Romania.

From 1985 – 1998 Carol was lecturer in Mathematics and Economics at the University of Sussex. From 1999 – 2012 she was Chair of Risk Management at the ICMA Centre in the Henley Business School at Reading. From 2010 – 2012 Carol was Chair of the Board of PRMIA (Professional Risk Manager’s International Association). From 1995 – 2004 she worked half-time as an academic and half-time in the finance industry.

Carol has held the following positions in financial institutions: Fixed Income Trader at UBS/Phillips and Drew (UK); Academic Director of Algorithmics (Canada); Director of Nikko Global Holdings and Head of Market Risk Modeling (UK); Risk Research Advisor, SAS (USA). She also acts as an expert witness and consultant in financial modeling.

She publishes widely on a broad range of topics, including: volatility theory; option pricing and hedging; trading volatility; hedging with futures; alternative investments; random orthogonal matrix simulation; game theory and real options. She has written and edited numerous books in mathematics and finance and published extensively in top-ranked international journals. Her four-volume textbook on Market Risk Analysis (Wileys, 2008) is the definitive guide to the subject.