Optimal positioning in derivative securities

By Peter P. Carr, Dilip B Madan 5. 2001

363 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/830289fc94348ed5c5b00152b662d06176acbf2c

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Citations in the corpus

Asset allocation and derivatives (2001, background): “Carr and Madan (2000) consider a single-period model where agents are permitted to trade the stock, bond and European options with a continuum of strikes.”
Jump and volatility risk premiums implied by VIX (2010, methodology): “The CBOE VIX index is based on approximating the righthand side of equation (8) using the available out-of-the-money S&P 500 index options.”
Correlation in Energy Markets (2017, methodology): “Using the solution in Id Brik and Roncoroni (2016a) combined with the representation result proposed by Carr and Madan (2001), energy quanto contracts arise naturally as a part of the customized hedge.”
MAXIMUM DRAWDOWN INSURANCE (2011, result): “It was further studied in Bowie and Carr [2], Carr and Chou [5], Carr and Madan [6], Carr et al. [7], Derman et al. [11], and Sbuelz [23].”
Crash-Neutral Currency Carry Trades (2014, neutral): “σ̃t(K, τ) ≈ ln K2 K · ln K3 K ln K2 K1 · ln K3 K1 · σt(K1, τ) + ln K K1 · ln K3 K ln K2 K1 · ln K3 K2 · σt(K2, τ) + ln K K1 · ln K K2 ln K3 K1 · ln K3 K2 · σt(K3, τ) (19)”
Hedging quantity risks with standard power options in a competitive wholesale electricity market (2006, background): “In [4], Carr and Madan showed that any twice continuously differentiable function x(p) can be written in the following form:”
Risk and Return Spillovers Among the G10 Currencies (2016, neutral): “Our use of risk-neutral moments accords with recent developments in the literature, which stress their benefits over realised risk measures in terms of their forwardlooking nature and their model-free computation (Bakshi and Madan, 2000; Carr and Madan, 2001; Bakshi et al., 2003).”
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001, neutral): “…their Theorem 1 is that the entire collection of twice-continuously dierentiable payo functions, H[S] 2 C 2 , can be spanned algebraically (see also Carr and Madan (2001)), as in: H[S] = H[ S] + ( S S ) H S [ S ] + Z 1 S H SS [K](S K) + dK + Z S 0 H SS [K](K S) + dK (2) where H S [ S] ( H SS [K])…”
Spanning and Derivative-Security Valuation (2000, neutral): “From Theorem 1 of Carr and Madan (1997), the following spanning representation holds for H(X)3C2 (the space of twice continuously di!erentiable functions):”
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “To simplify the problem and to gain a clear picture of their separate effects, the academic literature either assumes constant volatility and focuses on how to choose options at different strikes to span the random jump risk in the stock price (Carr and Madan (2001), Carr and Wu (2002)), or assumes ”