Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager...

We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the hedged portfolio and the probability of liquidationsdue...

A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes motivates our study of their benefits to equity investors seeking to diversify their exposure. We analyze when diversification into VIX futures is ex-ante optimal for...