Enhanced-index-funds have attracted considerable attention from investors over the last decade, which aims at outperforming a benchmark index while maintaining a similar risk level. In this paper, we investigate an enhanced indexation methodology using Conditional Value-at-Risk (CVaR). In...

Under the assumption of no arbitrage opportunity, the price of stock index futures should be equal to the spot price of the underlying stock index, excluding capital costs, dividends, and trading costs. However, since stock index futures have been introduced to the Chinese market in 2010, their...

We study sensitivity analysis of portfolio credit derivatives, including basket default swaps and collateralized debt obligations. An unbiased estimator is derived using conditional Monte Carlo for sensitivities with respect to systemic parameters (parameters that influence some or all the...