Die Dissertation umfasst drei Artikel aus den Bereichen Asset Liability Management und Asset Management. Im ersten Artikel entwerfen wir einen Liability Benchmark, welcher zur Beurteilung der Anlage von Pensionskassen dient. Die relative Rendite der Strategischen Asset Allokation (SAA) im...

The risk-neutral distribution of returns, implied by S&P 500 option prices, has been a popular topic of research for many years. Because of its forward-looking nature, it gives valuable insights into the expectation and risk attitude of investors. The moments of this distribution condense...

Supposed portfolio benefits of commodities and the increased availability of commodity linked investment products such as index funds contribute to a financialization of agricultural commodity markets. The parallel increase in price levels and short-term volatility for almost all major...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

For quite some time long-only index funds have been suspected of being responsible for price increases in agricultural futures markets. This suspicion has prompted demands to drastically limit long-only index funds' scope of activity. Such demands and their underlying diagnoses, however,...

For a considerable time, long-only index funds have been suspected of being responsible for price increases on agricultural futures markets, particularly those for grain. Utilizing partial equilibrium concepts, we analyze the market impacts of long-only index funds. Our analysis reveals that...

The paper considers theoretic reasoning of necessity and technological implementation of self-regulated monetary system based on commodity backed money. Transformational approach to conversion of the current monetary system model using modern exchange infrastructure and technologies in the USA...

Introduction -- Regulations and taxations of leveraged etfs -- Mechanics of leveraged exchange-traded funds -- Return dynamics and compounding effects -- Pricing efficiency -- Performance and tracking errors of LETF -- Trading strategies -- Options on LETFs

Machine generated contents note: -- 1. The Current Landscape -- 2. Structure and Mechanics -- 3. Price Dynamics and Arbitrage -- 4. Valuation -- 5. Performance and Benchmark Tracking -- 6. Liquidity and Transaction Costs -- 7. Uses of ETFs -- 8. Fixed Income -- 9. Commodities -- 10. Foreign...

Preface -- Introduction -- Trading under the Ornstein-Uhlenbeck model -- Trading under the exponential OU model -- Trading under the CIR model -- Futures trading under mean reversion -- Optimal liquidation of options -- Trading credit derivatives -- Bibliography -- Index

The ETF phenomenon. Why are ETFs so popular? -- ETF growth -- ETF mechanics -- Institutional usages -- ETF due diligence -- The ETF toolbox. U.S. stock ETFs -- Smart beta -- International/global ETFs -- Fixed income -- Alternatives -- Leveraged, inverse, and VIX -- Actively manged ETFs --...

In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic volatility) model - which allows to account for time-varying risk aversion. Thereby, we are able to capture the empirical properties of pricing kernels, such as time-variation and the typical S-shape,...

Financialization of the Commodity Markets (R. Carmona) -- Understanding the Tracking Errors of Commodity Leveraged ETFs (K. Guo, T. Leung) -- Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises? (D. Lautier, J. Ling, F. Raynaud) -- Margrabe Revisited (H. Tuenter) --...

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...