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...

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....

The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility...

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies...

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

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 --...

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