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11	台灣選舉事件與台指選擇權的資訊效率李明珏, Li, Ming-Chueh Unknown Date (has links) 台灣特殊的兩黨對立政治環境及幾乎每年都會有的固定選舉，使得政治的不確定性深深的影響著國內的投資環境及投資人心態。本研究便是要探討，2002/1/1~2006/1/16 研究期間台灣的投資人在選舉前後的投資行為，是否真如大家所預期的，會受到台灣選舉事件的影響。本研究首先利用適當的機率密度函數模型及選擇權市場資訊來導出隱含的風險中立密度值。再利用這些風險中立密度值，求出各個選舉事件相對應的機率分配圖形，並透過其機率分配圖形及波動率指數等統計值於投票日前後的變化來觀察某一選舉事件前後投資者的反應。研究結果發現：1. 選舉事件的發生確實會影響投資者的心理，且投資者會透過選擇權市場有效率的反應預期的未來股價指數分佈情況。2. 越大型、越具爭議且全國性的選舉結果，其選舉期間機率分配圖形及波動率指數具有較高的波動性。3. 一般而言，選舉過後市場不確定因素降低，將使投資者對於股市的預期較為一致和樂觀。而若這個選舉結果使投資者感到意外，因而增加了市場的不確定性，則選後機率分配圖形及波動率指數的改變反而會更為明顯。4. 在此研究下對數常態混合法比傳統的 Black-Scholes 方法產生較低的誤差值，因此就實證的分析上能提供更好的配適。 / This research examines the behavior of investors during election periods from January 1st 2002 to January 6th 2006 in Taiwan. The research includes a few steps. First, we adopted a proper probability density function composed of stock index options data to construct the implied distribution. Then, when changing the whole shape of the risk-neutral implied distribution, the volatility indexes, and the statistics of the implied distribution, we observed investors' response around a specific election event. According to the empirical results, we found that: 1. An election event would influence investors’ behavior, and investors tend to reflect their expectation of future stock index in the option market in an efficient way. 2. The result of a large-scale and more disputed nationwide election will cause a higher fluctuation in both the implied distribution and the volatility index. 3. In general, the factor resulting from investors’ uncertainty of the market is likely to reduce after the election, which makes investors’ relatively unanimous and optimistic expectation of the stock market. However, if this election result surprises investors, their uncertainty of the market will increase, and thus the changes of the implied distribution and the volatility index become quite obvious. 4. The in-sample performance of the lognormal mixtures method employed in the research is considerably better than that of the traditional Black-Scholes model by having a lower root mean squared error. 選舉事件指數選擇權機率密度函數風險中立密度機率分配波動率指數對數常態混合法 Election Event Index Options Probability Density Function Risk Neutral Density Implied Distribution Volatility Index Lognormal Mixtures
12	Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes / Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations Hamdi, Haykel 04 March 2011 (has links) L'approche traditionnelle des produits dérivés consiste, sous certaines hypothèses bien définies, à construire des stratégies de couverture à risque strictement nul. Cependant,dans le cas général ces stratégies de couverture "parfaites" n'existent pas,et la théorie doit plutôt s'appuyer sur une idée de minimisation du risque. Dans ce cas, la couverture optimale dépend de la quantité du risque à minimiser. Dans lecadre des options, on considère dans ce travail une nouvelle mesure du risque vial'approche de l'utilité espérée qui tient compte, à la fois, du moment d'ordre quatre,qui est plus sensible aux grandes fluctuations que la variance, et de l'aversion aurisque de l'émetteur d'une option vis-à-vis au risque. Comparée à la couverture endelta, à l'optimisation de la variance et l'optimisation du moment d'ordre quatre,la stratégie de couverture, via l'approche de l'utilité espérée, permet de diminuer lasensibilité de la couverture par rapport au cours du sous-jacent. Ceci est de natureà réduire les coûts des transactions associées / The traditional approach of derivatives involves, under certain clearly defined hypothesis, to construct hedging strategies for strictly zero risk. However, in the general case these perfect hedging strategies do not exist, and the theory must be rather based on the idea of risk minimization. In this case, the optimal hedging strategy depends on the amount of risk to be minimized. Under the options approach, we consider here a new measure of risk via the expected utility approach that takes into account both, the moment of order four, which is more sensitive to fluctuations than large variance, and risk aversion of the investor of an option towards risk. Compared to delta hedging, optimization of the variance and maximizing the moment of order four, the hedging strategy, via the expected utilitiy approach, reduces the sensitivy of the hedging approach reported in the underlying asset price. This is likely to reduce the associated transaction costs. Aversion au risque Densité neutre au risque Densité subjective Fonctions d'utilité Evaluation des options Options sur l'indice CAC40 Stratégie de couverture optimale Smile de volatilité VaR CVaR EVT Risque extrême Evaluation du risque de marché Fluctuations non gaussiennes Risk aversion Risk neutral density Subjective density Utility functions Options pricing CAC 40 index options Optimal hedging strategy Volatility smile VaR CVar EVT Extreme risk Density functionals Risk assessment Mathematical optimization Hedging (finance) Options (finance)

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台灣選舉事件與台指選擇權的資訊效率

Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes / Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations