Given at the CBOE Risk Management Conference, March 2005Capital Structure Arbitrage
Given at the CBOE on March 25, 2004VIX Presentation
On selling index options and buying component options.Volatility Dispersion Presentation
Many financial institutions are profoundly interested in modeling the credit risk of various counter-parties. Traditional models rely on the stock price and stock volatility combined with knowledge of the company's financial structure. In this paper, we show that using just two option implied volatility numbers even without knowledge of the company's financial structure gives better results.
Thus the paper connects two seemingly disjoint markets: the equity options market and the credit derivatives market.Capital Structure Arbitrage
Analysis of hedge funds on a historical basis is often misleading. Past returns look very high and the risks very small. There are risks in these funds that historical analysis can not account for. Many funds impose a "lock up". The investor can not withdraw capital from the fund for a pre-specified time (perhaps a year). There is a "liquidity premium" that must be accounted for. In this paper, we show how to calculate the liquidity premium.
Has been published in Risk Magazine , April 2003Hedge Fund Presentation
- Izzy was the first speaker at Cryptocon 2018FinTank Presenation