In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern
economic theories of finance affected financial markets in fundamental ways. These new …

Using Bessel processes, one can solve several open problems involving the integral of an
exponential of Brownian motion. This point will be illustrated with three examples. The first …

This article distinguishes two meanings of the performativity of economics, a thesis
advanced by Michel Callon:'generic'performativity, according to which markets and other …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Recent work by Mackinlay and Ramaswamy (1987), Merrick (1987 (a), 1987 (b)), Modest
and Sudereshan (1983), Cornell and French (1983), Figlewski (1984 (a), 1984 (b)), and …

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many
topics of modern investment analysis. It provides a balanced presentation of theories …

This paper simulates the performance of synthetic put portfolio insurance and Constant
Proportion Portfolio Insurance (CPPI) using Australian data for the period from 1992 to 2000 …

The study examines the relative ability of various models to forecast daily stock index futures
volatility. The forecasting models that are employed range from naïve models to the …

In this paper we investigate the relative performance of two approaches to dynamic portfolio
insurance: the synthetic put and the Constant Proportion Portfolio Insurance (CPPI). The …

This paper examines the mispricing of Australian stock index futures. Exogenous and
endogenous price volatility is confirmed to have a positive impact on the mispricing spread …