Journal of Derivatives and Quantitative Studies: 선물연구: Volume 22 Issue 3 , Open Access

Analysis of ELW Investor‘s Trading Pattern and P/L Reationship

Youngsoo Choi, Eunji Kwon

Conventional study on the trading pattern of investors is either done in the viewpoint of the identity of investors or analyzed on the base of investor's type, which is…

A Study on the ELW Market by Investor Types: Focused on DMA System

Youngmin Choi

This paper focuses on the controversy about DMA (direct market access) system that facilitates ELW (equity linked warrants) transaction. We analyze trading profit/loss and such…

Structured Products Markets and Implied Volatility Distortion

Sun-Joong Yoon

This study verifies the existence of implied volatility distortion by the rapid growth of structured products such as Equity Linked Securities (ELS) in Korean financial markets…

Ad Hoc Black and Scholes Procedures with the Time-to-Maturity

Sol Kim

There are two ad hoc approaches to Black and Scholes model. The “relative smile” approach treats the implied volatility skew as a fixed function of moneyness, whereas the…

Does CDS Premium Most Predict Sovereign Default Risk?

Ki Beom Binh, Seokjin Woo, Sang Min Lee

This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar…

Private Equity Fund Performance and Persistency by Fund Type

IK Song, Ji Eun Kang, Chang Hyun Yun

This study investigates the private equity funds’ performances and persistence by fund type. Diversification benefit exists between public equity and private equity and among…

The Determinants of Corporate CDS Spreads: Do Equity Liquidity and Jump Matter?

Yuen Jung Park, Jungmu Kim

This paper investigates whether equity liquidity and stock return jump are important determinants for the Korean corporate CDS spreads. The previous studies mainly have examined…