英文标题：
《High moment variations and their application》
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作者：
Geon Ho Choe and Kyungsub Lee
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最新提交年份：
2013
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英文摘要：
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual moments of the return distribution. An investor holding an asset with skewed or fat-tailed distribution is able to hedge the tail risk by contracting the third or fourth moment swap under which the float leg of realized variation and the predetermined fixed leg are exchanged. Thus constructed portfolio follows more Gaussian-like distribution and hence the investor effectively hedge the tail risk.
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中文摘要：
提出了一种基于二次变分法的收益率分布三阶矩和四阶矩的测量方法。从高频回波序列计算出的实际三阶和四阶矩变化与回波分布的相应实际矩非常接近。持有具有倾斜或厚尾分布的资产的投资者能够通过签订第三或第四时刻互换来对冲尾部风险，在该互换下，已实现变动的浮动部分和预定的固定部分被交换。这样构造的投资组合遵循更高斯的分布，因此投资者有效地对冲尾部风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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