英文标题：
《Performance of tail hedged portfolio with third moment variation swap》
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作者：
Kyungsub Lee and Byoung Ki Seo
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最新提交年份：
2019
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英文摘要：
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment variation swap under which a predetermined fixed leg and the floating leg of the realized third moment variation are exchanged. The probability density function of the hedged portfolio with the third moment variation swap was examined using a partial differential equation approach. An alternating direction implicit method was used for numerical analysis of the partial differential equation. Under the stochastic volatility and jump diffusion stochastic volatility models, the distributions of the hedged portfolio return are symmetric and have more Gaussian-like thin-tails.
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中文摘要：
金融资产收益过程的三阶矩变化由收益和平方收益过程之间的二次协变量定义。标的资产的倾斜和厚尾风险可以使用第三时刻变动掉期进行对冲，在该掉期中，预先确定的固定支腿和已实现的第三时刻变动的浮动支腿进行交换。利用偏微分方程方法研究了三阶矩变动掉期套期组合的概率密度函数。采用交替方向隐式方法对偏微分方程进行数值分析。在随机波动率和跳扩散随机波动率模型下，套期保值投资组合收益率的分布是对称的，并且具有更多的高斯细尾。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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