series: ERIM PhD Series;EPS-2003-023-F&A
Dealing with Derivatives. Studies on the role, informational content and pricing of financial derivatives
(Over derivaten: Studies naar de rol, informatieve waarde en waardering van financiële)
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Cyriel de Jong was born on 19 July 1976 in Valkenburg aan de Geul, the Netherlands. From 1994 till 1999 he studied econometrics at Maastricht University. During this time he spent half a year as an exchange student at the Universität Wien in Vienna. He furthermore completed an internship on mortgage prepayment modelling at De Nationale Investeringsbank in The Hague and a research project on European Corporate Bonds at Maastricht University. He obtained his MSc in econometrics in 1999 with honour. From February 1999 onwards Cyriel de Jong has been a PhD student at the Financial Management department of the Rotterdam School of Management at Erasmus University. During this period he has taught several executive and nonexecutive courses. From 2001 till 2003 he furthermore worked for the consultancy firm FinEdge, where he was responsible for the subsidiary Energy Global. His research was published in Energy Power Risk Management, Bedrijfskunde and various Dutch journals. Since 1 May 2003 he has been assistant professor at the Financial Management department at Erasmus University, where his research interests focus on commodity markets in general and derivative valuation in particular. Besides his academic career he continues working part-time as a consultant in financial and commodity markets.
The aim of this thesis is to improve the understanding of derivatives markets, which should ultimately lead to a better diversification of risks among market participants. The author first analyzes the impact of derivatives on the market quality of the underlying asset. With experiments and a theoretical model it is shown that derivatives generally make markets more efficient, although volatility may increase, depending on the exact market structure. Next, the author presents two methods that derive information about the underlying price process from traded options. The models approximate the option prices well and the extracted information explains future volatility better than historical data. Finally, a model for the valuation of options in electricity markets is presented that deals with the special characteristics of electricity spot prices and may serve to value electricity generation plants.
Erasmus University Rotterdam, Rotterdam School of Management. Promotor(es): Prof.dr. C.G. Koedijk. Other members: Prof.dr. C.G. de Vries, Prof.dr. P.H.B.F. Franses, Prof.dr. F.C. Palm.
- Financial Derivatives
- Implied GARCH volatility forecasting
- Insider strategies
- Pricing the spikes in power options
- empirical studies
- implied distribution model
- Experimental research