Filter Results:
(57)
Show Results For
- All HBS Web (93)
- Faculty Publications (18)
Show Results For
- All HBS Web (93)
- Faculty Publications (18)
Page 1 of 57
Results →
Sort by
- January 2008
- Background Note
Index Options
By: Joshua Coval and Erik Stafford
The goal of this simulation is to understand the patterns in index option prices that are not predicted by the Black-Scholes model. In particular, the simulation focuses on two properties of options prices. First, at-the-money implied volatilities from index options... View Details
Keywords: Volatility; Stock Options; Investment; Price; Profit; Risk Management; Mathematical Methods
Coval, Joshua, and Erik Stafford. "Index Options." Harvard Business School Background Note 208-119, January 2008.
- June 2013 (Revised January 2014)
- Case
S&P Indices and the Indexing Business in 2012
By: Luis Viceira and Alison Berkley Wagonfeld
In June 2012, Standard & Poor's Indices is finalizing a deal with the CME Group, the largest global exchange for futures and options and majority owner of Dow Jones Indexes, to combine their respective indices business into a new joint venture called S&P Dow Jones... View Details
Keywords: Indexing; Business Model; Joint Ventures; Financial Markets; Standards; Financial Services Industry
Viceira, Luis, and Alison Berkley Wagonfeld. "S&P Indices and the Indexing Business in 2012." Harvard Business School Case 213-049, June 2013. (Revised January 2014.)
- 2001
- Working Paper
Designing an Option Plan That Rewards Relative Performance: Indexed Options Revisited
Meulbroek, Lisa K. "Designing an Option Plan That Rewards Relative Performance: Indexed Options Revisited." Harvard Business School Working Paper, No. 02-022, October 2001.
- December 1997 (Revised March 1998)
- Case
Mid Ocean Limited: Trading Catastrophe Index Options
By: Kenneth A. Froot and Markus Mullarkey
An insurance industry executive must evaluate the potential of a set of newly-offered catastrophe insurance derivatives. The background addresses the roles of traditional reinsurance and securitization efforts in providing risk transfer and risk financing in the "cat"... View Details
Keywords: Commodity Market; Derivatives; Insurance; Capital Markets; Natural Disasters; Risk Management; Financial Management; Financial Strategy; Performance Evaluation; Insurance Industry; Bermuda
Froot, Kenneth A., and Markus Mullarkey. "Mid Ocean Limited: Trading Catastrophe Index Options." Harvard Business School Case 298-073, December 1997. (Revised March 1998.)
- October 2004
- Article
Demand for Portfolio Insurance and Index Option Prices
By: Kaushik Amin, Joshua D. Coval and H. Nejat Seyhun
Amin, Kaushik, Joshua D. Coval, and H. Nejat Seyhun. "Demand for Portfolio Insurance and Index Option Prices." Journal of Business 77, no. 4 (October 2004).
- August 2000 (Revised July 2002)
- Case
Sara's Options
By: Peter Tufano, Brian J. Hall and Joshua Musher
This case describes the pay packages offered to Sara Becker, a graduating MBA student, including detailed information about two stock option packages (one of which is an indexed option package). She gathers the information and attempts to compare those compensation... View Details
Tufano, Peter, Brian J. Hall, and Joshua Musher. "Sara's Options." Harvard Business School Case 201-005, August 2000. (Revised July 2002.)
- 2001
- Working Paper
Executive Compensation Using Relative-Performance-Based Options: Evaluating the Structure and Costs of Indexed Options
Meulbroek, Lisa K. "Executive Compensation Using Relative-Performance-Based Options: Evaluating the Structure and Costs of Indexed Options." Harvard Business School Working Paper, No. 01-021, August 2001.
- 19 May 2003
- Research & Ideas
Expensing Options Won’t Hurt High Tech
companies might benefit from picking other forms of incentive compensation that arguably do a better job of aligning executive and shareholder interests than conventional stock options do. Indexed or... View Details
- Article
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing... View Details
Keywords: Hedge Funds; Required Returns; Downside Risk; Index Options; Investment Funds; Cost of Capital; Investment Return; Risk and Uncertainty; Financial Services Industry
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Journal of Finance 70, no. 5 (October 2015): 2185–2226.
- 2011
- Working Paper
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
This paper studies the cost of capital for alternative investments. We document that the risk profile of the aggregate hedge fund universe can be accurately matched by a simple index put option writing strategy that offers monthly liquidity and complete transparency... View Details
Keywords: Cost of Capital; Financial Liquidity; Investment; Investment Return; Mathematical Methods; Risk and Uncertainty
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Harvard Business School Working Paper, No. 12-013, September 2011. (NBER Working Paper Series, No. 19643, November 2013.)
- December 2000 (Revised February 2002)
- Case
Pine Street Capital
A technology hedge fund is trying to decide whether and/or how to hedge equity market risk. Its hedging choices are short-selling and options. The fund has just gone through one of the most volatile periods in NASDAQ's history, it is trying to decide whether it should... View Details
Chacko, George C., and Eli Strick. "Pine Street Capital." Harvard Business School Case 201-071, December 2000. (Revised February 2002.)
- December 2001 (Revised June 2002)
- Case
Compensation at Level 3 Communications
Level 3's unique compensation plan rewarded managers for the firm's performance only if the firm's stock price movement exceeded that of the market. This design was intended to maximize shareholder value by tying manager's performance more closely to that of the firm,... View Details
Meulbroek, Lisa K. "Compensation at Level 3 Communications." Harvard Business School Case 202-084, December 2001. (Revised June 2002.)
- March 2008
- Article
Functional Imaging of Decision Conflict
By: J. B. Pochon, Jason Riis, A. Sanfey, L. Nystrom and J. D. Cohen
Decision conflict occurs when people feel uncertain as to which option to choose from a set of similarly attractive (or unattractive) options, with many studies demonstrating that this conflict can lead to suboptimal decision making. In this article, we investigate the... View Details
Pochon, J. B., Jason Riis, A. Sanfey, L. Nystrom, and J. D. Cohen. "Functional Imaging of Decision Conflict." Journal of Neuroscience 28, no. 13 (March 2008).
- 08 Aug 2017
- First Look
First Look at Research and Ideas, August 8, 2017
using money to buy time can protect people from the detrimental effects of time pressure on life satisfaction. Publisher's link: https://www.hbs.edu/faculty/Pages/item.aspx?num=52953 Governance Through Shame and Aspiration: Index Creation... View Details
Keywords: Sean Silverthorne
- Research Summary
Executive Compensation
Professor Meulbroek is investigating the gap between what equity-linked compensation costs the firm and what it is worth to managers. This gap arises because such compensation prevents managers from fully diversifying their holdings, so managers must bear firm-specific... View Details
- 01 Dec 2008
- Lessons from the Classroom
How Many U.S. Jobs Are ‘Offshorable’?
four categories: An offshorability index of 100 to 76 was ranked as "highly offshorable," or Category I; 75-51 (Category II) was "offshorable"; 50-26 (Category III) was "non-offshorable"; and 25-0 (Category IV) was "highly... View Details
Keywords: by Julia Hanna
- Research Summary
Overview
By: Boris Vallee
Professor Vallée focuses on financial innovation, investigating it from different angles. This research thread has led him to relate the methods and insights of corporate finance and banking with those of other subfields, including household finance, public finance,... View Details
- 24 Aug 2010
- First Look
First Look: August 24
S&P 500 index and are only marginally higher than the risk-free rate as of the end of 2008. The combined impression from these results is that the return experience of hedge fund investors is much worse than previously thought.... View Details
Keywords: Sean Silverthorne
- 03 Jun 2014
- First Look
First Look: June 3
this proposal, and what other options may be available. Purchase this case: http://hbr.org/product/school-specialty-inc/an/214084-PDF-ENG Harvard Business School Case 314-003 Cancer Treatment Centers of America (B) This case provides... View Details
Keywords: Sean Silverthorne
- 31 Jan 2023
- Op-Ed
Can Insurance Technology Solve the Uninsured Driver Problem?
drumming up hundreds of dollars households may not be able to afford. How technology can help Innovations in insurance technology can address the problems of high fees by automating away many of the transaction costs, indexing the amount... View Details