Stephen Satchell is a Lecturer in Financial Economics at Birbeck University of London, UK and Professor at the University of Sydney, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

• Preface: Stephen Satchell 1. Frictional Costs Of Diversification: How Many CTAs Make A Diversified Portfolio?; Bernd Scherer 2. Crude Oil Futures Markets: Another Look Into Traders' Positions; Damir Tokic 3. Fund Of Hedge Funds Portfolio Selection: A Multiple-Objective Approach; Ryan J Davies, Harry M Kat And Sa Lu 4. A Primer On Structured Finance; Andreas A Jobst 5. Value At Risk, GARCH Modelling And The Forecasting Of Hedge Fund Return Volatility; Roland Fuss, Dieter G Kaiser And Zeno Adams 6. Index Futures Trading, Information And Stock Market Volatility: The Case Of Greece; Christos Floros And Dimitrios V Vougas 7. Modelling And Trading The Gasoline Crack Spread: A Non-Linear Story; Christian L Dunis, Jason Laws And Ben Evans 8. The Relation Between Bid-Ask Spreads And Price Volatility In Forward Markets; Roy A Batchelor, Amir H Alizadeh And Ilias D Visvikis 9. Introduction Of Futures And Options On A Stock Index And Their Impact On The Trading Volume And Volatility: Empirical Evidence From The DJIA Components; Mohammad G Robbani And Rafiqul Bhuyan 10. The Characteristics And Evolution Of Credit Default Swap Trading; Lei Meng And Owain Ap Gwilym 11. The Performance Persistence Of Equity Long/Short Hedge Funds; Samuel Manser And Markus M Schmid 12. Examination Of Fund Age And Size And Its Impact On Hedge Fund Performance; Meredith Jones 13. Great In Practice, Not In Theory: An Empirical Examination Of Covered Call Writing; Michael L Mcintyre And David Jackson 14. Hedge Funds And Higher Moment Portfolio Selection; Greg Bergh And Paul Van Rensburg 15. Sovereign Wealth Funds - Investment Strategies And Financial Distress; Raphael W Lam And Marco Rossi 16. Modeling Autocallable Structured Products; Geng Deng, Joshua Mallett And Craig Mccann 17. The Beta Puzzle Revisited: A Panel Study Of Hedge Fund Returns; Francois-Eric Racicot And Raymond Theoret 18. Option Pricing Based On Mixtures Of Distributions: Evidence From The Eurex Index And Interest Rate Futures Options Market; Sascha Wilkens Index

Stephen Satchell is a Lecturer in Financial Economics at Birbeck University of London, UK and Professor at the University of Sydney, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

• Preface: Stephen Satchell 1. Frictional Costs Of Diversification: How Many CTAs Make A Diversified Portfolio?; Bernd Scherer 2. Crude Oil Futures Markets: Another Look Into Traders' Positions; Damir Tokic 3. Fund Of Hedge Funds Portfolio Selection: A Multiple-Objective Approach; Ryan J Davies, Harry M Kat And Sa Lu 4. A Primer On Structured Finance; Andreas A Jobst 5. Value At Risk, GARCH Modelling And The Forecasting Of Hedge Fund Return Volatility; Roland Fuss, Dieter G Kaiser And Zeno Adams 6. Index Futures Trading, Information And Stock Market Volatility: The Case Of Greece; Christos Floros And Dimitrios V Vougas 7. Modelling And Trading The Gasoline Crack Spread: A Non-Linear Story; Christian L Dunis, Jason Laws And Ben Evans 8. The Relation Between Bid-Ask Spreads And Price Volatility In Forward Markets; Roy A Batchelor, Amir H Alizadeh And Ilias D Visvikis 9. Introduction Of Futures And Options On A Stock Index And Their Impact On The Trading Volume And Volatility: Empirical Evidence From The DJIA Components; Mohammad G Robbani And Rafiqul Bhuyan 10. The Characteristics And Evolution Of Credit Default Swap Trading; Lei Meng And Owain Ap Gwilym 11. The Performance Persistence Of Equity Long/Short Hedge Funds; Samuel Manser And Markus M Schmid 12. Examination Of Fund Age And Size And Its Impact On Hedge Fund Performance; Meredith Jones 13. Great In Practice, Not In Theory: An Empirical Examination Of Covered Call Writing; Michael L Mcintyre And David Jackson 14. Hedge Funds And Higher Moment Portfolio Selection; Greg Bergh And Paul Van Rensburg 15. Sovereign Wealth Funds - Investment Strategies And Financial Distress; Raphael W Lam And Marco Rossi 16. Modeling Autocallable Structured Products; Geng Deng, Joshua Mallett And Craig Mccann 17. The Beta Puzzle Revisited: A Panel Study Of Hedge Fund Returns; Francois-Eric Racicot And Raymond Theoret 18. Option Pricing Based On Mixtures Of Distributions: Evidence From The Eurex Index And Interest Rate Futures Options Market; Sascha Wilkens Index

Stephen Satchell is a Lecturer in Financial Economics at Birbeck University of London, UK and Professor at the University of Sydney, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

• Preface: Stephen Satchell 1. Frictional Costs Of Diversification: How Many CTAs Make A Diversified Portfolio?; Bernd Scherer 2. Crude Oil Futures Markets: Another Look Into Traders' Positions; Damir Tokic 3. Fund Of Hedge Funds Portfolio Selection: A Multiple-Objective Approach; Ryan J Davies, Harry M Kat And Sa Lu 4. A Primer On Structured Finance; Andreas A Jobst 5. Value At Risk, GARCH Modelling And The Forecasting Of Hedge Fund Return Volatility; Roland Fuss, Dieter G Kaiser And Zeno Adams 6. Index Futures Trading, Information And Stock Market Volatility: The Case Of Greece; Christos Floros And Dimitrios V Vougas 7. Modelling And Trading The Gasoline Crack Spread: A Non-Linear Story; Christian L Dunis, Jason Laws And Ben Evans 8. The Relation Between Bid-Ask Spreads And Price Volatility In Forward Markets; Roy A Batchelor, Amir H Alizadeh And Ilias D Visvikis 9. Introduction Of Futures And Options On A Stock Index And Their Impact On The Trading Volume And Volatility: Empirical Evidence From The DJIA Components; Mohammad G Robbani And Rafiqul Bhuyan 10. The Characteristics And Evolution Of Credit Default Swap Trading; Lei Meng And Owain Ap Gwilym 11. The Performance Persistence Of Equity Long/Short Hedge Funds; Samuel Manser And Markus M Schmid 12. Examination Of Fund Age And Size And Its Impact On Hedge Fund Performance; Meredith Jones 13. Great In Practice, Not In Theory: An Empirical Examination Of Covered Call Writing; Michael L Mcintyre And David Jackson 14. Hedge Funds And Higher Moment Portfolio Selection; Greg Bergh And Paul Van Rensburg 15. Sovereign Wealth Funds - Investment Strategies And Financial Distress; Raphael W Lam And Marco Rossi 16. Modeling Autocallable Structured Products; Geng Deng, Joshua Mallett And Craig Mccann 17. The Beta Puzzle Revisited: A Panel Study Of Hedge Fund Returns; Francois-Eric Racicot And Raymond Theoret 18. Option Pricing Based On Mixtures Of Distributions: Evidence From The Eurex Index And Interest Rate Futures Options Market; Sascha Wilkens Index