Feedback Effects from Dynamic Hedging on Selected Stocks An Empirical Analysis in the Swiss Stock Market by Heinz R. Kubli This thesis analyses feedback effects on selected Swiss shares generated by dynamic hedge strategies of market makers in equity warrants. It starts with an introduction to dynamic hedging of plain vanilla options and  addresses rehedging triggers for hedging activities in a discrete timeframe. Of particular interest are feedback effects on stock prices, on stock price return volatility of the underlying and on traded volumes of the underlying. In addition to earlier studies in this field, a special emphasis is given to the risk characteristics of the warrants market. A market aggregation of all warrants outstanding is derived for the risk characteristics in order to compare the magnitude of feedback effects of different groups of warrants from dynamic hedging. The extent of these effects depends significantly on the moneyness of the aggregated warrants market and its net gamma exposure. The thesis detects volatility changes and price effects dependent on the change in moneyness. Order the book now: It's titled «Feedback Effects from Dynamic Hedging on Selected Stocks - An empirical analysis in the Swiss stock market», and is published in the series «Bank- und Finanzwirtschaftliche Forschungen» of the Paul Haupt Verlag, Volume 328 (ISBN 3-258-06374-5). Have a look at the table of content! Eine Zusammenfassung der wichtigsten Ergebnisse auf Deutsch finden Sie auf der Artikelseite. The Gamma Mountain of Adecco RS call warrants Source: Thesis by Heinz R. Kubli Copyright by Heinz R. Kubli, 2001 - 2002 Last Updated: 3rd June 2002