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Derivate im Portfoliomanagement
Bossert, Thomas - 2017
Persistent link: https://www.econbiz.de/10011648924
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Derivate im Portfoliomanagement
Bossert, Thomas - 2017
unzureichenden Einblick in das Leistungsspektrum von derivativen Finanzinstrumenten und die Möglichkeiten zur Verbesserung von Risiko … Risikomanagement sowie Derivate. …
Persistent link: https://www.econbiz.de/10014020663
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn - 2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …
Persistent link: https://www.econbiz.de/10013522771
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Zeitstetige Modellierung von Preisprozessen auf Finanzmärkten : Zur Interpretation und Notwendigkeit der Usual Conditions
Klößner, Stefan - 2005
Die Bedeutung von Derivaten für Anleger auf Finanzmärkten nimmt zu. Gleichzeitig wird es immer wichtiger, bei der Entscheidung über Kauf und Verkauf derartiger Titel die Unsicherheit der zukünftigen Preisentwicklung zu berücksichtigen. Die Annahmen, die den bei der Analyse derartiger...
Persistent link: https://www.econbiz.de/10013517354
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil
Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468
Persistent link: https://www.econbiz.de/10013345666
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The incremental information content of innovations in implied idiosyncratic volatility
Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44
Persistent link: https://www.econbiz.de/10011579946
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Forward-looking information on growth and uncertainty implied by derivative securities : evidence from an emerging market
Yen, Yu-min - In: International review of economics & finance : IREF 62 (2019), pp. 240-266
Persistent link: https://www.econbiz.de/10012205548
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671