Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …

liquidity. The framework generalizes existing models by introducing a stochastic liquidity factor. The flexibility of the … framework is illustrated by an application that deals with the pricing of a liquidity derivative. The second chapter focuses on …

Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are … volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant … the extensions by a stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an …

Das essential präsentiert kompakt alle Fakten, Strategien und Praktiken des Hochfrequenzhandels in den USA, Deutschland … aktueller Praktiken des Hochfrequenzhandels in den USA, Deutschland und der Schweiz Die Zielgruppen Private und institutionelle …