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Why is the index smile so steep?
Schlag, Christian; Branger, Nicole - Money Macro and Finance Research Group - 2004
Persistent link: https://www.econbiz.de/10004977128
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Spillovers across U.S. financial markets
Rigobon, Roberto; Sack, Brian - Federal Reserve Board (Board of Governors of the … - 2003
paths of their variances and correlations. We demonstrate the importance of this consideration in a risk …
Persistent link: https://www.econbiz.de/10005721119
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Option Pricing with Discrete Rebalancing
Prigent, J.-L.; Renault, O.; Scaillet, O. - Institut de Recherche Économique et Sociale (IRES), … - 1999
We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variation of the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale...
Persistent link: https://www.econbiz.de/10004985285
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Forecasting Volatility Using A Continuous Time Model
Veiga, Maria Helena Lopes Moreira da - Departament d'Economia i Història Econòmica, … - 2003
This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the...
Persistent link: https://www.econbiz.de/10005582598
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Árjegyzői viselkedés belső kockázatelosztás mellett: Hogyan befolyásolja az árjegyzést az árjegyzők egymás közötti kereskedése?
Havran, Dániel; Szűcs, Balázs Árpád - 2015
each other in order to reduce their inventory risk. The interdealer markets differs from walrasian markets in three main … markets, when interdealer risk allocation is allowed. In this setup market makers operate in a duopoly on the customer market … interdealer market reduces the market powers on the customer markets. We find also that the more risk averse market makers are …
Persistent link: https://www.econbiz.de/10011444420
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A pénzügyi piacok mikrostruktúrája: Mit veszítünk a piaci súrlódásokkal?
Havran, Dániel - 2014
This survey reviews the economic thoughts about what and why do institutional market players lose because of the existing market frictions and particular financial market microstructures compared to walrasian markets. Within a unified microeconomic framework, we introduce the most common...
Persistent link: https://www.econbiz.de/10010494600
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Árjegyzői viselkedés belső kockázatelosztás mellett : hogyan befolyásolja az árjegyzést az árjegyzők egymás közötti kereskedése?
Havran, Dániel; Szűcs, Balázs Árpád - 2015
each other in order to reduce their inventory risk. The interdealer markets differs from walrasian markets in three main … markets, when interdealer risk allocation is allowed. In this setup market makers operate in a duopoly on the customer market … interdealer market reduces the market powers on the customer markets. We find also that the more risk averse market makers are …
Persistent link: https://www.econbiz.de/10010530069
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A pénzügyi piacok mikrostruktúrája : mit veszítünk a piaci súrlódásokkal?
Havran, Dániel - 2014
This survey reviews the economic thoughts about what and why do institutional market players lose because of the existing market frictions and particular financial market microstructures compared to walrasian markets. Within a unified microeconomic framework, we introduce the most common...
Persistent link: https://www.econbiz.de/10010402552
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Sikeres kibocsátások az európai részvény ETF-piacon (Successful Issues on the European Equity ETF Market)
Horvath, Akos - 2017
Hungarian Abstract: A tőzsdén kereskedett alapok gyors elterjedése és dinamikus növekedése felveti a kérdést, mi áll az egyes kibocsátások sikerének hátterében. A termék speciális szerkezetéből fakadó nyilvánvaló előnyöket megkerülve, ebben a cikkben azt vizsgáltam,...
Persistent link: https://www.econbiz.de/10012972205