We discuss the origins and the possible reasons for the sudden death of the VOLAX contract.

We analyze the implied volatility surface structure of ODAX options as traded on DTB (currently Eurex). We apply PCA to cross sections of the implied volatility surface taken along the same moneyness (m) or the same time to maturity (T). For data from the period October 3rd 1997 – November...

Celem artykulu jest analiza istoty rachunkowosci zabezpieczen w swietle procesu zarzadzana ryzykiem w przedsiebiorstwie. Tak sformulowany cel wymaga przyjecia adekwatnej metody badawczej, jaka w tym przypadku jest krytyczna analiza opisowa. Konkluzja artykulu jest stwierdzenie, iz rachunkowosc...

A scale curve is a nonparametric approach to study a dispersion of a random vector around a multivariate median. The scale curve is a volume functional based on probabilities allocated on the so-called central regions induced by a given statistical depth function. The curve expresses a degree of...