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Rudolf, Markus - 2000

Persistent link: https://www.econbiz.de/10001430322

Stochastic implied volatility : a factor-based model

Hafner, Reinhold - 2004

volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …

Persistent link: https://www.econbiz.de/10002063039

Rohstoffpreise und internationale Transmission : eine theoretische und empirische Untersuchung

Lambsdorff, Johann - 1994

Persistent link: https://www.econbiz.de/10012700227

Backwardation and normal backwardation in energy futures markets : with an application to Metallgesellschaft's short-dated rollover hedging of long-term contracts

Charupat, Narat; Deaves, Richard - 2002

We show that, since the inception of energy futures markets, prices have on average exhibited backwardation. Normal backwardation has also been the norm, but, because of the low power of the standard tests, most researchers have concluded that the unbiased expectations model cannot be rejected....

Persistent link: https://www.econbiz.de/10011447648