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Hedging structured credit products during the credit crisis : a horse race of 10 models

Ascheberg, Marius; Bick, Björn; Kraft, Holger - In: Journal of banking & finance 37 (2013) 5, pp. 1687-1705

Persistent link: https://www.econbiz.de/10009729477

How dynamic hedging affects stock price movements : evidence from German option and certificate markets

Fischer, Georg - 2019

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...

Persistent link: https://www.econbiz.de/10011960804

The pricing of idiosyncratic risk : evidence from the implied volatility distribution

Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10009553644

Credit-implied equity volatility : long-term forecasts and alternative fear gauges

Byström, Hans N. E. - In: The journal of futures markets 35 (2015) 8, pp. 753-775

Persistent link: https://www.econbiz.de/10011392648

Do Aussie markets smile? : implied volatility functions and determinants

Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163

Persistent link: https://www.econbiz.de/10011289355

On the relationship of ex-ante and ex-post volatility : a sub-period analysis of S&P CNX Nifty Index options

Shaikh, Imlak; Padhi, Puja - In: Journal of emerging market finance 14 (2015) 2, pp. 140-175

Persistent link: https://www.econbiz.de/10011378502

Political uncertainty and financial market uncertainty in an Australian context

Smales, Lee A. - In: Journal of international financial markets, … 32 (2014), pp. 415-435

Persistent link: https://www.econbiz.de/10011299782

Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

Cross-section stock return and implied covariance between jump and diffusive volatility

Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390

Persistent link: https://www.econbiz.de/10011318319

Sovereign rating actions and the implied volatility of stock index options

Tran, Vu; Alsakka, Rasha; Ap Gwilym, Owain - In: International review of financial analysis 34 (2014), pp. 101-113

Persistent link: https://www.econbiz.de/10010528470

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