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Arbitrage valuation of variance forecasts with simulated options

Engle, Robert F. (contributor) - 1992 - Rev

Persistent link: https://www.econbiz.de/10000841635

Chaos & nonlinear dynamics in the financial markets : theory, evidence and applications

Trippi, Robert R. (ed.) - 1995

Persistent link: https://www.econbiz.de/10000544254

Forecasting default with the Merton distance to default model

Bharath, Sreedhar T.; Shumway, Tyler - In: The review of financial studies 21 (2008) 3, pp. 1339-1369

Persistent link: https://www.econbiz.de/10003742248

Testing the martingale hypothesis for futures prices : implications for hedgers

De Ville de Goyet, Cédric; Dhaene, Geert; Sercu, Piet - In: The journal of futures markets 28 (2008) 11, pp. 1040-1065

Persistent link: https://www.econbiz.de/10003769967

Do nonlinear tools make a difference in handling shipping derivatives?

Goulielmos, Alexander M.; Goulielmos, Matina A. - In: International journal of transport economics : IJTE 35 (2008) 3, pp. 345-371

Persistent link: https://www.econbiz.de/10003786480

Deriving a statistical model for the prediction of spiralling in BTA deep-hole-drilling from a physical model

Weihs, Claus (contributor); Raabe, N. (contributor); … - 2007

One serious problem in deep hole drilling is the occurrence of a dynamic disturbances called spiralling. A common explanation for the occurrence of spiralling is the coincidence of time varying bending eigenfrequencies of the tool with multiples of the spindle rotation frequency. We propose a...

Persistent link: https://www.econbiz.de/10003483072

The properties of market-based and survey forecasts for different data releases

Lanne, Markku (contributor) - 2007

Persistent link: https://www.econbiz.de/10003465751

Meteorological forecasts and the pricing of weather derivatives

Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010

forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard … derivative pricing and is able to estimate the information gain compared to a benchmark model without meteorological forecasts …

Persistent link: https://www.econbiz.de/10008663382

Modelling and forecasting temperature based weather derivatives

Svec, J.; Stevenson, Maxwell John - In: Global finance journal 18 (2007) 2, pp. 185-204

Persistent link: https://www.econbiz.de/10003704497

Essays on empirical term structure modeling

Zhao, Feng - 2004

Persistent link: https://www.econbiz.de/10003387673

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