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Modeling and valuation of energy structures : analylsis., econometrics, and numerics

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Impacts of derivative markets on spot market volatility and their persistence

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Drawbacks and limitations of Black-Scholes model for options pricing

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Does options improve the information absorption? : evidence from the introduction of weekly index options

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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

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Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

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Overreactions in the foreign currency options market

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Learning and index option returns

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Stock market momentum, business conditions, and GARCH option pricing models

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Lévy jump risk : evidence from options and returns

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