Narrow search
Showing 1 - 10 of 3,259
Cover Image
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...
Persistent link: https://www.econbiz.de/10012022240
Cover Image
The impact of alternative performance measures on portfolio procurement with contingent option contracts
Fu, Qi - In: International journal of production economics 167 (2015), pp. 128-138
Persistent link: https://www.econbiz.de/10011346577
Cover Image
Pricing and hedging options on assets with options on related assets
Madan, Dilip B.; Wang, King - In: The journal of derivatives : JOD 29 (2021) 1, pp. 27-47
Persistent link: https://www.econbiz.de/10012612942
Cover Image
Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian - In: Quantitative finance 22 (2022) 3, pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
Cover Image
Essentials of stochastic finance : facts, models, theory
Širjaev, Alʹbert N. - 1999
Persistent link: https://www.econbiz.de/10001375629
Cover Image
The Probability Density Function of Interest Rates Implied in the Price of Options
Fornari, Fabio; Violi, Roberto - 2006
distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility …
Persistent link: https://www.econbiz.de/10014058544
Cover Image
The probability density function of interest rates implied in the price of options
Fornari, Fabio - 1998
Persistent link: https://www.econbiz.de/10013453296
Cover Image
Volatility targeting : the bridge between options-based and traditional defensive strategies
Poirier, Ryan - In: The journal of portfolio management : JPM 47 (2021) 6, pp. 156-173
Persistent link: https://www.econbiz.de/10012517349
Cover Image
Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343