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Volatility as an asset class : obvious benefits and hidden risks
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.
Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …
Persistent link: https://www.econbiz.de/10010528411
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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Valuation and Risk Management of Vanilla LIBOR Swaptions in a Fallback
Skoufis, Georgios - 2022
Regulators and central banks are defining-through mathematical formulae-the market microstructure for the calculation of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will replace a particular LIBOR post its cessation. The...
Persistent link: https://www.econbiz.de/10013309036
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Interest rate dynamics, derivatives pricing, and risk management
Chen, Lin - 1996
Persistent link: https://www.econbiz.de/10013278137
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
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Term structure modeling for pension funds : what to do in practice?
Vlaar, Peter J. G. - 2006
Persistent link: https://www.econbiz.de/10003401861
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure
Fergusson, K. - In: Annals of financial economics 12 (2017) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011716067
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Quadratic variance swap models
Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...
Persistent link: https://www.econbiz.de/10013441427