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The dynamics of volatility and correlation during periods of crisis : implications for active asset management
Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140
Persistent link: https://www.econbiz.de/10011485140
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An empirical examination of correlation dynamics between commodity and equity derivative indices : evidence from India using DCC-GARCH models
Swamy, Perumandla; Padma, Kurisetti - In: Afro-Asian Journal of Finance and Accounting : AAJFA 10 (2020) 2, pp. 207-234
Persistent link: https://www.econbiz.de/10012222641
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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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Variance swap replication : discrete or continuous?
Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
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Portfolio effects of VIX futures index
Ratner, Mitchell; Chiu, Chih-Chieh - In: Quantitative finance and economics 1 (2017) 3, pp. 288-299
Persistent link: https://www.econbiz.de/10012137805
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The currency composition of international portfolio assets
Galstyan, Vahagn; Mehigan, Caroline; Mercado, Rogelio … - 2017
Persistent link: https://www.econbiz.de/10011631595
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Global market volatility and portfolio fund flows in emerging market
Kang, Tae Soo; Lim, Tae-Hoon - In: Korea and the world economy 18 (2017) 1, pp. 93-110
Persistent link: https://www.econbiz.de/10011657692
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Dynamic consumption and asset allocation with derivative securities
Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009
Persistent link: https://www.econbiz.de/10003796940
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Duration models, heterogeneous beliefs, and optimal trading
Heijden, Thijs van der - 2011
Persistent link: https://www.econbiz.de/10009159983
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Trading VIX derivatives : trading and hedging strategies using VIX futures, options, and exchange-traded notes
Rhoads, Russell - 2011
market volatility index. The book will explain the mechanics and strategies associated with trading VIX options, futures … expectations about future stock market volatility and generally moves inversely to the overall stock market. As such, many market … volatility or to use the products in conjunction with other instruments to create spread trades or hedge their overall risk. A …
Persistent link: https://www.econbiz.de/10009311046