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Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...

Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785

Persistent link: https://www.econbiz.de/10001467848

Mean-reverting stochastic volatility

Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 101-142

Persistent link: https://www.econbiz.de/10001488358

Common asset pricing factors in volatilities and returns in futures markets

Siddique, Akhtar R. - In: Journal of banking & finance 27 (2003) 12, pp. 2347-2368

Persistent link: https://www.econbiz.de/10001824109

Stochastic dominance bounds on derivative prices in a multiperiod economy with proportional transaction costs

Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - 2002

Persistent link: https://www.econbiz.de/10001661181

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Stochastic dominance bounds on derivatives price in a multiperiod economy with proportional transaction costs

Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1323-1352

Persistent link: https://www.econbiz.de/10001656093

Time series momentum

Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250

Persistent link: https://www.econbiz.de/10009621174

Equilibrium preference free pricing of derivatives under the generalized beta distributions

Ikeda, Masayuki - In: Review of derivatives research 13 (2010) 3, pp. 297-332

Persistent link: https://www.econbiz.de/10008695881

The impact of single stock futures on market efficiency and volatility : a dynamic CAPM approach

Malik, Imran Riaz; Shah, Attaullah - In: Emerging markets finance & trade : a journal of the … 53 (2017) 2, pp. 339-356

Persistent link: https://www.econbiz.de/10011764197

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

Constantinides, George M. - 2002

By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....

Persistent link: https://www.econbiz.de/10012469848