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The relationship between earnings volatility and corporate risk disclosures
Rammala, Johannes; Toerien, Franz Eduard - In: South African journal of economic and management sciences 27 (2024) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10015046025
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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Essays on empirical term structure modeling
Zhao, Feng - 2004
Persistent link: https://www.econbiz.de/10003387673
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Unspanned stochastic volatility : evidence from hedging interest rate derivatives
Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378
Persistent link: https://www.econbiz.de/10003302340
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A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna - In: Applied mathematical finance 18 (2011) 1/2, pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
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Spot return volatility and hedging with futures contract : empirical evidence from the notional commodity futures indices of India
Santhosh Kumar, V. - In: Research in financial derivatives : commodity, equity, …, (pp. 259-281). 2011
Persistent link: https://www.econbiz.de/10009428270
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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 …
Persistent link: https://www.econbiz.de/10010528411
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Liquidity-induced dynamics in futures markets
Fagan, Stephen; Gençay, Ramazan - 2007
Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...
Persistent link: https://www.econbiz.de/10011523414