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The impact of the introduction of the euro on foreign exchange rate risk exposures
Bartram, Söhnke M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002659953
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The impact of the introduction of the Euro on foreign exchange rate risk exposures
Bartram, Söhnke M.; Karolyi, G. Andrew - In: Journal of empirical finance 13 (2006) 4/5, pp. 519-549
Persistent link: https://www.econbiz.de/10003370863
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The impact of the introduction of the Euro on foreign exchange rate risk exposures
Bartram, Söhnke M. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001786264
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Static replication of forward-start claims and realized variance swaps
Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 1/2, pp. 99-131
Persistent link: https://www.econbiz.de/10003975324
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Volatility investing with variance swaps
Härdle, Wolfgang; Silyakova, Elena - 2010
investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative … swaps on DAX and its constituents during the 5-years period from 2004 to 2008. -- Conditional Variance Swap ; Corridor … Variance Swap ; Dispersion Trading ; Gamma Swap ; Variance Swap ; Volatility Replication ; Volatility Trading …
Persistent link: https://www.econbiz.de/10003952648
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Indifference pricing and hedging for volatility dervivatives
Grasselli, M. R.; Hurd, T. R. - In: Applied mathematical finance 14 (2007) 4, pp. 303-317
Persistent link: https://www.econbiz.de/10003543040
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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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Variance swaps, non-normality and macroeconomic and financial risks
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270
Persistent link: https://www.econbiz.de/10010467548
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Cash-Settled Swaptions : How Wrong are We?
Henrard, Marc P. A. - 2011
The pricing of the European cash-settled swaptions is analysed. The standard market formula results are compared to results obtained from different models. Significant discrepancies are observed, justifying the title
Persistent link: https://www.econbiz.de/10013132576
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Credit default swaps and corporate performance smoothing
Wu, Wei-Shao; Fok, Robert C. W.; Chang, Yuanchen; Chen, … - In: The journal of corporate finance : contracting, … 75 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013383535