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Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...
Crousillat, Cesar - 2017
Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …
Persistent link: https://www.econbiz.de/10012962743
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Volatility and Dividends - Volatility Modelling with Cash Dividends and Simple Credit Risk
Buehler, Hans - 2010
This article shows how to incorporate cash dividends and credit risk into equity derivatives pricing and risk management. In essence, we show that in an arbitrage-free model the stock price process upon default must have the form S(t) = { F(t) - D(t) } X(t) D(t) ] where X is a local martingale...
Persistent link: https://www.econbiz.de/10014217604
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Volatility Markets : Consistent Modelling, Hedging and Practical Implementation (Dissertation)
Buehler, Hans - 2010
This is the revised version of my dissertation. The dissertation covers pricing and hedging of volatiluty derivatives, but also a few other topics. It contains extended material on consistent variance curves, a proof that "smooth" diffusion markets are always complete, comments on pricing in...
Persistent link: https://www.econbiz.de/10014218997
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Prioritizing of volatility models : a computational analysis using data envelopment analysis
Petridis, Konstantinos; Petridis, Nikolaos E.; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2302-2334
Persistent link: https://www.econbiz.de/10014259155
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Consistent ranking of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009
Persistent link: https://www.econbiz.de/10003850918
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
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Jumps in cross-sectional rank and expected returns : a mixture model
González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: Journal of applied econometrics 23 (2008) 5, pp. 585-606
Persistent link: https://www.econbiz.de/10003760414
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Consistent ranking of volatility models
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of econometrics 131 (2006) 1/2, pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
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On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Laurent, Sébastien - 2012
framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …
Persistent link: https://www.econbiz.de/10013116642
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350