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Model-independent lower bound on variance SWAPS
Kahalé, Nabil - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 939-961
Persistent link: https://www.econbiz.de/10011583815
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
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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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Volatilitätsschwankungen und DAX-Optionen : Auswirkungen auf Bewertung und Risikomanagement
Bolek, Adam - 1999
Persistent link: https://www.econbiz.de/10000682737
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International asset allocation with time-varying correlations
Ang, Andrew; Bekaert, Geert - 1999
Persistent link: https://www.econbiz.de/10001379604
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Quantile hedging
Föllmer, Hans; Leukert, Peter - In: Finance and stochastics 3 (1999) 3, pp. 251-273
Persistent link: https://www.econbiz.de/10001389101
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Managing the volatility risk of portfolios of derivate securities : the Lagrangian uncertain volatility model
Avellaneda, Marco - In: Applied mathematical finance 3 (1996) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10001209610
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Hedging with a volatility term structure
Crouhy, Michel - In: The journal of derivatives : the official publication … 2 (1995) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10001219524
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Portfolio insurance and volatility
Frey, Rüdiger; Stremme, Alexander - 1994
Persistent link: https://www.econbiz.de/10000891385
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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