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Asset allocation in the Athens stock exchange : a variance sensitivity analysis
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10009615696
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Sensitivity analysis of a risk classification model for food price volatility
Laryea, Rueben; Carling, Kenneth; Cialani, Catia; … - In: International journal of risk assessment and management … 21 (2018) 4, pp. 374-382
Persistent link: https://www.econbiz.de/10012005477
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The impact of raw materials price volatility on cost of goods sold (COGS) for product manufacturing
Moheb-Alizadeh, Hadi; Handfield, Robert B. - In: IEEE transactions on engineering management : EM 65 (2018) 3, pp. 460-473
Persistent link: https://www.econbiz.de/10011915213
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Optionsbewertung in Theorie und Praxis : theoretische und empirische Überprüfung des Black/Scholes-Modells
Merk, Andreas - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008904878
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Pricing of convertible bond based on GARCH model
Wang, Mengxian; Li, Yuan - In: Quantitative financial risk management, (pp. 77-86). 2011
Persistent link: https://www.econbiz.de/10009301439
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Modeling a risk-based criterion for a portfolio with options
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of risk 16 (2013/14) 6, pp. 77-100
Persistent link: https://www.econbiz.de/10010476243
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Sensitivity analysis of portfolio volatility : importance of weights, sectors and impact of trading strategies
Borgonovo, Emanuele; Percoco, Marco - In: Advances in risk management, (pp. 47-68). 2007
Persistent link: https://www.econbiz.de/10003401579
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Sensitivity analysis of volatility : a new tool for risk management
Manganelli, Simone (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001735709
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Sensible Sensitivities for the SABR Model
Chibane, Messaoud - 2012
In this note we describe how to obtain reasonable Vegas for European securities priced off a single maturity SABR model calibrated to market data. We first introduce our notations and state what our hedging problem is. We then start by recalling the standard Jacobian methology when the number of...
Persistent link: https://www.econbiz.de/10013116534