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Three essays in dynamic economic analysis
Scholz, Sebastian - 2010
Persistent link: https://www.econbiz.de/10003986027
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Accounting for Risk Aversion in Derivatives Purchase Timing
Leung, Tim - 2012
We study the problem of optimal timing to buy/sell derivatives by a risk-averse agent in incomplete markets. Adopting the exponential utility indifference valuation, we investigate this timing flexibility and the associated delayed purchase premium. This leads to a stochastic control and optimal...
Persistent link: https://www.econbiz.de/10013114153
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Time in Indian philosophy : a collection of essays
Prasad, Hari S. (ed.) - 1992 - 1. ed.
Persistent link: https://www.econbiz.de/10013437186
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Eternal Return on Capital: Nihilistic Repetition in the Asset Economy
Samman, Amin - 2020
economy. This entails a departure from simple notions of cyclical time, typically associated with political economy and the … reflect the experience of life under the sign of finance. In particular, I argue that the reordering of class around the axis … abolition of time through repetition. I conclude by foregrounding questions of culture and imagination, exploring these in …
Persistent link: https://www.econbiz.de/10013093397
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Die Zukunft der Futures : die Zeit des Geldes in Finanzwelt und Gesellschaft
Esposito, Elena - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003909700
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Pascal spreading of short-term interest rate contracts
Merrick, John J. - 2000
Persistent link: https://www.econbiz.de/10001539741
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The role of intra-day and inter-day data effects in determining linear and nonlinear granger causality between Australian futures and cash index markets
Eldridge, Robert M.; Peat, Maurice; Stevenson, Maxwell John - 2003
Persistent link: https://www.econbiz.de/10001734845
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VIX Futures As a Market Timing Indicator
Fassas, Athanasios - 2020
This study contributes to the age-old question of whether stock market returns are predictable, by studying the relationship of VIX futures term structure and future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has...
Persistent link: https://www.econbiz.de/10012852170
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Time Dependent Volatility in Futures Contract Options
Chen, Jilong - 2018
In this paper a pricing formula is derived for futures options in Schwartz 1997 two factor model with time dependent … can be used to find backwards the results of time dependent spot volatility with a few market data. The results of time … dependent spot volatility can be easily and quickly obtained in Matlab. We also explain why the result of time dependent spot …
Persistent link: https://www.econbiz.de/10012930107
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Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
Leung, Tim - 2015
shortfall or quadratic variation of the option price up to the liquidation time. We establish the conditions under which it is …
Persistent link: https://www.econbiz.de/10013034642