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Financial markets and the real economy

Cochrane, John H. - 2005

Persistent link: https://www.econbiz.de/10003285703

The U-Mart system as an artificial intelligent stock market project

2008

Persistent link: https://www.econbiz.de/10003539948

Equity indexing

Bikrimirov, Ernest N. (ed.) - 2016

Persistent link: https://www.econbiz.de/10011570256

Essays in asset pricing

Orlowski, Piotr - 2017

Persistent link: https://www.econbiz.de/10011931494

Essays on variance risk

Gruber, Peter H. - 2015

effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …

Persistent link: https://www.econbiz.de/10011931531

Essays on foreign exchange and credit risk

Bang Nielsen, Andreas - 2018 - 1st edition

We investigate how currency denomination a ects the price of credit risky securities of the same issuer. We focus on eurozone sovereign quanto spreads, i.e., di erences in credit default swap (CDS) premiums denominated in U.S. dollar and Euro of the same reference entity. Quanto spreads of...