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Derivative asset analysis in models with level-dependent and stochastic volatility
Frey, Rüdiger - 1997
Persistent link: https://www.econbiz.de/10000959999
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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - 1997
Persistent link: https://www.econbiz.de/10000966018
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Price and volume effects associated with listings and expirations of derivative warrants on the stock exchange of Hong Kong
Wei, K. C. John; Chan, Yue-cheong - 1997
Persistent link: https://www.econbiz.de/10000977568
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Local parametric analysis of derivatives pricing and hedging
Bossaerts, Peter L.; Hillion, Pierre Henri - 1997
Persistent link: https://www.econbiz.de/10000980780
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The effect of contemporaneous futures market volume on spot market volatility
Board, John L. G.; Sandmann, Gleb; Sutcliffe, Charles M. S. - 1997
Persistent link: https://www.econbiz.de/10000975065
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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - 1997
Persistent link: https://www.econbiz.de/10000633327
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Financial globalisation, derivatives, volatility and the challenge for the policies of central banks
Goodhart, Charles A. E. - 1995
Persistent link: https://www.econbiz.de/10000612642
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Liquidity-induced dynamics in futures markets
Fagan, Stephen; Gençay, Ramazan - 2007
liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …
Persistent link: https://www.econbiz.de/10011523414
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Forward trading and collusion of firms in volatile markets
Aichele, Markus - 2014
Commodity markets are characterized by large volumes of forward contracts as well as high volatility. They are often …, forward trading and volatility simultaneously. The expected collusive pro t may depart from the monopoly outcome in a volatile …
Persistent link: https://www.econbiz.de/10010426239