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Derivative securities pricing and modelling

Batten, Jonathan A. (contributor); … - 2012 - 1. ed.

Persistent link: https://www.econbiz.de/10009574776

Extreme correlation of stock and bond futures markets : international evidence

Chui, Chin Man; Yang, Jian - In: The financial review : the official publication of the … 47 (2012) 3, pp. 565-587

Persistent link: https://www.econbiz.de/10009577033

Where is the market? : three econometric approaches to measure contributions to price discovery

Peter, Franziska Julia - 2011

Persistent link: https://www.econbiz.de/10009152707

Existence and extent of impact of individual stock derivatives on spot market volatility in India

Nair, Abhilash S. - In: Applied financial economics 21 (2011) 7/9, pp. 563-600

Persistent link: https://www.econbiz.de/10009153249

Duration models, heterogeneous beliefs, and optimal trading

Heijden, Thijs van der - 2011

Persistent link: https://www.econbiz.de/10009159983

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Forecast based pricing of weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Persistent link: https://www.econbiz.de/10009511156

The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881

Persistent link: https://www.econbiz.de/10009529136

Price discovery in the Indian gold futures market

Pavabutr, Pantisa; Chaihetphon, Piyamas - In: Journal of economics and finance 34 (2010) 4, pp. 455-467

Persistent link: https://www.econbiz.de/10009302276

Trading VIX derivatives : trading and hedging strategies using VIX futures, options, and exchange-traded notes

Rhoads, Russell - 2011

"Trading VIX Derivatives will be a comprehensive book covering all aspects of the Chicago Board Options Exchange stock market volatility index. The book will explain the mechanics and strategies associated with trading VIX options, futures, exchange trading notes and options on exchange traded...

Persistent link: https://www.econbiz.de/10009311046