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Persistent link: https://www.econbiz.de/10003427033

The pricing of temperature futures at the Chicago Mercantile Exchange

Dorfleitner, Gregor; Wimmer, Maximilian - In: Journal of banking & finance 34 (2010) 6, pp. 1360-1370

Persistent link: https://www.econbiz.de/10003978408

Options, futures, and other derivatives

Hull, John - 1997 - 3. ed., internat. ed

Persistent link: https://www.econbiz.de/10008729855

An empirical comparison of continuous-time models of implied volatility indices

Dotsis, George; Psychoyios, Dimitris; Skiadopoulos, George - In: Journal of banking & finance 31 (2007) 12, pp. 3584-3603

Persistent link: https://www.econbiz.de/10003604337

Pricing and hedging illiquid energy derivatives : an application to the JCC index

Scarpa, Elisa (contributor); Manera, Matteo (contributor) - 2006

Persistent link: https://www.econbiz.de/10003605624

Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility

Gannon, Gerard L.; Au-Yeung, Siu Pang - In: Review of Pacific Basin financial markets and policies 11 (2008) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10003679942

Pricing futures on geometric indexes : a discrete time approach

Harel, Arie; Harpaz, Giora; Francis, Jack Clark - In: Review of quantitative finance and accounting 28 (2007) 3, pp. 227-240

Persistent link: https://www.econbiz.de/10003492800

Martingale restriction and high market frictions on stock index options, futures and cash markets

Nikkinen, Jussi - In: Contributions to accounting, finance, and management …, (pp. 285-303). 2005

Persistent link: https://www.econbiz.de/10003393198

Structural effects and spillovers in HSIF, HSI and S&P500 volatility

Gannon, Gerard L.; Au-Yeung, Siu Pang - In: Research in international business and finance 18 (2004) 3, pp. 305-317

Persistent link: https://www.econbiz.de/10003396231

Spill over effects of futures contracts initiation on the cash market : a regime shift approach

Karathanassis, George A.; Sogiakas, Vasilios I. - In: Review of quantitative finance and accounting 34 (2010) 1, pp. 95-143

This paper investigates possible spillover effects on the spot market due to the initiation of derivatives markets. Although speculation, which is apparent because of the low transaction cost of derivatives markets, produces noise in the financial system, the speculative forces and the rational...

Persistent link: https://www.econbiz.de/10003942174