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Portfolio selection in stochastic environments
Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10003403670
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Liquidity regimes and optimal dynamic asset allocation
Collin-Dufresne, Pierre; Daniel, Kent; Sağlam, Mehmet - In: Journal of financial economics 136 (2020) 2, pp. 379-406
Persistent link: https://www.econbiz.de/10012545569
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Cross-currency equity swaps in the BGM model
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
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Variance swap replication : discrete or continuous?
Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
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Volatility as an asset class : obvious benefits and hidden risks
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.
Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …
Persistent link: https://www.econbiz.de/10010528411
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Performancemessung von Optionsportfolios und deren Anwendung zur Margenschätzung bei strukturierten Finanzprodukten
Wessels, Sebastian - 2021
Persistent link: https://www.econbiz.de/10012584118
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Salvi, Giovanni - 2012
this markets. Numerical evaluations of varinace, volatility, covarinace and correlations swaps with semi-Markov volatility … are presented as well. The novelty of the paper lies in pricing of volatility swaps in closed form, and pricing of …
Persistent link: https://www.econbiz.de/10013106136
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897