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Market risk and model risk for a financial institution writing options

Green, Tracy Clifton; Figlewski, Stephen - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1465-1499

Persistent link: https://www.econbiz.de/10001395780

Implied volatility functions : a reprise

Rosenberg, Joshua V. - 1999

Persistent link: https://www.econbiz.de/10001447936

Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model

Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017

Persistent link: https://www.econbiz.de/10011603288

Testing momentum effectfor the US market : from equity to option strategies

Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

Persistent link: https://www.econbiz.de/10011757486

Information in (and not in) Treasury Options

Choi, Hoyong - 2017

also accommodate both unspanned macro risks and unspanned stochastic volatility in the term structure literature …

Persistent link: https://www.econbiz.de/10012970472

Treasury option returns and models with unspanned risks

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10014462650

Treasury yield implied volatility and real activity

Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435

Persistent link: https://www.econbiz.de/10012650450

Interest rate volatility and risk management : evidence from CBOE Treasury options

Markellos, Raphaēl N.; Psychoyios, Dimitris - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 190-202

Persistent link: https://www.econbiz.de/10012034535

Uncertainty about interest rates and the real economy

Qadan, Mahmoud; Shuval, Kerem; David, Or - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014485443

Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

Persistent link: https://www.econbiz.de/10014530189