Similar Search Results

Three-factor commodity forward curve model and its joint P and Q dynamics

Ladokhin, Sergiy; Borovkova, Svetlana - In: Energy economics 101 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013161542

Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning

Guterding, Daniel - In: The Journal of finance and data science : JFDS 7 (2021), pp. 126-142

The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price of VSTOXX futures through a combination of stochastic...

Persistent link: https://www.econbiz.de/10013162887

A stochastic programming model for dynamic portfolio management with financial derivatives

Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013463145

Venturing into uncharted territory : an extensible implied volatility surface model

François, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - In: The journal of futures markets 42 (2022) 10, pp. 1912-1940

Persistent link: https://www.econbiz.de/10013465829

On non-negative equity guarantee calculations with macroeconomic variables related to house prices

Badescu, Alexandru; Quaye, Enoch; Tunaru, Radu - In: Insurance / Mathematics & economics 103 (2022), pp. 119-138

Persistent link: https://www.econbiz.de/10013198331

Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions

Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127

Persistent link: https://www.econbiz.de/10011441267

Derivatives pricing using QuantLib : an introduction

Varma, Jayanth Rama; Virmani, Vineet - 2015

Persistent link: https://www.econbiz.de/10010510021

Model risk qualification based on relative entropy

Arrieta, Daniel - In: The journal of risk model validation 16 (2022) 3, pp. 113-131

Persistent link: https://www.econbiz.de/10014540603

A blockchain-based platform for trading weather derivatives

Silveira, Fernando Alves; Camilo, Silvio Parodi de Oliveira - In: Digital finance : smart data analytics, investment … 6 (2024) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10014584350

US monetary policy in a globalized world

Crespo Cuaresma, Jesús; Doppelhofer, Gernot; … - 2015

Persistent link: https://www.econbiz.de/10011421835