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Efficient Skewness/Semivariance Portfolios

Brito, Rui Pedro; Sebastião, Hélder; Godinho, Pedro - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015

This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness … efficient trade-off between skewness and semivariance. Due to the endogeneity of the cosemivariance matrix, the biobjective … of the skewness/semivariance model was assessed by choosing three portfolios (the portfolio that maximizes a skewness per …

Persistent link: https://www.econbiz.de/10011206302

Do Aussie markets smile? : implied volatility functions and determinants

Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163

Persistent link: https://www.econbiz.de/10011289355

The relationship between conditional value at risk and option prices with a closed-form solution

Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425

Persistent link: https://www.econbiz.de/10010528975

What determines volatility smile in China?

Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335

Persistent link: https://www.econbiz.de/10012745422

A bias in the volatility smile

Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90

Persistent link: https://www.econbiz.de/10011930559

Stochastic Volatility

Andersen, Torben G.; Benzoni, Luca - School of Economics and Management, University of Aarhus - 2010

We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with illustrations of the scope of application of these models to practical finance problems. In a broad sense, this model class includes GARCH, but we focus on a narrower set of...

Persistent link: https://www.econbiz.de/10008504200

A Non-Parametric Option Pricing Model: Theory and Empirical Evidence

Chen, Ren-Raw; Palmon, Oded - In: Review of Quantitative Finance and Accounting 24 (2005) 2, pp. 115-134

In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options …

Persistent link: https://www.econbiz.de/10005701215

Explaining time-varying risk of electricity forwards: trading activity and news announcements

Schulz, Frowin C. - 2010

We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...

Persistent link: https://www.econbiz.de/10010304611

Understanding Mortgage Spreads

Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...

Persistent link: https://www.econbiz.de/10011340970

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes …

Persistent link: https://www.econbiz.de/10011381002