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Predictive power of implied volatility of structured call warrants : evidence from Singapore
Najmi Ismail Murad Samsudin; Azhar Mohamad; Imtiaz … - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4412-4430
Persistent link: https://www.econbiz.de/10013461338
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Simulation of arbitrage-free implied volatility surfaces
Cont, Rama; Vuletić, Milena - In: Applied mathematical finance 30 (2023) 2, pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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Contingent claims and market completeness in a stochastic volatility model
Romano, Marc; Touzi, Nizar - 1993
Persistent link: https://www.econbiz.de/10000874372
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Financial markets performance : theory and empirical evidence
Marquardt, Dirk Steffen - 1998
Persistent link: https://www.econbiz.de/10000671527
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Commonality in liquidity : an empirical examination of emerging order-driven equity and derivatives market
Syamala, Sudhakar Reddy; Reddy, V. Nagi; Goyal, Abhinav - In: Journal of international financial markets, … 33 (2014), pp. 317-334
Persistent link: https://www.econbiz.de/10011299821
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Heavy-tailed features and dependence in limit order book volume profiles in futures markets
Richards, Kylie-Anne; Peters, Gareth W.; Dunsmuir, … - In: International journal of financial engineering 2 (2015) 3, pp. 1-56
Persistent link: https://www.econbiz.de/10011403201
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Limit order books, uninformed traders and commodity derivatives : insights from the European carbon futures
Rannou, Yves - In: Economic modelling 81 (2019), pp. 387-410
Persistent link: https://www.econbiz.de/10012202116
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
, rebalancing costs, volatility, scalper risk, and overnight gap risk, but also depends on dividends. Initial hedging costs appear …
Persistent link: https://www.econbiz.de/10011960799
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An empirical analysis of the bid-ask spread in the continuous intraday trading of the German power market
Balardy, Clara - In: The energy journal 43 (2022) 3, pp. 229-255
Persistent link: https://www.econbiz.de/10013411316