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Contributions to short-term financial risk management : volatility in high frequency data, Lévy processes and the dependence of jumps

Grothe, Oliver - 2008

Persistent link: https://www.econbiz.de/10003790958

Commodity price correlation and time varying hedge ratios

Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061

Persistent link: https://www.econbiz.de/10010400627

Approximate hedging in a local volatility model with proportional transaction costs

Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341

Persistent link: https://www.econbiz.de/10010499677

Approximate hedging problem with transaction costs in stochastic volatility markets

Thai Huu Nguyen; Pergamenshchikov, Serguei - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 832-865

Persistent link: https://www.econbiz.de/10011764979

Determinants of stock market participation

Menkhoff, Lukas; Westermann, Jannis - 2024

The low degree of stock market participation (SMP) is one of the big puzzles in finance. Numerous determinants have been proposed. We put these determinants into a structure that is derived from a standard static portfolio model. Then we discuss arguments put forward regarding specific SMP...

Persistent link: https://www.econbiz.de/10014528274