Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions. This paper analyses the general normal mixture GARCH(1,1) model which can capture time-variation in both...

Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk...

We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and other smile-adjusted deltas that are either model-free, in the sense that they are the same for every scale-invariant stochastic and/or local volatility model, or they are based on simple regime-dependent...

A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals. Yet few, if indeed any, of these are employed by practitioners. Previous academic studies produce results...

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- List of Contributors -- Foreword -- Acknowledgements -- Chapter 1: Introduction -- Part I What are Manipulation and Fraud and why do They matter? -- Chapter 2: An Overview of Market Manipulation -- 2.1 Introduction -- 2.2...