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An Analytic Formula for Europe...
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Florescu, Ionut
32
Ulibarri, Carlos A.
7
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6
Anselmo, Peter C.
5
Bozdog, Dragos
5
Chatterjee, Rupak
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International journal of finance & economics : IJFE
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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11
Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data
Mariani, Maria
-
2018
Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...
Persistent link: https://www.econbiz.de/10012940202
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12
A Study About the Existence of the Leverage Effect in Stochastic Volatility Models
Florescu, Ionut
-
2018
The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage e ffect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility...
Persistent link: https://www.econbiz.de/10012940203
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13
Stochastic Volatility : Option Pricing Using a Multinomial Recombining Tree
Florescu, Ionut
-
2018
We treat the problem of option pricing under the Stochastic Volatility (SV) model: the volatility of the underlying asset is a function of an exogenous stochastic process, typically assumed to be meanreverting. Assuming that only discrete past stock information is available, we adapt an...
Persistent link: https://www.econbiz.de/10012940204
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14
Construction of Volatility Indices Using a Multinomial Tree Approximation Method
Bozdog, Dragos
-
2018
This paper introduces a new methodology for an alternative calculation of market volatility index based on a multinomial tree approximation of a stochastic volatility model. The estimation is performed by constructing synthetic options with consistent properties. Several variants of this index...
Persistent link: https://www.econbiz.de/10012940284
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15
Rare Events Analysis of High-Frequency Equity Data
Bozdog, Dragos
-
2018
In this work we present a methodology to detect rare events which are defined as large price movements relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events...
Persistent link: https://www.econbiz.de/10012940285
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16
Double Sampling Kalman Filter with Applications in Investment Fund Reconstruction Problems
Cheng, Zimeng
-
2020
The investment fund replication techniques and related financial product have been developed in recent years. It is understood that investing in the replicated fund can help investors gain similar returns without suffering drawbacks of the target fund. However, it is difficult to produce...
Persistent link: https://www.econbiz.de/10012850904
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17
Cluster Analysis of Liquidity Measures in a Stock Market Using High Frequency Data
Salighehdar, Amin
-
2018
Liquidity is one of the crucial factors in economy which reflects smooth operation of the markets. In a liquid market, traders are able to transact large quantities of security quickly with minimal trading cost and price impact. Many researchers have investigated the relationship between market...
Persistent link: https://www.econbiz.de/10012932363
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18
VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions
Zhao, Zhe
-
2018
A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and...
Persistent link: https://www.econbiz.de/10012932715
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19
Foreword
Florescu, Ionut
;
Mariani, Maria C.
;
Stanley, H. Eugene
; …
- In:
Quantitative Finance
12
(
2012
)
4
,
pp. 515-515
Persistent link: https://www.econbiz.de/10010606810
Saved in:
20
'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?
Ulibarri, Carlos A.
;
Anselmo, Peter C.
;
Hovespian, Karen
; …
- In:
International journal of finance & economics : IJFE
14
(
2009
)
3
,
pp. 268-279
Persistent link: https://www.econbiz.de/10008271252
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