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Optimal market making in the foreign exchange market

Veraart, Luitgard - In: Applied mathematical finance 17 (2010) 3/4, pp. 359-372

Persistent link: https://www.econbiz.de/10008653252

Stochastic volatility and stochastic leverage

Veraart, Almut E. D.; Veraart, Luitgard - 2009

Persistent link: https://www.econbiz.de/10003849550

Stochastic volatility and stochastic leverage

Veraart, Almut E. D.; Veraart, Luitgard - In: Annals of finance 8 (2012) 2/3, pp. 205-233

Persistent link: https://www.econbiz.de/10009548093

Risk premia in energy markets

Veraart, Almut E. D.; Veraart, Luitgard - 2013

Persistent link: https://www.econbiz.de/10009691707

The effect of estimation in high-dimensional portfolios

Gandy, Axel; Veraart, Luitgard - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 531-559

Persistent link: https://www.econbiz.de/10009783354

How does the Repo market behave under stress? : evidence from the COVID-19 crisis

Hüser, Anne-Caroline; Lepore, Caterina; Veraart, Luitgard - 2021

We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the COVID-19 crisis. During this crisis, the repo network becomes more connected, with most institutions relying on existing...