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  • Search: subject:"Model-Free Pricing"
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Year of publication
Subject
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Volatility 11 Volatilität 11 Portfolio selection 8 Portfolio-Management 8 Model-free pricing 7 Basis Point Variance 6 Model-Free Pricing 6 Option pricing theory 6 Optionspreistheorie 6 Option trading 5 Optionsgeschäft 5 VIX Index 5 Basis Point Yield Volatility 4 Derivat 4 Derivative 4 Interest rate risk 4 Quadratic Contracts 4 Zinsrisiko 4 Anleihe 3 Basis point variance 3 Bond 3 Deposit banking 3 Einlagengeschäft 3 Hedging 3 Interest rate derivative 3 Interest rate variance swaps 3 Interest rate volatility 3 Public bond 3 Risikoprämie 3 Risk premium 3 SRVX index 3 Swap 3 VIX index 3 Variance risk-premiums 3 Zinsderivat 3 Öffentliche Anleihe 3 Aktienindex 2 Black-Scholes model 2 Black-Scholes-Modell 2 Credit derivative 2
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Online availability
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Undetermined 12 Free 1
Type of publication
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Article 9 Book / Working Paper 6
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Working Paper 6
Language
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English 14 Undetermined 1
Author
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Mele, Antonio 9 Obayashi, Yoshiki 9 Shalen, Catherine T. 3 Ansari, Jonathan 1 Arribas, Imanol Perez 1 De Marco, Stefano 1 Guyon, Julien 1 Hobson, David G. 1 Lyons, Terry 1 Lütkebohmert, Eva 1 Martini, Claude 1 Menegaux, Romain 1 Nejad, Sina 1 Neuberger, Anthony 1 Neufeld, Ariel 1 Nutz, Marcel 1 Papanicolaou, A. 1 Sester, Julian 1 Shalen, Catherine 1
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Published in...
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Research paper series / Swiss Finance Institute 6 Swiss Finance Institute Research Paper 5 Finance and stochastics 3 Applied mathematical finance 2 Journal of banking & finance 2 Journal of Banking & Finance 1 Quantitative finance 1
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Source
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ECONIS (ZBW) 14 RePEc 1
Showing 1 - 10 of 15
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Improved robust price bounds for multi-asset derivatives under market-implied dependence information
Ansari, Jonathan; Lütkebohmert, Eva; Neufeld, Ariel; … - In: Finance and stochastics 28 (2024) 4, pp. 911-964
Persistent link: https://www.econbiz.de/10015130470
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Credit volatility indexes
Mele, Antonio; Obayashi, Yoshiki - 2020 - This version: October 19, 2020
Persistent link: https://www.econbiz.de/10012419450
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Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Lyons, Terry; Nejad, Sina; Arribas, Imanol Perez - In: Applied mathematical finance 26 (2019) 6, pp. 583-597
Persistent link: https://www.econbiz.de/10012210427
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Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula
De Marco, Stefano; Martini, Claude - In: Quantitative finance 18 (2018) 4, pp. 609-622
Persistent link: https://www.econbiz.de/10011906443
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Model uncertainty and the pricing of American options
Hobson, David G.; Neuberger, Anthony - In: Finance and stochastics 21 (2017) 1, pp. 285-329
Persistent link: https://www.econbiz.de/10011944370
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Bounds for VIX futures given S&P 500 smiles
Guyon, Julien; Menegaux, Romain; Nutz, Marcel - In: Finance and stochastics 21 (2017) 3, pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine - In: Journal of Banking & Finance 52 (2015) C, pp. 256-265
While CBOE’s VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk-aversion in fixed-income markets. Indeed,...
Persistent link: https://www.econbiz.de/10011209853
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Cover Image
Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377668
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Cover Image
Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377669
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