Search Results - subject:"fx options"

Financial innovation of mass destruction: The story of a countrywide FX options debacle

Sławik, Anna; Bohatkiewicz-Czaicka, Joanna - In: Risks 10 (2022) 2, pp. 1-17

Astonishingly little attention has been paid in academic literature to the 2008-2009 foreign exchange (FX) options … releases, public authorities' accounts, and corporate statements). It documents that the FX options debacle was caused by …

Persistent link: https://www.econbiz.de/10013200919

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

Muck, Matthias - In: Review of Derivatives Research 25 (2022) 3, pp. 293-314

This paper addresses arbitrage-free FX smile construction from near-term implied volatility dynamics proposed by Carr (J Financ Econ, 120(1), 1–20, 2016). The approach is directly applicable to FX option market conventions. Prices of market benchmark contracts (risk reversals and butterflies)...

Persistent link: https://www.econbiz.de/10015193597

Financial innovation of mass destruction : the story of a countrywide FX options debacle

Sławik, Anna; Bohatkiewicz-Czaicka, Joanna - In: Risks : open access journal 10 (2022) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012806403

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314

Persistent link: https://www.econbiz.de/10013457626

Which witch is which? : deconstructing the foreign exchange markets activity

Orlov, Alexei G.; Sharma, Rajiv - In: Global finance journal 60 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10014545191

Common risk factors in cross-sectional FX options returns

Zhang, Xuanchen; So, Raymond H. Y.; Driouchi, Tarik - In: Review of finance : journal of the European Finance … 28 (2024) 3, pp. 897-944

Persistent link: https://www.econbiz.de/10015046169

Applications of FX derivatives to portfolio management

Elkamhi, Redouane; Fabozzi, Frank J.; Lee, Jacky S. H.; … - In: The journal of asset management : a major new, … 25 (2024) 6, pp. 600-616

Persistent link: https://www.econbiz.de/10015192369

Essays on FX variance risk premium, monetary policy and currency returns

Pozdeev, Igor - 2020

Variance risk premium is arguably one of the most important and robust risk premia documented in the academic finance. The first chapter of this thesis deals with variance risk on the FX market: therein, I recover risk-neutralized covariance matrices of currency returns and combine them with ex...

Persistent link: https://www.econbiz.de/10012214090

Quantification of feedback effects in FX options markets

Anderegg, Benjamin; Sornette, Didier; Ulmann, Florian - 2019

Persistent link: https://www.econbiz.de/10012026522

The impact of option hedging on the spot market volatility

Anderegg, Benjamin; Ulmann, Florian; Sornette, Didier - In: Journal of international money and finance 124 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013435214