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Price Discovery and Microstructure in Ether Spot and Derivative Markets

Alexander, Carol - 2020

Ethereum is an important blockchain, being the first and most popular public platform for the smart contracts underpinning financial transactions, time-stamping of supply chains, decentralized applications and initial coin offerings. Ethereum's cryptocurrency, ether, is actively traded on...

Persistent link: https://www.econbiz.de/10012845114

Crypto quanto and inverse options

Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043

Persistent link: https://www.econbiz.de/10014370619

Understanding and managing interest rate risk at banks

Acharya, Viral V. - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 218-231

Persistent link: https://www.econbiz.de/10011974365

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Limits to arbitrage and hedging : evidence from commodity markets

Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun - 2009

Persistent link: https://www.econbiz.de/10003856731

Limits to arbitrage and hedging : evidence from commodity markets

Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun - 2011

Persistent link: https://www.econbiz.de/10008934142

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707

Persistent link: https://www.econbiz.de/10009724605

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - 2012

Persistent link: https://www.econbiz.de/10009520538

Market Risk Analysis : Pricing, Hedging and Trading Financial Instruments

Alexander, Carol - 2008

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments … the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the … forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatil …

Persistent link: https://www.econbiz.de/10012675689

Bank use of sovereign CDS in the Eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2021

Persistent link: https://www.econbiz.de/10012667120