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The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of Banking & Finance 40 (2014) C, pp. 303-320
risk premium and implement this methodology using more than 20years of options and futures data on three major energy …
Persistent link: https://www.econbiz.de/10010738271
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Finance internationale et gestion des risques : questions et exercices corrigés
Lautier, Delphine; Simon, Yves - Université Paris-Dauphine (Paris IX) - 2007
finance internationale : les marchés de contrats à terme et d'options, le marché des changes, le taux de change, la gestion du …
Persistent link: https://www.econbiz.de/10011073797
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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011776723
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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011751173
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Jump and variance risk premia in the S&P 500
Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83
Persistent link: https://www.econbiz.de/10011635040
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The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320
Persistent link: https://www.econbiz.de/10010402181
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Samuelson hypothesis and electricity derivative markets
Jaeck, Edouard; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2014
It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this...
Persistent link: https://www.econbiz.de/10010790033
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Electricity Derivatives Pricing with Forward-Looking Information
Füss, Roland; Mahringer, Steffen; Prokopczuk, Marcel - School of Finance, Universität St. Gallen - 2013
Persistent link: https://www.econbiz.de/10010699232
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Seasonality and the Valuation of Commodity Options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - Henley Business School, University of Reading - 2010
seasonal volatility on models’ option pricing performance. In terms of options pricing, a deterministic seasonal component at … commodity price. Analyzing an extensive sample of soybean and heating oil options, we find that seasonality in volatility is an …
Persistent link: https://www.econbiz.de/10010838042
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Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - Henley Business School, University of Reading - 2011
seasonal behavior for the pricing of commodity options is analyzed. We propose a stochastic volatility model where the drift …-closed-form pricing formulas for the valuation of options on commodity futures. In the main part of the paper, we empirically study the … impact of the proposed seasonal stochastic volatility model on the pricing accuracy of natural gas futures options traded at …
Persistent link: https://www.econbiz.de/10010838043