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Risk management lessons from the global financial crisis for derivative exchanges

Varma, Jayanth Rama - 2009

Persistent link: https://www.econbiz.de/10003846725

Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses : a Monte Carlo investigation

Varma, Jayanth Rama; Virmani, Vineet - In: The journal of financial market infrastructures 10 (2021) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013530785

High Frequency Manipulation at Futures Expiry : The Case of Cash Settled Indian Single Stock Futures

Agarwalla, Sobhesh Kumar - 2014

Futures markets are known to be vulnerable to manipulation, and despite the presence of a variety of mechanisms to prevent such manipulation, instances of market manipulation have been found in some of the largest and most liquid futures markets worldwide. In 2013, the Securities and Exchange...

Persistent link: https://www.econbiz.de/10013058877

Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach

Kumar, Sudarshan; Agarwalla, Sobhesh Kumar; Varma, … - In: The journal of futures markets 43 (2023) 11, pp. 1615-1644

Persistent link: https://www.econbiz.de/10014432920

High frequency manipulation at futures expiry : the case of cash settled Indian single stock futures

Agarwalla, Sobhesh K.; Jacob, Joshy; Varma, Jayanth Rama - 2014

Persistent link: https://www.econbiz.de/10010242059

Derivatives pricing using QuantLib : an introduction

Varma, Jayanth Rama; Virmani, Vineet - 2015

Persistent link: https://www.econbiz.de/10010510021

Role of derivatives market in attenuating underreaction to left-tail risk

Saurav, Sumit; Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama - In: The journal of futures markets 44 (2024) 3, pp. 484-517

Persistent link: https://www.econbiz.de/10014475505