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Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

Systematic risk and volatility skew

Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87

Persistent link: https://www.econbiz.de/10011625535

Risk management under time varying volatility and Pareto-stable distributions

Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167

Persistent link: https://www.econbiz.de/10012205404

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Estimating the tail shape parameter from option prices

Hamidieh, Kam - In: Journal of risk 19 (2017) 6, pp. 85-110

Persistent link: https://www.econbiz.de/10011799166

De-Arbitraging with a Weak Smile : Application to Skew Risk

Mahdavi-Damghani, Babak - 2014

The aim of this article is to address the methodology behind de-arbitraging a realistic volatility surface and … tenor axis must satisfy in order to make a volatility surface arbitrage-free. The two most influential parameterized … versions of the volatility surface will then be discussed, along with their origin and their limitations. Furthermore, this …

Persistent link: https://www.econbiz.de/10013054972

Variance trading and market price of variance risk

Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010379480

Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes

Gong, Xiaoli; Zhuang, Xintian - In: The North American journal of economics and finance : a … 40 (2017), pp. 148-159

Persistent link: https://www.econbiz.de/10011878807

A non-structural investigation of VIX risk neutral density

Barletta, Andrea; Santucci de Magistris, Paolo; … - In: Journal of banking & finance 99 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012162287

Simple formulas for pricing and hedging European options in the finite moment log-stable model

Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Persistent link: https://www.econbiz.de/10012019316