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Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts....

Persistent link: https://www.econbiz.de/10009634376

A time series approach to option pricing : models, methods and empirical performances

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian - 2015

Persistent link: https://www.econbiz.de/10010458461

A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances

Chorro, Christophe - 2015

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

Persistent link: https://www.econbiz.de/10012401993

Pricing and hedging options with GARCH-stable proxy volatilities

Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046

Persistent link: https://www.econbiz.de/10012063384

Parameter variation and the components of natural gas price volatility

Brigida, Matthew - In: The journal of energy markets 12 (2019) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012020337

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10013113663