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Risk management and financial derivatives : an overview

Hammoudeh, Shawkat; McAleer, Michael - In: The North American journal of economics and finance : a … 25 (2013), pp. 109-115

Persistent link: https://www.econbiz.de/10009777841

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

Variance swaps, non-normality and macroeconomic and financial risks

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270

Persistent link: https://www.econbiz.de/10010467548

Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Construction and hedging of equity index options portfolios

Wysocki, Maciej; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634884

Risk management and financial derivatives : an overview

Hammoudeh, Shawkat; McAleer, Michael - 2012

Persistent link: https://www.econbiz.de/10009562953

A portfolio analysis of straddle operations in the futures markets : an application of the expected returns, variance of returns hypothesis

Schrock, Nicholas Wickham - 1967

Persistent link: https://www.econbiz.de/10002805267

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

The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications

Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360

Persistent link: https://www.econbiz.de/10012502484

On the right jump tail inferred from the VIX market

Li, Zhenxiong; Yao, Xingzhi; Izzeldin, Marwan - In: International review of financial analysis 86 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248409