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Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236
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Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun - In: Review of quantitative finance and accounting 36 (2011) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
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The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
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Volatility and correlation in the pricing of equity, FX, and interest-rate options
Rebonato, Riccardo - 1999
Persistent link: https://www.econbiz.de/10001376705
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10009699999
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy …
Persistent link: https://www.econbiz.de/10009700000
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Option hedging and implicit volatilities in a stochastic volatility model
Renault, Eric; Touzi, Nizar - 1993 - Rev
Persistent link: https://www.econbiz.de/10000874371
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Consistent Pricing and Hedging Volatility Derivatives with Two Volatility Surfaces
Chen, Ke - 2013
of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We …
Persistent link: https://www.econbiz.de/10013088143
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Volatility trading
Sinclair, Euan - 2013 - 2. ed.
Persistent link: https://www.econbiz.de/10009745954