Verl.Beschr.: Das Finanzmagazin Forbes nannte Charles MacKays Werk das ?wichtigste Buch, das je über Investments geschrieben worden ist?. Der Leser erfährt authentisch und äusserst unterhaltsam alles über den Tulpenwahn in Holland von 1634 bis 1637, John Laws grosses Mississippi-Projekt von...

My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core...

This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those...