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Year of publication
Subject
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Derivat 13,578 Derivative 13,527 Theorie 3,849 Theory 3,832 Optionspreistheorie 2,306 Option pricing theory 2,291 Hedging 1,989 USA 1,450 United States 1,420 Volatilität 1,367 Volatility 1,357 Kreditrisiko 1,222 Credit risk 1,193 Risikomanagement 1,128 Portfolio-Management 1,095 Portfolio selection 1,094 Risk management 1,055 Optionsgeschäft 988 Option trading 931 Welt 915 World 909 Börsenkurs 760 Share price 757 Rohstoffderivat 709 Commodity derivative 708 Deutschland 704 Germany 676 Warenbörse 637 Commodity exchange 621 Stochastischer Prozess 618 Stochastic process 617 CAPM 601 Risiko 549 Kreditderivat 548 Risk 545 Swap 532 Zinsstruktur 523 Credit derivative 522 Finanzmarkt 521 Yield curve 520
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Online availability
All
Free 3,524 Undetermined 1,915
Type of publication
All
Article 7,057 Book / Working Paper 6,678 Journal 50
Type of publication (narrower categories)
All
Article in journal 6,248 Aufsatz in Zeitschrift 6,248 Graue Literatur 1,686 Non-commercial literature 1,686 Working Paper 1,368 Arbeitspapier 1,340 Aufsatz im Buch 735 Book section 735 Hochschulschrift 594 Thesis 480 Lehrbuch 250 Collection of articles of several authors 240 Sammelwerk 240 Textbook 236 Bibliografie enthalten 130 Bibliography included 130 Glossar enthalten 106 Glossary included 106 Aufsatzsammlung 86 Konferenzschrift 84 Handbook 70 Handbuch 70 Collection of articles written by one author 67 Sammlung 67 Amtsdruckschrift 64 Government document 64 Conference proceedings 63 Ratgeber 49 Guidebook 35 Mehrbändiges Werk 27 Multi-volume publication 27 Bibliografie 24 Conference paper 24 Konferenzbeitrag 24 Systematic review 23 Übersichtsarbeit 23 Dissertation u.a. Prüfungsschriften 22 Case study 21 Fallstudie 21 Forschungsbericht 14
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Language
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English 12,027 German 1,357 French 135 Spanish 104 Undetermined 55 Italian 47 Polish 26 Dutch 18 Swedish 14 Portuguese 10 Norwegian 8 Russian 8 Danish 4 Hungarian 4 Finnish 3 Czech 2 Croatian 2 Afrikaans 1 Arabic 1 Modern Greek (1453-) 1 Ukrainian 1
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Author
All
Fabozzi, Frank J. 67 Hull, John 53 Lien, Da-hsiang Donald 50 Benth, Fred Espen 40 Broll, Udo 40 Jarrow, Robert A. 40 Gouriéroux, Christian 27 Kit, Pong Wong 26 Härdle, Wolfgang 25 Platen, Eckhard 24 Shiller, Robert J. 24 White, Alan 24 Wolfers, Justin 24 Brigo, Damiano 23 Carr, Peter 23 Joshi, Mark S. 23 Kolb, Robert W. 23 Madan, Dilip B. 23 Subrahmanyam, Marti G. 23 Chance, Don M. 22 Irwin, Scott H. 22 McAleer, Michael 22 Stulz, René M. 22 Kavussanos, Manolis G. 21 Acharya, Viral V. 20 Leung, Tim 20 Prokopczuk, Marcel 20 Whaley, Robert E. 20 Brooks, Robert 19 Duffie, Darrell 19 Rudolph, Bernd 19 Choudhry, Moorad 18 García, Philip 18 Kane, Alex 18 Korn, Olaf 18 Marcus, Alan J. 18 Perrakis, Stylianos 18 Puttonen, Vesa 18 Schoutens, Wim 18 Till, Hilary 18
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Institution
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National Bureau of Economic Research 65 Philippinen / National Census and Statistics Office 21 Bangladesch / Parisaṅkhyāna Byuro 20 Basel Committee on Banking Supervision 20 International Organization of Securities Commissions 12 Devlet İstatistik Enstitüsü 9 Bank für Internationalen Zahlungsausgleich / Committee on Payments and Market Infrastructures 7 Bank für Internationalen Zahlungsausgleich 6 Institute of Finance and Accounting <London> 6 International Accounting Standards Board 6 Asia Pacific Association of Derivatives 5 Chambre de commerce et d'industrie de Paris 5 Deutsche Forschungsgemeinschaft 5 Ekonomiska forskningsinstitutet <Stockholm> 5 Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart> 5 Großbritannien / Government / Statistical Service 5 Großbritannien / Office of Population Censuses and Surveys 5 OECD 5 Philippinen / Bureau of the Census and Statistics 5 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 5 Springer Fachmedien Wiesbaden 5 Universität Augsburg / Institut für Volkswirtschaftslehre 5 Universität Zürich / Institut für Schweizerisches Bankwesen 5 Frank J. Fabozzi Associates <New Hope, Pa.> 4 Group of Thirty / Global Derivatives Study Group 4 International Options Market Association 4 International Swaps and Derivatives Associations 4 New York Institute of Finance 4 School of Accounting, Economics and Finance <Geelong> 4 School of Finance and Business Economics <Perth, Western Australia> 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 The Wharton Financial Institutions Center 4 USA / Commodity Futures Trading Commission 4 USA / General Accounting Office 4 Österreichische Termin- und Optionenbörse <Wien> 4 Australien / Bureau of Mineral Resources, Geology and Geophysics 3 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 3 Bank of England 3 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 3 Deutsche Terminbörse <Frankfurt, Main> 3
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Published in...
All
The journal of futures markets 380 Journal of banking & finance 176 International journal of theoretical and applied finance 170 Energy economics 115 The journal of finance : the journal of the American Finance Association 80 Applied mathematical finance 77 Journal of financial economics 72 Review of derivatives research 66 The journal of derivatives : the official publication of the International Association of Financial Engineers 66 NBER working paper series 63 The European journal of finance 61 Working paper / National Bureau of Economic Research, Inc. 61 Applied financial economics 60 International review of financial analysis 57 Journal of financial and quantitative analysis : JFQA 57 SpringerLink / Bücher 57 European journal of operational research : EJOR 56 Quantitative finance 56 International review of economics & finance : IREF 54 Advances in futures and options research : a research annual 52 NBER Working Paper 50 Die Bank 49 Finance research letters 48 Applied economics 45 The journal of fixed income 45 Finance and stochastics 44 Mathematical finance : an international journal of mathematics, statistics and financial theory 44 The journal of computational finance 43 The North American journal of economics and finance : a journal of financial economics studies 41 Journal of mathematical finance 39 The review of financial studies 39 Applied economics letters 38 Economics letters 38 Journal of economic dynamics & control 37 Working paper 37 Derivatives & financial instruments 36 Journal of risk and financial management : JRFM 36 Review of quantitative finance and accounting 36 Wiley finance series 36 Finance and economics discussion series 33
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Source
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ECONIS (ZBW) 13,611 USB Cologne (EcoSocSci) 129 EconStor 36 OLC EcoSci 9
Showing 1 - 50 of 13,785
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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023
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Empirical deep hedging
Mikkilä, Oskari; Kanniainen, Juho - In: Quantitative finance 23 (2023) 1, pp. 111-122
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Developments in foreign exchange and over-the-counter derivatives markets
Armour, Cameron; Beardsley, Jack - In: Bulletin / Reserve Bank of Australia (2023), pp. 73-85
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Self-Identified College Peer Groups and Derived Rankings
Wills, Craig - 2023
The Integrated Postsecondary Data System contains a rich set of information about U.S. colleges and universities. As part of this information, institutions can identify a ``custom comparison group'' of peer institutions. 80% of the nearly 1500 institutions we consider in this work provided such...
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Contrasts in Cumulative Causation : Its Eclectic Conceptual Foundations and Main Derivative Features
Wang, Xuzheng - 2023
This paper evaluates the basic principles of the cumulative causation concept and why it is thus vital to our understanding of uneven regional development and its impact on economic geography. Moreover, this paper examines how it differs from different mechanisms that plan to interpret how...
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Optimal Risk Management with Reinsurance and its Counterparty Risk Hedging
Huang, Yuxia; Chi, Yichun; Hu, Tao - 2023
In this paper, we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument, where the reinsurance premium is calculated by the...
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A generalized model for pricing financial derivatives consistent with efficient markets hypothesis : a refinement of the black-scholes model
Lindgren, Jussi - In: Risks : open access journal 11 (2023) 2, pp. 1-5
This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate. An argument is put forward, based on the efficient market hypothesis, why a proper risk-adjusted discount rate should...
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Machine learning applications for the valuation of options on non-liquid option markets
Witzany, Jiří; Fičura, Milan - 2023
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Essays in derivatives markets
Mörke, Mathis - 2023
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The missing tail risk in option prices
Brown, Jason P.; Melek, Nida Çakır; Matschke, Johannes; … - 2023
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Price Discovery and Liquidity in the Credit Default Swap Market
Clark, Ephraim; Lin, Ming-Tsung; Mitra, Sovan - 2023
The inefficient pricing of the CDS (credit default swap) market has been considered as one of the main causes of the Global Financial Crisis. As price discovery is theoretically related to liquidity, this has been considered a source of mispricing in this over-the-counter market. However the CDS...
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A New Interpretation and Derivation of the Swaps Index
Surana, Khushboo; Cosaert, Sam - 2023
The Swaps index (Apesteguia and Ballester, 2015) is a popular measure of rationality in the revealed preferences literature. In this note, we show a connection between the Swaps index and the Kemeny rule, a well-known method of preference aggregation in social choice theory. Our new...
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To Hedge or Not to Hedge : The Impact of ASU 2017-12 on Banks’ Hedging Activities and Earnings Volatility
Albrahimi, Albian - 2023
On August 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU) is intended to improve accounting for hedging activities and enhance derivative usage transparency. In this paper, I examine whether banks change the accounting designation of derivatives...
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Private Enforcement and EU Market Abuse Regulation : A Discussion on Direct (Class) Actions and Derivative Actions
Zouridakis, Georgios; Papadopoulos, Thomas - 2023
Within the past decade, the EU has made significant steps in strengthening and harmonising the legal framework of capital markets. Despite passing and amending secondary legislation on this topic, it only partially addressed the issue of enforcement, leaving private enforcement an issue for its...
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The Effects of the Libor Scandal on Volatility and Liquidity in Libor Futures Markets
Bachmair, Kilian - 2023
In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...
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Analytic CDO Tranche Price Formula
Navin, Robert L. - 2023
I present an analytical formula for the value of the jth tranche (of N tranches) that grants the holder ownership of the jth bond to default for the simplest case of a collateralized debt obligation (CDO) backed by N (typically 125 for many actual securities) zero-coupon bonds that all have the...
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Fundamentals of Perpetual Futures
He, Songrun; Manela, Asaf; Ross, Omri; von Wachter, Victor - 2023
Perpetual futures -- swap contracts that never expire -- are by far the most popular derivative traded in cryptocurrency markets, with more than $100 billion traded daily. Perpetuals provide investors with leveraged exposure to cryptocurrencies, which does not require rollover or direct...
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Accounting for Derivatives and Income Smoothing via Discretionary Accruals : The Role of Hedge Effectiveness and Market Volatility
Tessema, Abiot Mindaye; Deumes, Rogier - 2023
Motivated by the continued debate about the costs and benefits of mandatory recognition and disclosure of derivative instruments and hedging activities as required by Statement of Financial Accounting Standard No. 133 (SFAS 133), we investigate whether SFAS 133 influences firms' income smoothing...
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Derivatives and Foreign Currency : Concept and Common Transaction
Rumendong, Jennifer; Hogianto, Marselinus Adry; Axel, Samuel - 2023
In everyday life, people in general often carry out transactions either directly or indirectly. The following will be studied in this paper regarding derivative transactions and foreign currency, this is due to the lack of knowledge of the Indonesian people about the derivative transactions...
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Forecasting Intraday Volatility : Evidence from China Gold Futures Market
Ye, Chuxin; Luo, Xingguo; Xue, Yinsong; Lv, Jiamin - 2023
This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV in the last half an hour before the day trading close (LH), we decompose the whole trading period into several intervals. RVs in day trading intervals can predict the RV in LH,...
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The Information Content of Wheat Derivatives Regarding the Ukrainian War
Branger, Nicole; Hanke, Michael; Weissensteiner, Alex - 2023
We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we...
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The Correlation Between Options Derivatives and Financial Performance of Selected Listed Commercial Banks In Kenya
Fathil, Purity; Banafa, Abdulkadir - 2023
The financial sector globally faces challenges informed of financial risks that this desktop study looked into from a Kenyan perspective. The derivatives have been used to manage these financial risks to mention but a few, tariff wars, block-chain, quantum computing, the existence of shadow...
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The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets
Bachmair, Kilian - 2023
In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...
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A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
Da Fonseca, José; Gottschalk, Katrin - 2023
This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in...
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Impacts of Daily Price Limits on Option Pricing
Bloch, Daniel Alexandre - 2023
When pricing options, correctly modelling the dynamics of the underlying stock process, by accounting for all market specificities, is a challenge. In the case of daily price limits, the difficulties arise due to the market boundary conditions restricting the dynamics of stock prices within a...
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Speculative Financial Innovation
Cao, Huining Henry; Ou-Yang, Hui; Ye, Dongyan; Zhang, … - 2023
We analyze how speculative financial innovation affects stock prices, risk premiums, market liquidity, and investor welfare in an economy with heterogeneous beliefs. When investors disagree about the covariance of the newly introduced stocks with the original stocks, we show that financial...
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Investors' Responses to Macro-Economic News : The Role of Mandatory Derivatives and Hedging Activities Disclosure
Tessema, Abiot Mindaye; Rubbaniy, Ghulame - 2023
Design/methodology/approach: This study uses data on all U.S. public firms over the period from 1990 to 2019. The authors mainly apply multivariate regression and a difference-in-difference approach to test their hypotheses.Purpose: The purpose of this study is to investigate how changes in the...
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Optimal measure preserving derivatives revisited
Beare, Brendan K. - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 370-388
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Estimates of derivatives of (log) densities and related objects
Pinkse, Joris; Schurter, Karl - In: Econometric theory 39 (2023) 2, pp. 321-356
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Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian; Wu, Yuexiang; Zhang, Aihua - In: Quantitative finance 23 (2023) 4, pp. 677-692
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Smart derivative contracts in DatalogMTL
Bellomarini, Luigi; Ceri, Stefano; Laurenza, Eleonora - 2023
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Granular corporate hedging under dominant currency
Alfaro, Laura; Calani, Mauricio; Varela, Liliana - 2023
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Granular corporate hedging under dominant currency
Alfaro, Laura; Calani, Mauricio; Varela, Liliana - 2023
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Value relevance of financial risk disclosures
Silva, Aline Moura Costa da; Barbosa, Alexandro - In: Journal of capital markets studies 7 (2023) 1, pp. 22-37
Purpose - The objective of the present study is to examine the value relevance of accounting information presented by Brazilian banks. Design/methodology/approach - The studied sample derived from Brazil’s Stock Exchange, B3, under the banking segment, resulting in a group of 24 publicly...
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Delta hedging bitcoin options with a smile
Alexander, Carol; Imeraj, Arben - In: Quantitative finance 23 (2023) 5, pp. 799-817
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Analytical view of pricing weather and freight derivatives : 1950-2020
Sekhar, G. V. Satya - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-19
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Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)
Bauer, Daniel - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 208-211
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Trading and liquidity in the catastrophe bond market
Hibbeln, Martin - In: The journal of risk & insurance 90 (2023) 2, pp. 283-328
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Derivative margin calls : a new driver of MMF flows
Ghio, Maddalena; Rousová, Linda; Salakhova, Dilyara; … - 2023
During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors' liquidity needs related to derivative margin payments....
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Bank private information in CDS markets
Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023
Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...
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Persistent link: https://ebtypo.dmz1.zbw/10014315233
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Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel; Girón, Luis Eduardo - In: Computational economics 61 (2023) 4, pp. 1545-1560
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The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets
Bachmair, Kilian - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013530819
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BeVIXed: trading fear in the volatility complex
Varadarajan, Chakravarthy; Schenk-Hoppé, Klaus Reiner - In: Risks : open access journal 11 (2023) 5, pp. 1-18
We explain the evolution of the volatility market and present the infamous day of 'Volmageddon' as an insightful case study. Our survey focuses on the pricing and trading of volatility linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order...
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Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning; Gong, Yujing; Xue, Xiaohan - In: The journal of futures markets 43 (2023) 10, pp. 1332-1372
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A new fractional mathematical model to study the impact of vaccination on COVID-19 outbreaks
Shyamsunder; Bhatter, S.; Jangid, K.; Abidemi, A. - In: Decision analytics journal 6 (2023), pp. 1-13
This study proposes a new fractional mathematical model to study the impact of vaccination on COVID-19 outbreaks by categorizing infected people into non-vaccinated, first dose-vaccinated, and second dose-vaccinated groups and exploring the transmission dynamics of the disease outbreaks. We...
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Limits of arbitrage and primary risk-taking in derivative securities
Wu, Liuren - In: Review of asset pricing studies : RAPS 13 (2023) 3, pp. 405-439
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Inflation-Adjusted Bonds, Swaps and Derivatives
Jarrow, Robert A.; Yildirim, Yildiray - 2023
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
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Robust Risk-Aware Option Hedging
Wu, David; Jaimungal, Sebastian - 2023
The objectives of option hedging/trading extend beyond mere protection against downside risks, with a desire to seek gains also driving agent's strategies. In this study, we showcase the potential of robust risk-aware reinforcement learning (RL) in mitigating the risks associated with...
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VIX Derivatives : Valuation Models and Empirical Evidence
Lo, Chien-Ling; Shih, Pai-Ta; Wang, Yaw-Huei; Yu, Min‐Teh - 2023
This study investigates the value of two variance components and variance jumps in the pricing of VIX derivatives. In an attempt to significantly reduce the computational burden, we propose an efficient numerical technique for the pricing of VIX derivatives under the affine framework. Our...
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Learning The Pricing Kernel : Applications To Option Pricing
Bloch, Daniel Alexandre - 2023
We seek to estimate a portfolio of option prices in an entirely data driven way, at any future time, for trading and risk management purposes in a model independent way. We do not know the model driving the dynamics of the actual stock prices, but only observe discretely their evolution in the...
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