Zobrazeno 1 - 10
of 22
pro vyhledávání: '"HG0106"'
Autor:
Norman Seeger, Andreas Kaeck
Publikováno v:
European Journal of Operational Research, 283(2), 767-782. Elsevier
Kaeck, A & Seeger, N J 2020, ' VIX derivatives, hedging and vol-of-vol risk ', European Journal of Operational Research, vol. 283, no. 2, pp. 767-782 . https://doi.org/10.1016/j.ejor.2019.11.034
Kaeck, A & Seeger, N J 2020, ' VIX derivatives, hedging and vol-of-vol risk ', European Journal of Operational Research, vol. 283, no. 2, pp. 767-782 . https://doi.org/10.1016/j.ejor.2019.11.034
We study the empirical hedging performance of alternative VIX option pricing models. Recent advances in the literature find evidence of asymmetric volatility-of-volatility (similar to the leverage effect in equity markets), stochastic mean-reversion
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b65b52309a175d13e336d6700318bc8f
https://doi.org/10.1016/j.ejor.2019.11.034
https://doi.org/10.1016/j.ejor.2019.11.034
Autor:
Ross, Aleksandra
The aim of this thesis is to consider the degree to which biological systems and coupled oscillator networks, may be comparable in financial context, and to examine whether epidemiological models developed to explain the dynamics of infectious diseas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::756c23380273f59927e98643dce8961c
Autor:
Carol Alexander, Johannes Rauch
We classify all functions of multivariate stochastic processes having time-series estimates that are independent of data frequency. Such an estimator applied to high-frequency data may be used to infer properties of estimates relating to low-frequenc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::374a25be83b56d4ffa08f56e3629a531
http://sro.sussex.ac.uk/id/eprint/89186/1/EJOR_2020.pdf
http://sro.sussex.ac.uk/id/eprint/89186/1/EJOR_2020.pdf
Autor:
Yan, Xiufeng
This dissertation consists of three chapters investigating the modelling of financial tick-by-tick data. Financial research using high-frequency data have been very active during the last two decades. The financial mathematical modelling of the high
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::0bb8c3fbed3c9e2e8b85790afbe2862a
Autor:
Li, Hao
This thesis comprises two parts. First, we try to answer the question in a data analysis perspective, which financial factor is more relevant to the market capitalisation movements. Second, due to price boundaries imposed by the market regulators, ho
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::4516c959081bd6f5c67808843adf9a03
Publikováno v:
The Review of Financial Studies, 32(2), 646-687. Oxford University Press
Dubinsky, A, Johannes, M, Kaeck, A & Seeger, N J 2019, ' Option pricing of earnings announcement risks ', The Review of Financial Studies, vol. 32, no. 2, pp. 646-687 . https://doi.org/10.1093/rfs/hhy060
Dubinsky, A, Johannes, M, Kaeck, A & Seeger, N J 2019, ' Option pricing of earnings announcement risks ', The Review of Financial Studies, vol. 32, no. 2, pp. 646-687 . https://doi.org/10.1093/rfs/hhy060
This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we introduce reduced-form models and estimators to separate price uncertainty about earnings announ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd13c14685c838d3f628f487d4ef82d5
https://doi.org/10.1093/rfs/hhy060
https://doi.org/10.1093/rfs/hhy060
Publikováno v:
BIRD: BCAM's Institutional Repository Data
instname
instname
We consider a simplified model of the continuous double auction where prices are integers varying from $1$ to $N$ with limit orders and market orders, but quantity per order limited to a single share. For this model, the order process is equivalent t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba6ef4fcc6b730b081ecb00d20e11eb0
https://doi.org/10.1016/j.physa.2017.05.020
https://doi.org/10.1016/j.physa.2017.05.020
Autor:
Miles, James
The chosen title for my PhD thesis is "Numerical and optimal control methods for partial differential equations arising in computational finance". The body of my research is divided into two parts. The first part is devoted to the application of an a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::1a55523069111f78b95c93ae4b234797
Autor:
Han, Yang
This thesis contributes to the current literature in finance and economics by introducing new methods for forecasting and accuracy evaluation. First, we propose and develop a new multivariate distribution forecasting method. Second, we compare proper
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=core_ac_uk__::db3c2765cb9e3284f004f6f10a46be47
Publikováno v:
BIRD: BCAM's Institutional Repository Data
instname
instname
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other h
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9378f41d17f39dcaa97fbfe603e4104
https://hdl.handle.net/20.500.11824/927
https://hdl.handle.net/20.500.11824/927