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This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply two set
Externí odkaz:
http://epub.wu.ac.at/258/1/document.pdf
Publikováno v:
In Journal of Financial Stability April 2018 35:136-158
Publikováno v:
In Journal of Financial Stability April 2018 35:53-74
Publikováno v:
In Journal of Financial Economics May 2015 116(2):237-256
Publikováno v:
In Journal of Financial Stability August 2014 13:118-133
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::4c57acdc70a93a0ed6f1c4a80f8b039d
https://hdl.handle.net/10419/201526
https://hdl.handle.net/10419/201526
Autor:
Clerc, Laurent, Giovannini, Alberto, Langfield, Sam, Peltonen, Tuomas, Portes, Richard, Scheicher, Martin
Publikováno v:
Recercat. Dipósit de la Recerca de Catalunya
instname
Repositorio Digital de la UPF
Universitat Pompeu Fabra
Recercat: Dipósit de la Recerca de Catalunya
Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Dipòsit Digital de Documents de la UAB
Universitat Autònoma de Barcelona
instname
Repositorio Digital de la UPF
Universitat Pompeu Fabra
Recercat: Dipósit de la Recerca de Catalunya
Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Dipòsit Digital de Documents de la UAB
Universitat Autònoma de Barcelona
with substantial contributions from Iñaki Aldasoro, Silvia Gabrieli, Henrik Hansen,Alex Hodbod, Heinrich Kick, Falk Mazelis and Guillaume Vuillemey An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic would inves
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9ea5c2b081a255716765c78e4492d46f
http://hdl.handle.net/10230/35502
http://hdl.handle.net/10230/35502
Autor:
Oberst, Ulrich1 ulrich.oberst@uibk.ac.at, Scheicher, Martin1 martin.scheicher@uibk.ac.at
Publikováno v:
Mathematics of Control, Signals & Systems. Jun2014, Vol. 26 Issue 2, p215-258. 44p.
Autor:
Scheicher, Martin1 martin.scheicher@uibk.ac.at
Publikováno v:
Mathematics of Control, Signals & Systems. Dec2008, Vol. 20 Issue 4, p305-319. 15p. 1 Diagram.