Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Sven T. von Boetticher"'
Publikováno v:
The North American Journal of Economics and Finance. 38:148-162
In this paper we derive an expression for the local volatility of an underlying asset, given the prices of liquid European call options under the Piterbarg framework. The Piterbarg framework is a multi-curve derivative pricing model which extends the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::78abc3fdd8bf35763bb9d5943afa52d3
https://doi.org/10.1016/j.najef.2016.09.002
https://doi.org/10.1016/j.najef.2016.09.002
Publikováno v:
Procedia Economics and Finance. 24:344-352
This paper addresses a question that was raised at the ICOAE 2014, 3-5 July, Chania, Island of Crete, Greece: how do the volatility skews for the BRICS countries generated by the Risk Neutral Historic Distribution model compare to those generated by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::817a5bd7b4d81ae787973237d256aef0
https://doi.org/10.1016/s2212-5671(15)00676-0
https://doi.org/10.1016/s2212-5671(15)00676-0
Publikováno v:
Procedia Economics and Finance. 24:501-510
In this paper the inter-market relationship between the South African Rand and the 5 main indices of the Johannesburg Stock Exchange was investigated. The dataset used in this paper was the daily closing values, from January 2002 to end September 201
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::320201f40eaf9b859c2917d5b70e603b
Publikováno v:
Procedia Economics and Finance. 14:263-272
The shapes of volatility skews of an index on a securities exchange can describe the volatility and liquidity of a local market. However the volatility skews of various exchanges are not made public and as a result alternative means need to be employ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::256f51ad02471ed50eec0f03f30bd804
Publikováno v:
Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9392ee2883adc9d6ee1e70c18bd60aff
https://doi.org/10.2991/icefs-17.2017.4
https://doi.org/10.2991/icefs-17.2017.4
Autor:
Sven T. von Boetticher, Jordy Bolton
Publikováno v:
Procedia Economics and Finance. :83-92
The aim of this paper is to discuss the presence of stock price momentum post the 2008 credit crisis and explore its implications for market participants in South Africa. This study investigates whether momentum was evident on the JSE from 2009 to 20
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2b41fa98a22045f425aeec5dd7f78314