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Displaying results 1 to 14 of 14.

  1. Learning to smile
    can rational learning explain predictable dynamics in the implied volatility surface?
    Author: Bernales, Alejandro; Guidolin, Massimo
    Published: [2015]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: December, 2015
    Series: Working paper series / IGIER ; n. 565
    Subjects: option pricing; rational learning; Bayesian updating; implied volatility; predictability
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  2. Commodity spread option pricing and the economic fundamentals of crack spreads
    Author: Kolpakov, Ilya
    Published: 2014
    Publisher:  EPFL, Lausanne

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    EPFL No 6358
    Subjects: Benzin; Erdöl; Rohstoffpreis; Optionspreistheorie; Korrelation; Volatilität; Statistische Verteilung; Saisonkomponente; Angebot; Nachfrage; commodities; spread options; option pricing; correlation; volatility; Wishart process; seasonality; supply and demand; gasoline; crude oil
    Scope: Online-Ressource (XIII,131 S.), graph. Darst.
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    Zugriff auf den Volltext nur für Mitarbeitende der herausgebenden Institution

    Lausanne, Ecole Polytechnique Fédérale, Diss., 2014
  3. Fixed-income pricing in a non-linear interest-rate model
    Author: Renne, Jean-Paul
    Published: 2014
    Publisher:  Banque de France, Paris

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / Banque de France ; 517
    Subjects: yield curve; option pricing; regime switching; market expectations
    Scope: Online-Ressource (39 S.), graph. Darst.
    Notes:

    Zsfassung in franz. Sprache
  4. Options embedded in ECB targeted refinancing operations
    Author: Renne, Jean-Paul
    Published: 2014
    Publisher:  Banque de France, Paris

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / Banque de France ; 518
    Subjects: unconventional monetary policy; option pricing; TLTRO
    Scope: Online-Ressource (22 S.), graph. Darst.
    Notes:

    Zsfassung in franz. Sprache
  5. GARCH option pricing models with Meixner innovations
    Author: Fengler, Matthias; Melnikov, Alexander
    Published: Feb 2017
    Publisher:  School of Economics and Political Science, Department of Economics, University of St.Gallen, St. Gallen

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / University of St.Gallen, School of Economics and Political Science, Department of Economics ; no. 2017, 02 (February 2017)
    Subjects: GARCH models; Meixner distribution; Esscher transform; option pricing
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  6. Reduced basis methods for option pricing and calibration
    Author: Burkovska, Olena
    Published: 2016

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    Universitätsbibliothek Braunschweig
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: reduced basis methods; model reduction; variational inequalities; option pricing
    Scope: 1 Online-Ressource (circa 162 Seiten), Illustrationen
    Notes:

    Dissertation, Technische Universität München, 2016
  7. Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility
    Author: Sushko, Stepan S.
    Published: 2021

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    Universitätsbibliothek Braunschweig
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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  8. The geometry of risk adjustments
    Author: Bermin, Hans-Peter; Holm, Magnus
    Published: [2021]
    Publisher:  Lund University, School of Economics and Management, [Lund]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Knut Wicksell working paper ; 2021, 2
    Subjects: Jensen’s alpha; Kelly criterion; market price of risk; option pricing; geometry
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  9. Endogenous option pricing
    Author: Gamba, Andrea; Saretto, Alessio
    Published: March 2022
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2202
    Subjects: option pricing; risk-neutral skewness; growth options; leverage; investments
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  10. Louis Bachelier's Théorie de la speculation
    the missing piece in Walras' general equilibrium
    Author: El Karoui, Nicole; Parent, Antoine; Pradier, Pierre-Charles
    Published: [2022]
    Publisher:  Centre d'économie de la Sorbonne, Paris

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documents de travail du Centre d'économie de la Sorbonne ; 2022, 19
    Subjects: general equilibrium; financial markets; option pricing; Bachelier; Walras
    Scope: 1 Online-Ressource (circa 23 Seiten)
  11. Understanding jumps in high frequency digital asset markets
    Author: Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang
    Published: [2021]
    Publisher:  International Research Training Group 1792, Berlin

    While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset... more

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    While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction. This provides fundamental research for crypto option pricing models. However, we need better econometric methods for capturing the specific market microstructure of cryptos. All calculations are reproducible via the quantlet.com technology.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/246490
    Series: IRTG 1792 discussion paper ; 2021, 019
    Subjects: jumps; market microstructure noise; high frequency data; cryptocurrencies; CRIX; option pricing
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  12. Pricing the exotic: path-dependent american options with stochastic barriers
    Author: Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; Garriga, Carlos
    Published: [2021]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 468
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Borradores de economía ; no. 1156 (2021)
    Subjects: option pricing; exotic currency options; ratchet options; Asian options; American options; Barrier options; Weighted Time Value methodology; Least Squares Monte Carlo
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  13. Volatility bursts
    a discrete-time option model with multiple volatility components
    Author: Lilla, Francesca
    Published: [2021]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1336 (June 2021)
    Subjects: volatility bursts; ARG-zero; option pricing; Kalman filter; realized volatility
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  14. Persuasion and matching: optimal productive transport
    Author: Kolotilin, Anton; Corrao, Roberto; Wolitzky, Alexander
    Published: [2023]
    Publisher:  [School of Economics, the University of New South Wales], [Sydney, NSW, Australia]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Discussion papers / School of Economics, the University of New South Wales ; no. 2023, 12]
    Subjects: Bayesian persuasion; information design; first-order approach; optimal transport; duality; complementary slackness; pairwise signal; single-dipped signal; negative assortative disclosure; club economies; option pricing; gerrymandering
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen