| The binomial CEV model and the Greeks
|
2017 |
Cruz, Aricson |
| Differences in the prices of vulnerable options with different counterparties
|
2017 |
Wang, Xingchun |
| VIX exchange traded products : price discovery, hedging, and trading strategy
|
2017 |
Bordonado, Christoffer |
| Tail wags dog : intraday price discovery in VIX markets
|
2017 |
Bollen, Nicolas P. B. |
| The valuation of power exchange options with counterparty risk and jump risk
|
2017 |
Wang, Xingchun |
| Expanding the explanations for the return-volatility relation
|
2017 |
Talukdar, Bakhtear |
| Could the extended trading of CSI 300 Index futures facilitate its role of price discovery?
|
2017 |
Sohn, Sungbin |
| Sugar with your coffee? : fundamentals, financials, and softs price uncertainty
|
2017 |
Covindassamy, Genèvre |
| A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
|
2017 |
Lai, Yu-Sheng |
| Do trend following strategies work in Chinese futures markets?
|
2017 |
Li, Bin |
| Do scheduled macroeconomic announcements influence energy price jumps?
|
2017 |
Kam Fong Chan |
| Option pricing with threshold mean reversion
|
2017 |
Chi, Zeyu |
| Correlation and lead-lag relationships in a Hawkes microstructure model
|
2017 |
Fonseca, José da |
| AVIX : an improved VIX based on stochastic interest rates and an adaptive screening mechanism
|
2017 |
Zheng, Zhenlong |
| Index futures trading restrictions and spot market quality : evidence from the recent Chinese stock market crash
|
2017 |
Han, Qian |
| Variance risk premiums of commodity ETFs
|
2017 |
Tee, Chyng Wen |
| Option market characteristics and price monotonicity violations
|
2017 |
Yang, Heejin |
| Convenience yields in electricity prices : evidence from the natural gas market
|
2017 |
Milonas, Nikolaos T. |
| The zero lower bound and economic determinants of the volatility surface in the interest cap markets
|
2017 |
Kim, Myeong Hyeon |
| Anchoring and probability weighting in option prices
|
2017 |
DeLisle, R. Jared |
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