| Implied risk aversion : an alternative rating system for retail structured products
|
2019 |
Fink, Holger Maria |
| Option-implied Value-at-Risk and the cross-section of stock returns
|
2019 |
Ammann, Manuel |
| A general closed form option pricing formula
|
2019 |
Necula, Ciprian |
| Is trading in the shortest-term index options profitable?
|
2019 |
Pan, Ging-Ginq |
| Portfolio benefits of adding corporate credit default swap indices : evidence from North America and Europe
|
2019 |
Hippert, Benjamin |
| Dissecting the tracking performance of regular and leveraged VIX ETPs
|
2019 |
Tang, Hongfei |
| Pricing cross-currency interest rate swaps under the Levy market model
|
2019 |
Wang, Ming-Chieh |
| Empirical performance of reduced-form models for emission permit prices
|
2019 |
Hitzemann, Steffen |
| Valuation of an option using non-parametric methods
|
2019 |
Chiang, Shu Ling |
| Pricing VIX derivatives with free stochastic volatility model
|
2019 |
Lin, Wei |
| Pricing and risk of swing contracts in natural gas markets
|
2019 |
Kohrs, Hendrik |
| A multivariate stochastic volatility model with applications in the foreign exchange market
|
2018 |
Escobar, Marcos |
| The determinants of CDS spreads : evidence from the model space
|
2018 |
Pelster, Matthias |
| Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
|
2018 |
Gerer, Johannes |
| Pricing exotic options in a regime switching economy : a Fourier transform method
|
2018 |
Hieber, Peter |
| Risk-adjusted option-implied moments
|
2018 |
Brinkmann, Felix |
| The pricing kernel puzzle in forward looking data
|
2018 |
Cuesdeanu, Horatio |
| Dynamic hedging with futures : a copula-based GARCH model with high-frequency data
|
2018 |
Lai, Yu-Sheng |
| Did crisis alter trading of two major oil futures markets?
|
2018 |
Adeinat, Iman |
| GARCH option pricing models with Meixner innovations
|
2018 |
Fengler, Matthias |
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