- Quadratic variance swap models
2015/09/03 by Damir Filipović, Elise Gourier, Loriano Mancini · 1 citation
Economics, Econometrics and Finance · Mathematics · #Affine transformation #Econometrics #Economics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Implied volatility #Mathematics #Quadratic equation #Stochastic processes and financial applications #Variance (accounting) #Variance decomposition of forecast errors #Variance swap #Volatility (finance) #Volatility swap
- Relation between bid–ask spread, impact and volatility in order-driven markets
2007/12/14 by Matthieu Wyart, Jean–Philippe Bouchaud, Julien Kockelkoren +2 · 5 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Bid price #Bid–ask spread #Complex Systems and Time Series Analysis #Corporate Finance and Governance #Econometrics #Economics #Economy #Financial Markets and Investment Strategies #Financial economics #Implied volatility #Market liquidity #Market maker #Market microstructure #Monetary economics #Order (exchange) #Order book #Price discovery #Stock market #Volatility (finance)
- Idiosyncratic Volatility and Product Market Competition*
2006/11/01 by José‐Miguel Gaspar, Massimo Massa · 3 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Econometrics #Economics #Financial Markets and Investment Strategies #Financial economics #Implied volatility #Market Dynamics and Volatility #Market power #Microeconomics #Monetary economics #Product market #Stock (firearms) #Stock market #Systematic risk #Volatility (finance) #Volatility risk premium #Volatility smile #Volatility swap
- Selective hedging with market views and risk limits: the case of Hydro-Quebec
2004/11/08 by Simon Lalancette, Frank Leclerc, David Turcotte · 1 citation
Business, Management and Accounting · Economics, Econometrics and Finance · Engineering · Mathematics · #Actuarial science #Capital Investment and Risk Analysis #Econometrics #Economics #Engineering #Finance #Financial economics #Financial market #Implied volatility #Limit (mathematics) #Local volatility #Mathematics #Risk Management in Financial Firms #Risk premium #Sensitivity (control systems) #Stochastic processes and financial applications #Volatility (finance) #Volatility risk #Volatility risk premium
- Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects
2004/01/13 by Carol Alexander · 1 citation
Economics, Econometrics and Finance · Mathematics · #Binomial distribution #Econometrics #Economics #Financial Risk and Volatility Modeling #Implied volatility #Local volatility #Market Dynamics and Volatility #Mathematics #Physics #Statistics #Stochastic processes and financial applications #Term (time) #Volatility (finance) #Volatility smile
- Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility
2002/06/01 by John E. Core, John Core, Wayne Guay +1 · 21 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Accounting #Binary option #Capital Investment and Risk Analysis #Corporate Finance and Governance #Econometrics #Economics #Equity (law) #Explanatory power #Finance #Financial Reporting and Valuation Research #Financial economics #Implied volatility #Moneyness #Non-qualified stock option #Portfolio #Restricted stock #Stock (firearms) #Stock market #Stock options #Valuation (finance) #Valuation of options #Volatility (finance)
- LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
2002/06/01 by Damiano Brigo, Fabio Mercurio · 3 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis #Log-normal distribution #Volatility (finance) #Econometrics #Asset (computer security) #Stochastic volatility #Market data #Volatility smile #Calibration #Implied volatility #Probability density function #Statistical physics #Mathematics #Economics #Computer science #Statistics #Physics
- The Economic Value of Volatility Timing
2001/02/01 by Jeff Fleming, Chris Kirby, Barbara Ostdiek · 5 citations
Economics, Econometrics and Finance · #Econometrics #Economics #Explanatory power #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Forward volatility #Implied volatility #Market Dynamics and Volatility #Microeconomics #Realized variance #Stochastic volatility #Transaction cost #Variance swap #Volatility (finance) #Volatility risk premium #Volatility swap
- Empirical Performance of Alternative Option Pricing Models
1997/12/01 by Gurdip Bakshi, Charles Cao, Zhiwu Chen · 38 citations
Economics, Econometrics and Finance · Mathematics · Social Sciences · #Capital Investment and Risk Analysis #Computer science #Consistency (knowledge bases) #Econometrics #Economics #Financial economics #Generalization #Implied volatility #Insurance, Mortality, Demography, Risk Management #Mathematics #SABR volatility model #Stochastic processes and financial applications #Stochastic volatility #Valuation of options #Volatility (finance) #Volatility smile #Volatility swap
- Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns
1994/06/01 by ROBERT F. WHITELAW, Robert Whitelaw · 1 citation
Economics, Econometrics and Finance · #Econometrics #Economics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Forward volatility #Implied volatility #Market Dynamics and Volatility #Volatility (finance) #Volatility risk premium