Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market.
- Published in:
- Emerging Markets Finance & Trade, 2018, v. 54, n. 11, p. 2516, doi. 10.1080/1540496X.2018.1456917
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- Publication type:
- Article
Works matching DE "MATHEMATICAL models of derivative securities"
Results: 58
1
2
Information Content in Sneer Asymmetry: An Application to Out-of-Sample Implied Volatility Forecasting.
- Published in:
- Emerging Markets Finance & Trade, 2015, v. 51, p. 34, doi. 10.1080/1540496X.2015.1039900
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- Publication type:
- Article
3
Asia-Pacific Stock Return Predictability and Market Information Flows.
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- Emerging Markets Finance & Trade, 2015, v. 51, n. 3, p. 658, doi. 10.1080/1540496X.2015.1046336
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- Publication type:
- Article
4
Volterra equation for pricing and hedging in a regime switching market.
- Published in:
- Cogent Economics & Finance, 2014, v. 2, n. 3, p. 1
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- Publication type:
- Article
5
SIMPLE CHOOSER OPTIONS WITH MAPLE.
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- Technical Transactions / Czasopismo Techniczne, 2014, n. 17, p. 39
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- Publication type:
- Article
6
Hedging Barrier Options in GARCH Models with Transaction Costs.
- Published in:
- Australian & New Zealand Journal of Statistics, 2015, v. 57, n. 3, p. 301, doi. 10.1111/anzs.12120
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- Publication type:
- Article
7
Investor sentiment and risk appetite of real estate security market.
- Published in:
- Applied Economics, 2013, v. 45, n. 19, p. 2801, doi. 10.1080/00036846.2012.681028
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- Publication type:
- Article
8
Worst-Case Value at Risk of Nonlinear Portfolios.
- Published in:
- Management Science, 2013, v. 59, n. 1, p. 172, doi. 10.1287/mnsc.1120.1615
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- Publication type:
- Article
9
A Market Volatility Analysis of the Shanghai-Hong Kong Stock Connect Program.
- Published in:
- International Journal of Business & Economics, 2018, v. 17, n. 2, p. 113
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- Publication type:
- Article
10
On the Parametric Interest of the Option Price from the Black-Scholes Equation.
- Published in:
- IAENG International Journal of Applied Mathematics, 2016, v. 46, n. 1, p. 87
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- Publication type:
- Article
11
Think again: volatility asymmetry and volatility persistence.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2019, v. 23, n. 1, p. N.PAG, doi. 10.1515/snde-2017-0020
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- Publication type:
- Article
12
Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model.
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- Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 55, doi. 10.1007/s10690-010-9120-6
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- Publication type:
- Article
13
Pricing futures by deterministic methods.
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- Acta Numerica, 2012, v. 21, p. 577, doi. 10.1017/S0962492912000074
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- Publication type:
- Article
14
The Peculiar Logic of the Black-Scholes Model.
- Published in:
- Philosophy of Science, 2018, v. 85, n. 5, p. 1152, doi. 10.1086/699677
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- Publication type:
- Article
15
RESEARCH OF VALUE-AT-RISK ESTIMATION APPLICATION IN STOCK MARKET BASED ON COPULA THEORY.
- Published in:
- Journal of the Balkan Tribological Association, 2016, v. 22, n. 2A-I, p. 1804
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- Publication type:
- Article
16
SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY.
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- Finanse, 2015, v. 11, n. 1, p. 32, doi. 10.14636/1734-039X_11_1_004
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- Publication type:
- Article
17
Estimativas de Longo Prazo para Volatilidade de Séries Temporais no Mercado Financeiro Brasileiro.
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- Brazilian Review of Finance / Revista Brasileira de Finanças, 2013, v. 11, n. 4, p. 455, doi. 10.12660/rbfin.v11n4.2013.8187
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- Publication type:
- Article
18
Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests.
- Published in:
- Peace Economics, Peace Science, & Public Policy, 2014, v. 20, n. 2, p. 267, doi. 10.1515/peps-2013-0050
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- Publication type:
- Article
19
Stochastic Models for Pricing Weather Derivatives using Constant Risk Premium.
- Published in:
- Journal of the Iranian Statistical Society, 2018, v. 17, n. 2, p. 37, doi. 10.29252/jirss.17.2.4
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- Publication type:
- Article
20
The Forecasting Ability of GARCH Models for the 2003-07 Crisis: Evidence from S&P500 Index Volatility.
- Published in:
- Lahore Journal of Business, 2012, v. 1, n. 1, p. 37, doi. 10.35536/ljb.2012.v1.i1.a3
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- Publication type:
- Article
21
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.
- Published in:
- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 6, p. -1, doi. 10.1142/S0219024917500376
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- Publication type:
- Article
22
ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES.
- Published in:
- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 5, p. -1, doi. 10.1142/S0219024916500308
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- Publication type:
- Article
23
Testing for Nonlinear Dependence in the Credit Default Swap Market.
- Published in:
- Economics Research International, 2011, p. 1, doi. 10.1155/2011/708704
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- Publication type:
- Article
24
A backward Monte Carlo approach to exotic option pricing.
- Published in:
- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079
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- Publication type:
- Article
25
Lessons learned from AQR: Essential elements of the model review process.
- Published in:
- Journal of Risk Management in Financial Institutions, 2014, v. 8, n. 1, p. 76
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- Publication type:
- Article
26
Shifts in Individual Parameters of a GARCH Model.
- Published in:
- Journal of Financial Econometrics, 2010, v. 8, n. 1, p. 122, doi. 10.1093/jjfinec/nbp007
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- Publication type:
- Article
27
A Comparative Analysis of Crank-Nicolson Scheme between Finite Volume Method and Finite Difference Method for Pricing European Option.
- Published in:
- Ganit: Journal of Bangladesh Mathematical Society, 2022, v. 42, n. 2, p. 1, doi. 10.3329/ganit.v42i2.68017
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- Publication type:
- Article
28
Regime-dependent Characteristics of KOSPI Return.
- Published in:
- Communications for Statistical Applications & Methods, 2014, v. 21, n. 6, p. 501, doi. 10.5351/CSAM.2014.21.6.501
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- Publication type:
- Article
29
ON A GJR-GARCH MODEL WITH THE STANDARDIZED PEARSON TYPE IV DISTRIBUTION.
- Published in:
- Global Business & Economics Anthology, 2014, v. 1, p. 73
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- Publication type:
- Article
30
Forecasting the variance and return of Mexican financial series with symmetric GARCH models.
- Published in:
- Theoretical & Applied Economics, 2013, v. 20, n. 3, p. 61
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- Publication type:
- Article
31
Investors' and Central Bank's Uncertainty Embedded in Index Options.
- Published in:
- Review of Financial Studies, 2014, v. 27, n. 6, p. 1661, doi. 10.1093/rfs/hhu024
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- Publication type:
- Article
32
Economic Linkages, Relative Scarcity, and Commodity Futures Returns.
- Published in:
- Review of Financial Studies, 2013, v. 26, n. 5, p. 1324, doi. 10.1093/rfs/hhs127
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- Publication type:
- Article
33
What's Vol Got to Do with It.
- Published in:
- Review of Financial Studies, 2011, v. 24, n. 1, p. 1, doi. 10.1093/rfs/hhq085
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- Publication type:
- Article
34
Editor's Letter.
- Published in:
- Journal of Derivatives, 2024, v. 31, n. 4, p. 1, doi. 10.3905/jod.2024.31.4.001
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- Publication type:
- Article
35
On the Term Structure of VIX Futures' Implied Convexity.
- Published in:
- Journal of Derivatives, 2023, v. 30, n. 3, p. 10, doi. 10.3905/jod.2022.1.170
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- Publication type:
- Article
36
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation.
- Published in:
- Journal of Derivatives, 2023, v. 30, n. 3, p. 42, doi. 10.3905/jod.2022.1.175
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- Publication type:
- Article
37
Improving and Extending the Wu-Zhu Static Hedge.
- Published in:
- Journal of Derivatives, 2023, v. 30, n. 3, p. 26, doi. 10.3905/jod.2022.1.173
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- Publication type:
- Article
38
Untitled.
- Published in:
- Journal of Derivatives, 2023, v. 30, n. 3, p. 1, doi. 10.3905/jod.2023.30.3.001
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- Publication type:
- Article
39
Malliavin Derivatives of Derivative Securities.
- Published in:
- Journal of Derivatives, 2022, v. 30, n. 2, p. 65, doi. 10.3905/jod.2022.30.2.065
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- Publication type:
- Article
40
Handling the Use of Derivatives in Performance Attribution.
- Published in:
- Journal of Derivatives, 2022, v. 29, n. 4, p. 121, doi. 10.3905/jod.2022.1.154
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- Publication type:
- Article
41
Model-Based versus Model-Free Implied Volatility: Evidence from North American, European, and Asian Index Option Markets.
- Published in:
- Journal of Derivatives, 2017, v. 24, n. 3, p. 42, doi. 10.3905/jod.2017.24.3.042
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- Publication type:
- Article
42
Option Pricing via QUAD: From Black-Scholes-Merton to Heston with Jumps.
- Published in:
- Journal of Derivatives, 2017, v. 24, n. 3, p. 9, doi. 10.3905/jod.2017.24.3.009
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- Publication type:
- Article
43
An Option-Based Model for Valuing the Common Stock of Emerging-Growth Firms.
- Published in:
- Journal of Derivatives, 2016, v. 23, n. 4, p. 33, doi. 10.3905/jod.2016.23.4.033
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- Publication type:
- Article
44
The Valuation of Compound Options: A Correction and an Extension.
- Published in:
- Journal of Derivatives, 2015, v. 22, n. 4, p. 92, doi. 10.3905/jod.2015.22.4.092
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- Publication type:
- Article
45
What We Can Learn from Pricing 139,879 Individual Stock Options.
- Published in:
- Journal of Derivatives, 2015, v. 22, n. 4, p. 54, doi. 10.3905/jod.2015.22.4.054
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- Publication type:
- Article
46
GARCH Option Valuation: Theory and Evidence.
- Published in:
- Journal of Derivatives, 2013, v. 21, n. 2, p. 8, doi. 10.3905/jod.2013.21.2.008
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- Publication type:
- Article
47
Ross recovery with recurrent and transient processes.
- Published in:
- Quantitative Finance, 2016, v. 16, n. 5, p. 667, doi. 10.1080/14697688.2015.1092572
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- Publication type:
- Article
48
A perturbative approach to Bermudan options pricing with applications.
- Published in:
- Quantitative Finance, 2013, v. 13, n. 2, p. 255, doi. 10.1080/14697688.2011.589400
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- Publication type:
- Article
49
ON SOME GENERALIZATION OF THE COX-ROSS-RUBINSTEIN MODEL AND ITS ASYMPTOTICS OF BLACK-SCHOLES TYPE.
- Published in:
- Bulletin de la Société des Sciences et des Lettres de Lodz, 2014, v. 64, n. 1, p. 25
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- Publication type:
- Article
50
Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model.
- Published in:
- Journal of International Trade & Economic Development, 2015, v. 24, n. 2, p. 201, doi. 10.1080/09638199.2014.889740
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- Publication type:
- Article