| 1. | Options Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities
Publishing author: DAVID Alexander
Co-author(s): VERONESI Pietro
Working paper (2002 - Olin School of Business - Washington University in St. Louis) - English
Online since 2003.02.12 at 01:52:41 - 388 download(s) - 3
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 706 Ko) - Zip version (536 Ko) |
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| 2. | Pricing and hedging variance and volatility swaps
Publishing author: JACQUIER Antoine
Co-author(s):
Master's thesis (2005 - Université Paris X) - English
Online since 2006.06.13 at 15:04:08 - 570 download(s) - 3
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 1665 Ko) - Zip version (1607 Ko) |
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| 3. | Valuation of inflation swap volatility under a market model and pricing of real yield options
Publishing author: BENHAMOU Eric
Co-author(s): BELGRADE Nabyl / KHLIF Yosr
Working paper (2004 - IXIS CIB) - English
Online since 2004.11.06 at 10:42:21 - 412 download(s) - 3
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 303 Ko) - Zip version (273 Ko) |
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| 4. | Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets
Publishing author: AUDRINO Francesco
Co-author(s): TROJANI Fabio
Working paper (2003) - English
Online since 2003.02.13 at 14:46:51 - 174 download(s) - 3
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 613 Ko) - Zip version (534 Ko) |
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| 5. | Swaps de volatilité et modélisation GARCH : Evaluation et application à l'indice TMP du marché financier marocain (Volatility swaps and GARCH modeling: Pricing and application to Moroccan financial market)
Publishing author: MRAOUA Mohammed (http://mraoua.orgfree.com)
Co-author(s):
Working paper (2003) - French
Online since 2006.02.28 at 13:00:21 - 180 download(s) - 2
rating(s) - Average rating (/5): 3
Abstract (Abstract in English) | Download (pdf - 512 Ko) - Zip version (469 Ko) |
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| 6. | Investibility and Return Volatility
Publishing author: BAE Kee-Hong
Co-author(s): CHAN Kalok / NG Angela
Journal article (2002 - Journal of Financial Economics) - English
Online since 2002.11.14 at 03:46:52 - 262 download(s) - 4
rating(s) - Average rating (/5): 3
Abstract | Download (pdf - 283 Ko) - Zip version (265 Ko) |
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| 7. | Interaction of Investor Trades and Market Volatility:Aggregate Evidence from the Tokyo Stock Exchange
Publishing author: BAE Kee-Hong
Co-author(s): ITO Keiichi / YAMADA Takeshi
Working paper (2002 - Korea University) - English
Online since 2002.10.29 at 04:55:17 - 114 download(s) - 2
rating(s) - Average rating (/5): 2
Abstract | Download (pdf - 319 Ko) - Zip version (297 Ko) |
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| 8. | THE SIMPLE LONG VOLATILITY TRADE
Publishing author: CHATURVEDI Varish
Co-author(s):
Working paper (2004 - D I University) - English
Online since 2006.08.09 at 09:47:25 - 73 download(s) - 1
rating(s) - Average rating (/5): 1
Abstract | Download (doc - 150 Ko) - Zip version (64 Ko) |
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| 9. | Equilibrium Valuation of Options on the Market Portfolio with Return Predictability and Stochastic Volatility
Publishing author: CAO Melanie
Co-author(s):
Working paper (2002 - York University) - English
Online since 2003.01.06 at 17:48:26 - 184 download(s) - 0
rating(s) - Average rating (/5):
Abstract | Download (pdf - 494 Ko) - Zip version (452 Ko) |
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| 10. | NEWS ANNOUNCEMENTS, MARKET ACTIVITY AND VOLATILITY IN THE EURO/DOLLAR FOREIGN EXCHANGE MARKET
Publishing author: BEN OMRANE Walid
Co-author(s): BAUWENS Luc / GIOT Pierre
Journal article (2003 - Journal of International Money and Finance, Forthcoming) - English
Online since 2003.12.22 at 15:45:29 - 140 download(s) - 0
rating(s) - Average rating (/5):
Abstract | Download (pdf - 425 Ko) - Zip version (386 Ko) |
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