المؤلفون: RØmer, Sigurd Emil

المصدر: RØmer , S E 2022 , ' Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets 1 ' , Quantitative Finance , vol. 22 , no. 10 , pp. 1805-1838 . https://doi.org/10.1080/14697688.2022.2081592

مصطلحات موضوعية: Calibration, Multifactor volatility, Rough volatility, SPX options, VIX options

وصف الملف: application/pdf

الاتاحة: https://researchprofiles.ku.dk/da/publications/empirical-analysis-of-rough-and-classical-stochastic-volatility-models-to-the-spx-and-vix-markets1(e9f76380-6a7f-49bd-91ab-2e432fe2be55).html
https://doi.org/10.1080/14697688.2022.2081592
https://curis.ku.dk/ws/files/326732762/Empirical_analysis_of_rough_and_classical.pdf
http://www.scopus.com/inward/record.url?scp=85132102809&partnerID=8YFLogxK

المؤلفون: Bernis G., Brignone R., Scotti S., Sgarra C.

المساهمون: Bernis, G., Brignone, R., Scotti, S., Sgarra, C.

مصطلحات موضوعية: Exponential affine processes, Hawkes processes, Implied volatility for VIX options, Jump clusters, Leverage effect, Stochastic volatility, VIX

وصف الملف: ELETTRONICO

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000631765600001; volume:15; firstpage:747; lastpage:773; numberofpages:27; journal:MATHEMATICS AND FINANCIAL ECONOMICS; http://hdl.handle.net/11311/1175410; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85103219606

الاتاحة: http://hdl.handle.net/11311/1175410
https://doi.org/10.1007/s11579-021-00295-0

المؤلفون: Serafim, André Luís Ferreira

المساهمون: Bravo, Jorge Miguel Ventura, RUN

مصطلحات موضوعية: Volatility, VIX, Portfolio Selection, Diversification, Options, Straddle, Strangle, VIX options

وصف الملف: application/pdf

الاتاحة: http://hdl.handle.net/10362/30074

المؤلفون: Kaeck, Andreas, Seeger, Norman J.

المصدر: Kaeck , A & Seeger , N J 2020 , ' VIX derivatives, hedging and vol-of-vol risk ' , European Journal of Operational Research , vol. 283 , no. 2 , pp. 767-782 . https://doi.org/10.1016/j.ejor.2019.11.034

مصطلحات موضوعية: Hedging performance, Risk management, Stochastic volatility of volatility, VIX options

وصف الملف: application/pdf

الاتاحة: https://research.vu.nl/en/publications/b800f743-08d2-4010-a0c2-776d4366a6af
https://doi.org/10.1016/j.ejor.2019.11.034
https://hdl.handle.net/1871.1/b800f743-08d2-4010-a0c2-776d4366a6af
https://research.vu.nl/ws/files/126155294/VIX_derivatives_hedging_and_vol_of_vol_risk.pdf
http://www.scopus.com/inward/record.url?scp=85077374391&partnerID=8YFLogxK
http://www.scopus.com/inward/citedby.url?scp=85077374391&partnerID=8YFLogxK

المؤلفون: Barletta, Andrea, de Magistris, Paolo Santucci, Violante, Francesco

المصدر: Barletta , A , de Magistris , P S & Violante , F 2019 , ' A Non-Structural Investigation of VIX Risk Neutral Density ' , Journal of Banking & Finance , vol. 99 , pp. 1-20 . https://doi.org/10.1016/j.jbankfin.2018.11.012

مصطلحات موضوعية: VIX options, Orthogonal expansions, Risk-neutral moments, Volatility jumps, Volatility tail-risk

وصف الملف: application/pdf

الاتاحة: https://pure.au.dk/portal/da/publications/a-nonstructural-investigation-of-vix-risk-neutral-density(ca486cfb-3b0e-435c-80f1-8d2d6c9f7194).html
https://doi.org/10.1016/j.jbankfin.2018.11.012
https://pure.au.dk/ws/files/136703078/Barletta_2019_A_non_structural_investigation_of_vix_risk_neutral_density.pdf
http://www.sciencedirect.com/science/article/pii/S0378426618302528

المؤلفون: Jayaraman, Sarath Kumar

مصطلحات موضوعية: Long memory, Target volatility options, Economics, Statistics, Fractional GARCH, VIX options, FOS: Mathematics, Affine models, Inverse Gaussian GARCH, Education--Finance, Education--Mathematics, Variance-dependent pricing kernels, Heston-Nandi GARCH

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::b0508bce3ef1c7a4974765a285b6ec86

المؤلفون: Christa Cuchiero, Sara Svaluto-Ferro

المساهمون: Cuchiero, Christa, SVALUTO FERRO, Sara

مصطلحات موضوعية: Dual processes, Infinite-dimensional Markov processes, Forward variance models Rough volatility VIX options Signature process, Forward variance models, Rough volatility, VIX options, Polynomial processes, Signature process

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000625862800001; volume:25; issue:2; firstpage:383; lastpage:426; numberofpages:44; journal:FINANCE AND STOCHASTICS; http://hdl.handle.net/11562/1051764; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85102193388

الاتاحة: http://hdl.handle.net/11562/1051764

المؤلفون: Luo, X, Brenner, M, Zhang, J

مصطلحات موضوعية: SPX options, VIX options, VIX, Affine jump-diffusion

Relation: Annual Meeting of the Financial Management Association; The 2010 Annual Meeting of the Financial Management Association (FMA), New York, N.Y., 20-23 October 2010.; 189532; http://hdl.handle.net/10722/138309

الاتاحة: http://hdl.handle.net/10722/138309

المؤلفون: Barletta, Andrea, Santucci de Magistris, Paolo, Violante, Francesco

المصدر: Barletta , A , Santucci de Magistris , P & Violante , F 2016 ' Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach ' CREATES Research Paper , no. 2016-20 , Institut for Økonomi, Aarhus Universitet , Aarhus .

مصطلحات موضوعية: VIX options, orthogonal expansions, non-structural modeling, principal components

وصف الملف: application/pdf

الاتاحة: https://pure.au.dk/portal/da/publications/retrieving-riskneutral-densities-embedded-in-vix-options-a-nonstructural-approach(11b04194-7c24-4d6b-8b58-70d50a915b43).html
https://pure.au.dk/ws/files/101068557/rp16_20.pdf

المؤلفون: Yang-ho Park

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://federalreserve.gov/Pubs/feds/2013/201354/201354pap.pdf.

مصطلحات موضوعية: Volatility of volatility, tail risk, rare disaster, option returns, risk premiums, and VIX options

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.592.464; http://federalreserve.gov/Pubs/feds/2013/201354/201354pap.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.592.464
http://federalreserve.gov/Pubs/feds/2013/201354/201354pap.pdf

المؤلفون: Claudio Pacati, Gabriele Pompa, Roberto Renò

المصدر: Journal of Banking & Finance. 96:185-206

مصطلحات موضوعية: Economics and Econometrics, Jump diffusion, Heston model, Upper and lower bounds, 0502 economics and business, Econometrics, Stochastic volatility, Hedge (finance), Mathematics, 040101 forestry, Variance risk premium, 050208 finance, 05 social sciences, 04 agricultural and veterinary sciences, Displacement, options, VIX futures, Jump-diffusion, VIX options, Finance, 0401 agriculture, forestry, and fisheries, Affine transformation, Volatility (finance)

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::39b9ace32ad82d8b6ca7e64c23057178
https://doi.org/10.1016/j.jbankfin.2018.08.010

المؤلفون: Jackwerth, Jens, Vilkov, Gregory

مصطلحات موضوعية: Asymmetric volatility, SPX options, VIX options, implied correlation, leverage effect, ddc:330, G11, G12, G13, G17

وصف الملف: application/pdf

Relation: http://nbn-resolving.de/urn:nbn:de:bsz:352-0-376935; 402975731

الاتاحة: http://nbn-resolving.de/urn:nbn:de:bsz:352-0-376935

المؤلفون: Elisa Nicolato, Andrea Barletta, Stefano Pagliarani

المساهمون: Andrea Barletta, Elisa Nicolato, Stefano Pagliarani

المصدر: Aarhus University
Barletta, A, Nicolato, E & Pagliarani, S 2018, ' The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework ' Mathematical Finance . https://doi.org/10.1111/mafi.12196
Barletta, A, Nicolato, E & Pagliarani, S 2019, ' The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework ', Mathematical Finance, vol. 29, no. 3, pp. 928-966 . https://doi.org/10.1111/mafi.12196

مصطلحات موضوعية: DYNAMICS, Economics and Econometrics, Computer science, Perturbation (astronomy), Markov process, Multifactor Stochastic Volatility, 01 natural sciences, VIX Option, 010104 statistics & probability, symbols.namesake, Accounting, TERM STRUCTURE, 0502 economics and business, Economics, Econometrics, Elementary function, Applied mathematics, Limit (mathematics), Infinitesimal generator, 0101 mathematics, G12, VIX Options, SMILE, CALIBRATION, Asymptotic Expansions, HESTON, 050208 finance, Stochastic volatility, G13, Applied Mathematics, VIX Options, Multifactor Stochastic Volatility, Asymptotic Expansions, 05 social sciences, VARIANCE, Skew, implied volatility asymptotics, asymptotic expansions, multifactor stochastic volatility, MODEL, C60, OPTIONS, Transformation (function), EXPANSIONS, DEVIATIONS, VIX options, symbols, Volatility (finance), Futures contract, Social Sciences (miscellaneous), Finance

وصف الملف: STAMPA

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::84fc7321206891259bc98b2b36921aff
http://hdl.handle.net/11585/708969

المؤلفون: Chen, Ke, Poon, Ser-Huang

مصطلحات موضوعية: ddc:330, G12, G13, SPX Volatility Surface, VIX Volatility Surface, VIX Futures, VIX Options, Hedge Ratio

Relation: Series: Manchester Business School Working Paper; No. 635; gbv-ppn:772534241; http://hdl.handle.net/10419/102378

الاتاحة: http://hdl.handle.net/10419/102378

المؤلفون: Ould Aly, Sidi Mohamed

المساهمون: Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA), Université Paris-Est Marne-la-Vallée (UPEM)-Fédération de Recherche Bézout (BEZOUT), Centre National de la Recherche Scientifique (CNRS)-Centre National de la Recherche Scientifique (CNRS)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Centre National de la Recherche Scientifique (CNRS)

المصدر: https://hal.science/hal-00624812 ; 2011.

مصطلحات موضوعية: Variance-swap, forward variance, VIX, VIX futures, VIX options, Implied volatility, Skew, Hedging, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

الاتاحة: https://hal.science/hal-00624812
https://hal.science/hal-00624812v1/document
https://hal.science/hal-00624812v1/file/bergomi_revisited.pdf

المؤلفون: Barletta, Andrea, Nicolato, Elisa, Pagliarani, Stefano

المصدر: Barletta , A , Nicolato , E & Pagliarani , S 2019 , ' The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework ' , Mathematical Finance , vol. 29 , no. 3 , pp. 928-966 . https://doi.org/10.1111/mafi.12196

مصطلحات موضوعية: C60, G12, G13, VIX options, asymptotic expansions, implied volatility asymptotics, multifactor stochastic volatility, CALIBRATION, EXPANSIONS, MODEL, OPTIONS, HESTON, TERM STRUCTURE, DYNAMICS, VARIANCE, SMILE, DEVIATIONS, eco, manag

Relation: https://pure.au.dk/portal/da/publications/the-shorttime-behavior-of-viximplied-volatilities-in-a-multifactor-stochastic-volatility-framework(491ebd22-fcd4-40b5-a2f5-30159cdd8b29).html

الاتاحة: https://pure.au.dk/portal/da/publications/the-shorttime-behavior-of-viximplied-volatilities-in-a-multifactor-stochastic-volatility-framework(491ebd22-fcd4-40b5-a2f5-30159cdd8b29).html

المؤلفون: Cui, Yanhao

المساهمون: Soo, Terry, Hu, Yaozhong, Tu, Xuemin, Liu, Zhipeng, Han, Jie

مصطلحات موضوعية: Mathematics, Ergodicity, Feller's test, Parameter estimation, Stochastic volatility model, VIX options

وصف الملف: 76 pages; application/pdf

Relation: http://dissertations.umi.com/ku:16921; http://hdl.handle.net/1808/31502; orcid:0000-0002-5102-8594

الاتاحة: http://hdl.handle.net/1808/31502
http://dissertations.umi.com/ku:16921

المؤلفون: Barletta, Andrea, Nicolato, Elisa

المصدر: Barletta , A & Nicolato , E 2018 , ' Orthogonal Expansions for VIX Options Under Affine Jump Diffusions ' , Quantitative Finance , vol. 18 , no. 6 , pp. 951-967 . https://doi.org/10.1080/14697688.2017.1371322

مصطلحات موضوعية: APPROXIMATIONS, Affine jump diffusion, IMPACT, Laguerre expansions, MODELS, Orthogonal polynomials, PRICES, RISK, STOCHASTIC VOLATILITY, VALUATION, VARIANCE, VIX options

الاتاحة: https://pure.au.dk/portal/da/publications/orthogonal-expansions-for-vix-options-under-affine-jump-diffusions(37090520-7da8-4672-9a90-ffc28b9d2d47).html
https://doi.org/10.1080/14697688.2017.1371322
http://www.scopus.com/inward/record.url?scp=85030718734&partnerID=8YFLogxK
https://ssrn.com/abstract=2923081

المؤلفون: Barletta, Andrea, Santucci de Magistris, Paolo, Violante, Francesco

المصدر: Barletta, A, Santucci de Magistris, P & Violante, F 2017 ' A Non-Structural Investigation of VIX Risk Neutral Density ' Social Science Research Network (SSRN) .

مصطلحات موضوعية: risk-neutral moments, volatility jumps, VIX options, orthogonal expansions, variance swaps

URL الوصول: https://explore.openaire.eu/search/publication?articleId=pure_au_____::126dc1d574b7a7d1f272699482905f3b
https://pure.au.dk/portal/da/publications/a-nonstructural-investigation-of-vix-risk-neutral-density(99f85760-7e47-4f8f-ba72-8d9a54e39b5e).html

المؤلفون: Aly, Sidi Mohamed

المصدر: Applied Mathematical Finance. 21(1):84-107

مصطلحات موضوعية: variance swap, forward variance, VIX, VIX futures, VIX options, implied volatility, skew, hedging, Naturvetenskap, Matematik, Sannolikhetsteori och statistik, Natural Sciences, Mathematics, Probability Theory and Statistics

URL الوصول: https://lup.lub.lu.se/record/7c586810-76e7-4aeb-bfa7-991e73bf6a37
http://dx.doi.org/10.1080/1350486X.2013.812329