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Realized Volatility, Liquidity, and Corporate Yield Spreads Marco Rossi ∗ December 7, 2009 Abstract This study revisits the relative role of credit risk and illiquidity…
Implied Volatility from Options on Gold Futures: Do Econometric Forecasts Add Value or Simply Paint the Lilly? Christopher J. Neely* June 2, 2004 To be possess’d with double…
Exchange Rate Volatility Forecasting ASTON UNIVERSITY MSc IN FINANCE & INVESTMENTS â¦â¦â¦â¦â¦â¦â¦â¦â¦â¦â¦ FORECASTING EXCHANGE RATE VOLATILITY USING…
© 2015 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. EMPLOYING IMPLIED VOLATILITY TO IMPROVE SHORT-TERM RISK FORECASTS OF EQUITY…
Goethe University, Frankfurt/Main Thesis Construction Of the Implied Volatility Smile by Alexey Weizmann May, 2007 Submitted to the Department of Mathematics JProf. Dr. Christoph…
Quantitative Strategies Research Notes Goldman Sachs The Volatility Smile and Its Implied Tree Emanuel Derman Iraj Kani January 1994 QUANTITATIVE STRATEGIES RESEARCH NOTESSachs…
surfaces? Evidence from OTC currency options∗ This version: January, 2009 Despite advances in describing the characteristics and dynamics of non–flat implied
. . . . . . Statement of the problem The mass at zero case Strict local martingales Martingale information of the implied volatility smile Antoine Jacquier Department of…
Numerical ExcellenceBrian Spector Overview • Motivation • Python • Pandas Python • Uses white spaces (as oppose to brackets) for control statements. •
Kathrin Glau1, Paul Herold1, Dilip B. Madan2, Christian Potz1,∗ 1Technical University of Munich, Germany, 2 Robert H. Smith School of Business, University of Maryland
Microsoft Word - Badshah_RevisedVersion.docxIhsan Ullah Badshah* Abstract The objective of this study is to model implied volatility surfaces and identify risk factors that
Martijn Cremers1 Matthias Fleckenstein2 Priyank Gandhi1 1University of Notre Dame 1 / 24 Research question: What information from financial markets predicts level and volatility
Jean-Pierre Fouque∗ George Papanicolaou† Ronnie Sircar‡ Knut Solna§ Abstract The skew effect in market implied volatility can be reproduced by option
Microsoft Word - $ASQ53421_supp_AB41A7D2-8613-11DF-BA4B-9F67F0E6BF1D.docxof the Requirements August 2010 All Rights Reserved iii ACKNOWLEDGEMENTS I would like to thank the
Near-expiration behavior of implied volatility for exponential Lévy modelsexponential Lévy models José E. Figueroa-López1 1Department of Statistics
Indices and Pricing of Straddle OptionStraddle Option Yue Peng and Steven C. J. Simon University of Essex Centre for Computational Finance and Economic Agents • Methodology•
On Credit Spreads Credit Spread Options and Implied Probabilities of Default John Hatgioannides1 Faculty of Finance Cass Business School UK and George Petropoulos Eurobank…
Modeling the Implied Volatility Surface Jim Gatheral Stanford Financial Mathematics Seminar February 28, 2003 Jim Gatheral, Merrill Lynch, February-2003 This presentation…
Modeling the Implied Volatility Surface Jim Gatheral Global Derivatives and Risk Management 2003 Barcelona May 22, 2003 Jim Gatheral, Merrill Lynch, May-2003 This presentation…
Implied Volatility, Fundamental solutions, asymptotic analysis and symmetry methods, Linz, Ricam kick-off Workshop, September 11, 2008 Peter Laurence Dipartimento di Matematica…