Athanasios Fassas

University of Patras - Business Administration

Patras

Greece

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 17,297

SSRN RANKINGS

Top 17,297

in Total Papers Downloads

2,150

CITATIONS

2

Scholarly Papers (10)

1.

Implied Volatility Indices – A Review

Number of pages: 39 Posted: 18 Jun 2009 Last Revised: 22 Jul 2010
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Patras - Business Administration
Downloads 605 (26,640)
Citation 2

Abstract:

implied volatility, implied volatility indices, transmission of uncertainty, VIX

2.

An Investor Sentiment Barometer - Greek Implied Volatility Index

Number of pages: 30 Posted: 29 Nov 2008 Last Revised: 22 Jul 2010
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Patras - Business Administration
Downloads 261 (88,538)

Abstract:

Implied volatility indices, Athens Stock Exchange, VIX, VDAX

3.

The Information Content of VFTSE

Number of pages: 19 Posted: 29 Nov 2008 Last Revised: 22 Jul 2010
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Patras - Business Administration
Downloads 234 (87,126)

Abstract:

Implied volatility indices, London Stock Exchange, forecasting volatility, VFTSE

4.

Mispricing in Stock Index Futures Markets – the Case of Greece

Number of pages: 12 Posted: 28 Jun 2011
Athanasios Fassas
University of Patras - Business Administration
Downloads 156 (129,371)

Abstract:

Price discovery, futures arbitrage, cost-of-carry model, Tobit regression, Greek stock market, FTSE/ATHEX-20

5.

Tracking the VIX Index

Number of pages: 29 Posted: 18 Dec 2014 Last Revised: 25 Dec 2014
Athanasios Fassas
University of Patras - Business Administration
Downloads 85 (172,444)

Abstract:

Exchange Traded Funds, tracking ability, volatility, VIX index, VIX futures

6.

An Analysis of the Covered Warrants Listed on the Athens Exchange

Siriopoulos, C. and Fassas, A. (2014) An Analysis of the Covered Warrants listed on the Athens Exchange. Journal of Risk & Control, 1(1), pp. 13-30.
Number of pages: 18 Posted: 23 Mar 2015 Last Revised: 24 Mar 2015
Costas Siriopoulos and Athanasios Fassas
Zayed University, College of Business and University of Patras - Business Administration
Downloads 27 (340,090)

Abstract:

Warrants, Cox-Ross-Rubinstein model, Greek banks, Implied volatility, Delta hedging

7.

The Relationship between VIX Futures Term Structure and S&P500 Returns

Number of pages: 19 Posted: 21 Sep 2016
Athanasios Fassas
University of Patras - Business Administration
Downloads 0 (45,263)

Abstract:

VIX Futures, Implied Volatility Term Structure, Future Equity Returns

8.

Exposure-Based Volatility: An Application in Corporate Risk Management

Number of pages: 23 Posted: 26 May 2016
Athanasios Fassas and Vasil Lyaskov
University of Patras - Business Administration and University of Sheffield - The University of Sheffield International Faculty
Downloads 0 (367,352)

Abstract:

Exposure-Based Volatility, Cash Flow-at-Risk (CFaR), Merton option pricing model, Liquidity risk, Corporate risk management

9.

Exchange-Traded Products Investing and Precious Metal Prices

Journal of Derivatives & Hedge Funds, Forthcoming
Posted: 27 Feb 2012
Athanasios Fassas
University of Patras - Business Administration

Abstract:

Exchange Traded Products, gold, silver, platinum, palladium

10.

The Efficiency of VIX Futures Market – A Panel Data Approach

Journal of Alternative Investments, Vol. 14, No. 3, 2012
Posted: 27 Feb 2012
Athanasios Fassas and Costas Siriopoulos
University of Patras - Business Administration and Zayed University, College of Business

Abstract:

VIX futures, market efficiency, panel data