Ralf Buesser

Independent

No Address Available

SCHOLARLY PAPERS

2

DOWNLOADS

302

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (2)

1.

Variance Risk Premiums in Foreign Exchange Markets

Journal of Empirical Finance, 23, 2013, pp. 16-32, University of St.Gallen, School of Finance Research Paper No. 2013/4
Number of pages: 32 Posted: 08 Jul 2013 Last Revised: 18 Jan 2016
Manuel Ammann and Ralf Buesser
University of St. Gallen - School of Finance and Independent
Downloads 302 (102,425)

Abstract:

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Foreign exchange, Variance risk premium, Variance swap, Intraday data, Risk-neutral expectation, Jump risk

2.

The Fine Structure of Currency Returns Implied in One-Touch Options

Journal of Derivatives, Vol. 20, No. 4, 2013, https://doi.org/10.3905/jod.2013.20.4.078
Posted: 20 May 2019
Ralf Buesser
Independent
Downloads 0 (681,411)

Abstract:

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Foreign exchange, Lévy process, one-touch option, Monte Carlo simulation, stochastic volatility, jumps