Dluga Street 44/50
University of Warsaw - Faculty of Economic Sciences
National Bank of Poland
volatility, VIX futures, investment strategies, optimal portfolio selection, Markowitz model, Black-Litterman model
VIX, VIX options, implied volatility surface
volatility term structure, volatility risk premium, volatility and index futures, realized volatility
options hedging efficiency, optimal hedging frequency, realized and implied volatility, index futures, investment strategies,
central bank, risk-taking, collateral policy, economic efficiency
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default correlation, Marshall–Olkin, European Financial Stability Facility (EFSF), credit value adjustment (CVA), collateralized debt obligation (CDO)
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