Juliusz Jablecki

University of Warsaw - Faculty of Economic Sciences

Dluga Street 44/50

Warsaw, 00-241

Poland

National Bank of Poland

Warsaw

Poland

SCHOLARLY PAPERS

6

DOWNLOADS

704

CITATIONS

6

Scholarly Papers (6)

1.

Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies

Number of pages: 30 Posted: 12 Oct 2014
University of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of Economics, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 194 (155,277)

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volatility, VIX futures, investment strategies, optimal portfolio selection, Markowitz model, Black-Litterman model

2.

Simple Heuristics for Pricing VIX Options

Number of pages: 20 Posted: 12 Oct 2014
University of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of Economics, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 155 (189,096)

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VIX, VIX options, implied volatility surface

3.

Does Historical Volatility Term Structure Contain Valuable Information for Predicting Volatility and Index Futures?

Number of pages: 25 Posted: 29 Sep 2014
University of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of Economics, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 152 (192,245)
Citation 1

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volatility term structure, volatility risk premium, volatility and index futures, realized volatility

4.

Options Delta Hedging with No Options at All

University of Warsaw Faculty of Economic Sciences Working Paper No. 27/2014
Number of pages: 29 Posted: 12 Oct 2014
University of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of Economics, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 139 (206,684)
Citation 1

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options hedging efficiency, optimal hedging frequency, realized and implied volatility, index futures, investment strategies,

5.

Central Bank Liquidity Provision, Risk-Taking and Economic Efficiency

ECB Working Paper No. 1542
Number of pages: 37 Posted: 19 Jun 2013
Ulrich Bindseil and Juliusz Jablecki
European Central Bank (ECB) and University of Warsaw - Faculty of Economic Sciences
Downloads 64 (343,383)

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central bank, risk-taking, collateral policy, economic efficiency

6.

Modeling Joint Defaults in Correlation-Sensitive Instruments

Journal of Credit Risk, Vol. 12, No. 3, 2016
Number of pages: 28 Posted: 24 Aug 2016
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 0 (666,371)
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default correlation, Marshall–Olkin, European Financial Stability Facility (EFSF), credit value adjustment (CVA), collateralized debt obligation (CDO)