Juliusz Jablecki

University of Warsaw - Faculty of Economic Sciences

Dluga Street 44/50

Warsaw, 00-241

Poland

National Bank of Poland

Warsaw

Poland

  • University of Warsaw - Faculty of Economic Sciences

  • National Bank of Poland

SCHOLARLY PAPERS

5

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CROSSREF CITATIONS

6

Scholarly Papers (5)

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1.

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
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 351 (165,013)
Citation 1

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

2.

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
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 327 (178,100)

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

3.

Simple Heuristics for Pricing VIX Options

Number of pages: 20 Posted: 12 Oct 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 297 (197,830)

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VIX, VIX options, implied volatility surface

4.

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

Number of pages: 25 Posted: 29 Sep 2014
Juliusz Jablecki, Juliusz Jablecki, Ryszard Kokoszczynski, Ryszard Kokoszczynski, Paweł Sakowski, Robert Ślepaczuk and Piotr Wojcik
National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences, Warsaw University - Dept. of EconomicsNational Bank of Poland, University of Warsaw, University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Downloads 281 (208,842)
Citation 1

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

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, Juliusz Jablecki and Juliusz Jablecki
European Central Bank (ECB) and National Bank of PolandUniversity of Warsaw - Faculty of Economic Sciences
Downloads 142 (389,314)
Citation 8

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