Falmer, Brighton BN1 9SL
University of Sussex - School of Business, Management and Economics
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cointegration, enhanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy
Financial risk assessment, risk control, RAROC, economic capital, regulatory capital, optimal allocation of resources
VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance
Calibration, Correlation, Common Principal Component Analysis, LIBOR Model, Log Normal Forward rate Model, Forward Rates, Interest Rate Models
Common trends, mean reversion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance
indexing, value strategies, optimisation models, principal component analysis, abnormal returns
index tracking, cointegration, Markov switching, dispersion, equity markets, long-run equilibrium prices
Value-at-Risk models, stress testing, market risk, exchange rates, GARCH
Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dynamics
Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures
Spread options, exchange options, American options, analytic formula, Kirks approximation, correlation skew
Spread option, implied correlation, bivariate normal mixture density
iTraxx, Credit Default Swap Index, Markov Switching, Credit Spreads
Equity Hedge Funds, Markov Switching, Regimes
Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models
Exchange Traded Fund, Hedging, Minimum Variance, Utility
Local volatility, stochastic volatility, unified theory of volatility, local volatility dynamics
Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital
Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs
Basel II, Maximum entropy, Model risk, Quantile, Risk capital, Value-at-Risk, VaR
Exchange traded fund, hedging, futures, basis risk
basket options, rainbow options, best-of and worst-of options, compound exchange options, analytic approximation
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basket options, rainbow options, best‐of and worst‐of options, compound exchange options, analytic approximation
Local Volatility, Stochastic Volatility, Smile Consistent Models, Term Structure of Option Prices, Normal Variance Mixtures
Scale-invariant volatility models, optimal hedging, pricing and hedging of options, minimum variance hedge ratios
GARCH diffusion, stochastic volatility, time aggregation, continuous limit
volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models
random orthogonal matrix, value-at-risk, stressed VaR, Basel II, market risk capital
CARA, CRRA, certain equivalent, development, divestment, displaced log utility, exponential utility, HARA, investment, mean-reversion, property boom, real option, risk aversion, risk tolerance
Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty
Hedging, Crack Spread, GARCH, Minimum-Variance Hedge
delta hedge, model risk
Delta-hedging, smile-adjustment, Black-Scholes-Merton, stickymodels, FTSE 100 options, Markov switching, principal components
Model Risk, Variance Swap, Volatility Index, VIX, FTSE 100, VFTSE
Hedging, European Options, Stochastic Volatility Models, Heston, Smile Adjustments
Beta, Distribution, Entropy, Estimation, Exponentiated, Gamma, Generalized,Generated, Gumbel, Inverse Guassian, Kumaraswamy, Kurtosis, Laplace, McDonald, Minimax, MLE, MGF, Reliability, Skewness, Weibull
approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation
Equity Indices, Jump-Diffusions, Generalized Autoregressive Conditional Heteroscedasticity
simulation, L-matrices, multivariate moments, value-at-risk
GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall
Cost of capital, discount rate, hedging, idiosyncratic risk, implied return, required return
Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation
File name: obes.
File name: FMII.
VIX, VSTOXX, volatility futures, volatility ETPs, roll yield
File name: eufm613.
equity indices, jump‐diffusions, generalised autoregressive conditional heteroscedasticity, GARCH, Markov chain Monte Carlo, MCMC
Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure
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