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Vanderbilt University - Finance
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VIX, market volatitility, fear gauge, barometer of fear
commodity index investing, excessive speculation, investment flows, index rolls
hedge funds, factor models, time-varying beta
market microstructure, determinants of spread, option value
Options and Futures on Relative Performance, Trading Correlation, Alpha Indexes
Derivatives: Futures Markets and Instruments, Options Markets and Instruments
Option valuation, market efficiency, limits to arbitrage
Ex-dividend, call option exercise, dividend spread
commodity index investing, speculation, futures prices
stock option, special dividend, contract adjustment, displaced diffusion process, nested binomial lattices
competition, ownership, financial disclosure
adverse selection, Reg FD, bid/ask spread, private information
takeover offers, option-implied values for bidder and target gains and news
put options on stocks, early exercise, failure to exercise
persistent regimes, regime difference tests, spurious regression, dummy variable
spurious regression, persistence, data mining, dummy variable
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volatility trading, VIX ETPs, contango
Put options on stocks, early exercise, failure to exercise
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