Keywords: VIX options; VIX futures; Heston model; Stochastic volatility; Jump-diffusion; Displacement; G12; G13;
مقالات ISI (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
Keywords: Variance risk premium; VIX futures; VIX ETN; Dynamic equilibrium; Jump-diffusion; G12; G13; C22; C58;
Keywords: G32; G11; G17; C53; C22; Stochastic dominance; Value-at-Risk; Daily capital charges; Violation penalties; Optimizing strategy; Basel III Accord; VIX futures; Global financial crisis;
Keywords: G130; C58; VIX; Semi-nonparametric diffusion; VIX futures; GMM; MLE; Non-linear asset pricing;
Keywords: G11; G12; G17; G32VIX; VIX futures; VVIX; Portfolio insurance; OBPI; CPPI
An empirical comparison of transformed diffusion models for VIX and VIX futures
Keywords: C13; C32; G13; G15; Transformation model; Nonlinear diffusion; Skewed Student-t distribution; Volatility index; VIX futures;
When no news is good news - The decrease in investor fear after the FOMC announcement
Keywords: VIX; VIX futures; FOMC announcement; Intraday data;
How rational could VIX investing be?
Keywords: VIX futures; ETNs; Portfolio allocation; Portfolio diversification; Disappointment measure;
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Keywords: G12; G13; VIX options; VIX futures; Stochastic volatility; Volatility smile; Jump-diffusion;
Using VIX futures to hedge forward implied volatility risk
Keywords: G12; G13; G14; VIX futures; Forward implied volatility; Forward-start strangles; Stochastic volatility; Price jumps;
VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
Keywords: G12; G13; G14; CBOE VIX Term Structure; VIX futures; Numéraire; Multifactor models; Hump volatility function; Exponential volatility function;
Risk modelling and management: An overview
Keywords: Currency hedging strategies; Basel Accord; VIX futures; Mixture models; Extreme value methodologies; Volatility spillovers; Value-at-risk; Extreme market riskC14; C32; C53; C58; G11; G32
Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
Keywords: G32; G17; C53; C22; C11Value-at-Risk; Daily capital charges; Basel Accord; VIX futures; Bayesian strategy
An empirical comparison of continuous-time models of implied volatility indices
Keywords: C13; C50; G10; G13; Continuous-time estimation; Conditional characteristic function; Implied volatility indices; Volatility derivatives; VIX futures;