Suchergebnisse - "DERIVATIVE securities"

Unmasking Mutual Fund Derivative Use.

Autoren: Kaniel, Ron Wang, Pingle

Quelle: Review of Financial Studies. Apr2025, Vol. 38 Issue 4, p1120-1166. 47p.

Schlagwörter: *MUTUAL funds, *DERIVATIVE securities, *FINANCIAL performance, *RATE of return, *LIQUIDITY (Economics), *HEDGING (Finance), MACHINE learning

Approximate option pricing for jump-diffusion stochastic volatility models

Autoren: Makumbe, Zororo Stanelake

Weitere Verfasser: University/Department: Universitat de Barcelona. Departament de Matemàtiques i Informàtica

Thesis Advisors: Vives i Santa Eulàlia, Josep, 1963-, El-Khatib, Youssef

Quelle: TDX (Tesis Doctorals en Xarxa)

Schlagwörter: Matemàtica financera, Matemática financiera, Business mathematics, Gestió del risc, Gestión del riesgo, Risk management, Actius financers derivats, Productos financieros derivados, Derivative securities, Ciències Experimentals i Matemàtiques

Dateibeschreibung: application/pdf

Zugangs-URL: http://hdl.handle.net/10803/694091

Informational Content of Warrant Trading Prior to Interim Monthly‐Revenue Report: Evidence From the Taiwan Warrant Market.

Autoren: Chang, Che‐Chia Chen, Chao‐Chun Huang, Pin‐Yu

Quelle: Journal of Futures Markets. Oct2025, Vol. 45 Issue 10, p1616-1635. 20p.

Schlagwörter: *BUSINESS revenue, *DERIVATIVE securities, *FORECASTING, *RATE of return on stocks, *FINANCIAL markets, *OPTIONS (Finance), *INSIDER trading in securities, *FINANCIAL statements

VIX Option Pricing With Detected Jumps.

Autoren: Guo, Zhiyu Huang, Zhuo Tong, Chen

Quelle: Journal of Futures Markets. Oct2025, p1. 19p. 3 Illustrations.

Schlagwörter: *MARKET volatility, *DERIVATIVE securities, *EMPIRICAL research, FLUCTUATIONS (Physics)

Research on Index Options: Bibliometric Insights and Future Directions.

Autoren: Kurian, Binu C. Athira, C. R. Akhil, C. C.

Quelle: IUP Journal of Management Research. Oct-Dec2025, Vol. 24 Issue 4, p28-51. 24p.

Schlagwörter: *STOCK market index options, *DERIVATIVE securities, *MARKET volatility, BIBLIOMETRICS, SCHOLARLY publishing, MACHINE learning

Geografische Kategorien: UNITED States

Gamma hedging and rough paths.

Autoren: Armstrong, John Ionescu, Andrei

Quelle: Finance & Stochastics. Oct2025, Vol. 29 Issue 4, p933-979. 47p.

Schlagwörter: *HEDGING (Finance), *DERIVATIVE securities, *PRICE fluctuations, *MARKET volatility, *FINANCIAL instruments, MATHEMATICAL formulas

An Empirical Study of the Chen-Hsieh-Huang Model.

Autoren: Chen, Ren-Raw Hsieh, Pei-Lin Rodas, Bryan

Quelle: Journal of Fixed Income. Fall2025, Vol. 35 Issue 2, p63-86. 24p.

Schlagwörter: *OPTIONS (Finance), *DERIVATIVE securities, *FINANCIAL markets, *MARKET volatility, ANALYTICAL solutions

Closed-form option formulas for Kou-like models.

Autoren: Gardini, Matteo Sabino, Piergiacomo

Quelle: Quantitative Finance. Oct2025, Vol. 25 Issue 10, p1517-1534. 18p.

Schlagwörter: *DERIVATIVE securities, *FINANCIAL economics, JUMP processes, MATHEMATICAL formulas, NUMERICAL analysis

People: SAMUELSON, Paul A. (Paul Anthony), 1915-2009

Model-Free Boundaries of Option Time Value and Early Exercise Premium.

Autoren: Zhang, Jingjing Bai, Yanjun Su, Tie

Quelle: Journal of Derivatives. Fall2025, Vol. 33 Issue 1, p133-151. 19p.

Schlagwörter: *OPTIONS (Finance), *DERIVATIVE securities, *DIVIDENDS

A generalized approach for pricing American options under a regime-switching model.

Autoren: Zheng, Yawen Zhu, Song-Ping

Quelle: IMA Journal of Management Mathematics. Jul2025, Vol. 36 Issue 3, p427-450. 24p.

Schlagwörter: *DERIVATIVE securities, *RISK management in business, *ALGORITHMS

Determinants of the Stabilization of Banking Operations with Derivative Financial Instruments on the Financial Market.

Alternate Title: Determinantes de la Estabilización de las Operaciones Bancarias con Instrumentos Financieros Derivados en el Mercado Financiero.

Autoren: Petruk, Oleksandr M. Oliinyk, Oksana V. Novak, Oksana S. et al.

Quelle: UCJC Business & Society Review. 2025 3rd Quarter, Vol. 22 Issue 86, p154-209. 56p.

Schlagwörter: *BANKING industry, *DERIVATIVE securities, *RISK managers, *ECONOMIC equilibrium, *SYSTEMIC risk (Finance), *CREDIT risk, *BANKING laws, *FINANCIAL stress tests

Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models.

Autoren: Lei, Ziqi Zhou, Qing Xiao, Weilin

Quelle: Communications in Statistics: Simulation & Computation. 2025, Vol. 54 Issue 8, p3096-3117. 22p.

Schlagwörter: *MARKOV processes, *DERIVATIVE securities, *MONTE Carlo method, SEMIMARTINGALES (Mathematics), FUNCTIONAL equations

Domain Knowledge Preservation in Financial Machine Learning: Evidence from Autocallable Note Pricing.

Autoren: Ahnouch, Mohammed Elaachak, Lotfi Le Saout, Erwan

Quelle: Risks. Jul2025, Vol. 13 Issue 7, p128. 15p.

Schlagwörter: *DERIVATIVE securities, *MATHEMATICAL optimization, MACHINE learning

Efficient computations of prices and Greeks for autocallables under Heston model.

Autoren: Hu, Xiaobo Xue, Jungong

Quelle: Quantitative Finance. Aug2025, Vol. 25 Issue 8, p1199-1213. 15p.

Schlagwörter: *DERIVATIVE securities, *STOCHASTIC processes, DERIVATIVES (Mathematics), CONDITIONAL probability

Tail risk connectedness between tokenized and traditional derivatives: Time-frequency analysis and portfolio insights.

Autoren: Abdullah, Mohammad Tiwari, Aviral Kumar Abakah, Emmanuel Joel Aikins et al.

Quelle: Investment Analysts Journal. Sep2025, p1-24. 24p. 6 Illustrations.

Schlagwörter: *PORTFOLIO management (Investments), *DERIVATIVE securities, *RISK-return relationships, *FINANCIAL instruments, *INVESTMENT risk, *STATISTICAL correlation

Intermediate Qutrit-based improved quantum arithmetic operations with application on financial derivative pricing.

Autoren: Saha, Amit Chatterjee, Turbasu Chattopadhyay, Anupam et al.

Quelle: International Journal of Quantum Information. Nov2025, p1. 20p.

Schlagwörter: *QUANTUM computing, *DERIVATIVE securities, *FAULT tolerance (Engineering), *FAULT-tolerant computing, *QUBITS, *QUANTUM states, *ERROR probability

Hedging, Contract Enforceability, and Competition.

Autoren: Giambona, Erasmo Kumar, Anil Phillips, Gordon M

Quelle: Review of Financial Studies; Jul2025, Vol. 38 Issue 7, p2034-2087, 54p

Schlagwörter: HEDGING (Finance), ECONOMIC competition, CONTRACTS, RISK management in business, LIFE insurance, DERIVATIVE securities, BANKRUPTCY, MARKET share

An Equilibrium Model of Imperfect Hedging: Transaction Costs, Heterogeneity in Risk Aversion, and Return Volatility.

Autoren: Loewenstein, Mark Qin, Zhenjiang

Quelle: Review of Financial Studies; Jul2025, Vol. 38 Issue 7, p2088-2139, 52p

Schlagwörter: TRANSACTION costs, GENERAL equilibrium theory (Economics), DERIVATIVE securities, FINANCIAL markets, HETEROGENEITY, RISK aversion, SHARPE ratio, MARKET equilibrium

Real Effects of Centralized Markets: Evidence from Steel Futures.

Autoren: Martin, Thorsten

Quelle: Review of Financial Studies; Jul2025, Vol. 38 Issue 7, p2140-2181, 42p

Schlagwörter: STEEL prices, FUTURES market, DERIVATIVE securities, RISK management in business, MARKET share, PROFIT, BUSINESS valuation, STEEL industry securities

Derivatives and Market (Il)liquidity.

Autoren: Huang, Shiyang Yueshen, Bart Z. Zhang, Cheng

Quelle: Journal of Financial & Quantitative Analysis. Feb2024, Vol. 59 Issue 1, p157-194. 38p.

Schlagwörter: *DERIVATIVE securities, *LIQUIDITY (Economics), *RISK premiums, *RATIONAL expectations (Economic theory), *ECONOMIC equilibrium, *INFORMATION asymmetry, JACOBIAN matrices