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Investment / Volatility / Implied volatility / Stochastic volatility / Black–Scholes / VIX / Heston model / Realized variance / Futures contract / Mathematical finance / Financial economics / Finance


Global contagion of volatilities and volatility risk premiums
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Document Date: 2010-06-03 01:57:00

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File Size: 2,72 MB

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Company

Nikkei Media Marketing Inc. / Nexa Technologies Inc. / Chicago Board Options Exchange / Lehman Brothers / Frankfurt Stock Exchange / /

Continent

Europe / /

Country

Germany / Japan / United States / /

Currency

pence / JPY / /

/

Event

Bankruptcy / /

Facility

Hitotsubashi University / /

IndustryTerm

connected network / /

MarketIndex

S&P 500 / DAX 30 / VIX / Nikkei 225 / /

Organization

Bank of Japan / European Union / Hitotsubashi University / Institute for Monetary and Economic Studies / /

Person

Toshiaki Watanabe / Peter Carr / Sacha Stoikov / /

Position

author / Rt / Major / ARFIMAX model Rt / original Heston model for RV / /

PublishedMedium

BIS / /

Technology

simulation / /

SocialTag