Econometric analysis of financial derivatives: an overview

DOI10.1016/J.JECONOM.2015.02.026MaRDI QIDQ2347714zbMATH OpenOpenAlexFDO

Authors

Publication date 8 June 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://eprints.ucm.es/27822/1/1431.pdf

zbMATH Keywords

divided governmentsfat tailsfractional integrationfutures pricesleverage and asymmetryoption pricing dynamicsstochastic dominancestochastic volatilityswitching volatilityvariance risk premiumvolatility risk

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A non-linear dynamic model of the variance risk premium
• A stochastic dominance approach to financial risk management strategies
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• COMFORT: a common market factor non-Gaussian returns model
• Divided governments and futures prices
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
• Market-based estimation of stochastic volatility models
• Model-based pricing for financial derivatives
• Option pricing with non-Gaussian scaling and infinite-state switching volatility
• Pricing with finite dimensional dependence
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Smile from the past: a general option pricing framework with multiple volatility and leverage components
• Stock return and cash flow predictability: the role of volatility risk
• The fine structure of equity-index option dynamics
• The long and the short of the risk-return trade-off
• What is beneath the surface? Option pricing with multifrequency latent states

Cited in

(5)

• On monetary analysis of derivatives
• Econometric methods for derivative securities and risk management
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Testing the equality of the laws of two strictly stationary processes
• scientific article; zbMATH DE number 5251725 (Why is no real title available?)

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