MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
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Publication:4602493
DOI10.1142/S0219024917500510zbMath1395.91459OpenAlexW2689489988MaRDI QIDQ4602493
King-Hang Wang, Wim Schoutens, Dilip B. Madan
Publication date: 11 January 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500510
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (21)
OPTION SURFACE STATISTICS WITH APPLICATIONS ⋮ Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Quadratic variation, models, applications and lessons ⋮ Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) ⋮ Lower and upper pricing of financial assets ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Measuring dependence in a set of asset returns ⋮ Exposure valuations and their capital requirements ⋮ Option returns ⋮ The economics of time as it is embedded in the prices of options§ ⋮ The valuation of corporations: a derivative pricing perspective ⋮ EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS ⋮ Additive Processes with Bilateral Gamma Marginals ⋮ Correlated squared returns ⋮ OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES ⋮ Filtering Response Directions ⋮ Two price economic equilibria and financial market bid/ask prices ⋮ Zero covariation returns ⋮ Implied price processes anchored in statistical realizations ⋮ High dimensional Markovian trading of a single stock
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