Concept

Greeks (finance)

Related publications (34)

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Measuring and assessing urban sprawl : What are the remaining options for future settlement development in Switzerland for 2030 ?

Martin Schuler, Alain Nicolas Jarne

Face à l’accélération du processus d’étalement urbain et aux changements significatifs du paysage qui en découlent en Europe, cet article s’interroge sur la possibilité de trouver des indicateurs permettant de mettre en évidence les régions sujettes à l’ét ...

Springer Verlag2010

Does information drive trading in option strategies?

Rüdiger Fahlenbrach

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...

Elsevier2010

Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity

Damir Filipovic

In the spirit of Bjork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath ...

2010

Real options valuation of fusion energy R&D programme

Edgard Gnansounou, Denis Bednyagin

This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

Elsevier2010

Equilibrium Driven by Discounted Dividend Volatility

Semyon Malamud

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diﬀu- sion. We introduce a new, intrinsic characte ...

2009

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

Co-Movements of Index Options and Futures Quotes

Rüdiger Fahlenbrach

We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...

2008

Affine Models

Damir Filipovic

A fine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspec ...

Vienna Institute of Finance2008

Capital Structure, Investment, and Private Benefits of Control

Erwan Morellec

The recent law and finance literature following Shleifer and Vishny (1997) and La Porta, Lopez-de Silanes, and Shleifer (1998) argues that the expropriation of minority shareholders by controlling shareholders is at the core of agency conflicts in most cou ...

2004

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin Dufresne

Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. However, we find that, in practice, swap rates have limited explanatory power for returns on at-the-mone ...

2002