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The Mathematics of Finance: Pricing Volatility derivatives [PDF]
ITM Web of ConferencesIn the increasingly complex world of financial markets, the scope of mathematical finance has expanded beyond traditional stock trading to include derivatives on various financial indices.
Phetpradap Parkpoom, Sripanitan Natkamon
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Finance and Macroeconomic Volatility [PDF]
Contributions in Macroeconomics, 2000 Countries with more developed financial sectors experience less fluctuation in the growth of real per capita output, consumption and investment. However, the manner in which the financial sector develops matters. The relative importance of banks in the financial system is important in explaining consumption and investment volatility, and the proportion
Cevdet Denizer +2 more
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Liquidity-free implied volatilities: An approach using conic finance [PDF]
International Journal of Financial Engineering, 2021 In this paper, we consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not ...
Michielon, M., Khedher, A., Spreij, P.
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Multivariate volatility in environmental finance [PDF]
Mathematics and Computers in Simulation, 2008 There exist several important benchmark indexes in environmental finance, some computed by well-known financial index providers such as the Dow Jones group and others by independent agencies specializing in environmentally and socially responsible investing in finance.
Suhejla Hoti +2 more
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Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors [PDF]
SSRN Electronic Journal, 2014 In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and
Nektarios Aslanidis +3 more
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Computational finance: correlation, volatility, and markets [PDF]
WIREs Computational Statistics, 2014 Financial data by nature are inter‐related and should be analyzed using multivariate methods. Many models exist for the joint analysis of multiple financial instruments. Early models often assumed some type of constant behavior between the instruments over the time period of analysis.
Ensor, Katherine Bennett +1 more
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Interest rate volatility and financing of Islamic banks
PLOS ONE, 2022 Despite a direct ban on charging interest, interest-based benchmarks are used as a pricing reference by a majority of Islamic banks, due in part to the absence of stable and widely- published alternatives. Benchmarking interest rate exposes Islamic banks to the problems of conventional banks, particularly the interest rate risk.
Muhammad Nouman +5 more
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How does long-term finance affect economic volatility? [PDF]
Journal of Financial Stability, 2016 In an approach analogous to Rajan and Zingales (1998), we examine how the ability to access long-term debt affects firm-level growth volatility. We find that firms in industries with stronger preference to use long-term finance relative to short-term finance experience lower growth volatility in countries with better-developed financial systems, as ...
Demirgüç-Kunt, Asli +2 more
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach [PDF]
SSRN Electronic Journal, 2020 In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle. We offer resolutions of those objections within the rational finance.
Rachev, Svetlozar +4 more
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Influence of Real Exchange Rate on the Finance-Growth Nexus in the West African Region
Economies, 2019 This study examines the moderating effects of the real exchange rate and its volatility on the finance-growth nexus in the West African region. It also determines the marginal effects of financial development on economic growth at various levels of the ...
Kizito Uyi Ehigiamusoe, Hooi Hooi Lean
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