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There are 4370 results for: content related to: Does model fit matter for hedging? Evidence from FTSE 100 options

  1. Hedging under model misspecification: All risk factors are equal, but some are more equal than others …

    Journal of Futures Markets

    Volume 32, Issue 5, May 2012, Pages: 397–430, Nicole Branger, Eva Krautheim, Christian Schlag and Norman Seeger

    Article first published online : 10 MAY 2011, DOI: 10.1002/fut.20530

  2. Model risk adjusted hedge ratios

    Journal of Futures Markets

    Volume 29, Issue 11, November 2009, Pages: 1021–1049, Carol Alexander, Andreas Kaeck and Leonardo M. Nogueira

    Article first published online : 21 JUL 2009, DOI: 10.1002/fut.20406

  3. The Quanto Adjustment and the Smile

    Journal of Futures Markets

    Volume 32, Issue 9, September 2012, Pages: 877–908, Jacinto Marabel Romo

    Article first published online : 6 SEP 2011, DOI: 10.1002/fut.20545

  4. The Heston Greeks

    The Heston Model and Its Extensions in Matlab and C#

    Fabrice Douglas Rouah, Pages: 327–355, 2013

    Published Online : 23 AUG 2013, DOI: 10.1002/9781118656471.ch11

  5. Model Risk – Calibration, Pricing and Hedging

    Financial Modelling: Theory, Implementation and Practice (with Matlab source)

    Jörg Kienitz, Daniel Wetterau, Pages: 507–550, 2013

    Published Online : 30 AUG 2013, DOI: 10.1002/9781118818565.ch10

  6. Regime-dependent smile-adjusted delta hedging

    Journal of Futures Markets

    Volume 32, Issue 3, March 2012, Pages: 203–229, Carol Alexander, Alexander Rubinov, Markus Kalepky and Stamatis Leontsinis

    Article first published online : 9 MAR 2011, DOI: 10.1002/fut.20517

  7. Integration Issues, Parameter Effects, and Variance Modeling

    The Heston Model and Its Extensions in Matlab and C#

    Fabrice Douglas Rouah, Pages: 25–61, 2013

    Published Online : 23 AUG 2013, DOI: 10.1002/9781118656471.ch2

  8. Dynamic Properties of Smile Models

    Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling

    Rama Cont, Pages: 47–88, 2012

    Published Online : 3 JAN 2012, DOI: 10.1002/9781118266915.ch3

  9. Volatility Modeling

    Handbook of Financial Risk Management: Simulations and Case Studies

    N.H. Chan, H.Y. Wong, Pages: 121–175, 2013

    Published Online : 21 JUN 2013, DOI: 10.1002/9781118573570.ch4

  10. THE TRACKING ERROR RATE OF THE DELTA-GAMMA HEDGING STRATEGY

    Mathematical Finance

    Volume 22, Issue 2, April 2012, Pages: 277–309, Emmanuel Gobet and Azmi Makhlouf

    Article first published online : 5 DEC 2010, DOI: 10.1111/j.1467-9965.2010.00466.x

  11. COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 671–694, Roger Lord and Christian Kahl

    Article first published online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00416.x

  12. Diffusion Models

    Financial Modelling: Theory, Implementation and Practice (with Matlab source)

    Jörg Kienitz, Daniel Wetterau, Pages: 35–91, 2013

    Published Online : 30 AUG 2013, DOI: 10.1002/9781118818565.ch2

  13. Options

    Financial Derivative and Energy Market Valuation: Theory and Implementation in Matlab®

    Michael Mastro, Pages: 65–104, 2013

    Published Online : 26 FEB 2013, DOI: 10.1002/9781118501788.ch3

  14. Parameter Estimation

    The Heston Model and Its Extensions in Matlab and C#

    Fabrice Douglas Rouah, Pages: 147–176, 2013

    Published Online : 23 AUG 2013, DOI: 10.1002/9781118656471.ch6

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    About the Website

    The Heston Model and Its Extensions in Matlab and C#

    Fabrice Douglas Rouah, Pages: 391–396, 2013

    Published Online : 23 AUG 2013, DOI: 10.1002/9781118656471.oth1

  16. You have free access to this content
    Index

    Financial Modelling: Theory, Implementation and Practice (with Matlab source)

    Jörg Kienitz, Daniel Wetterau, Pages: 705–719, 2013

    Published Online : 30 AUG 2013, DOI: 10.1002/9781118818565.index

  17. Finite Difference Methods

    Financial Derivative and Energy Market Valuation: Theory and Implementation in Matlab®

    Michael Mastro, Pages: 167–230, 2013

    Published Online : 26 FEB 2013, DOI: 10.1002/9781118501788.ch6

  18. The Heston Model for European Options

    The Heston Model and Its Extensions in Matlab and C#

    Fabrice Douglas Rouah, Pages: 1–23, 2013

    Published Online : 23 AUG 2013, DOI: 10.1002/9781118656471.ch1

  19. Time-Dependent Heston Models

    The Heston Model and Its Extensions in Matlab and C#

    Fabrice Douglas Rouah, Pages: 263–300, 2013

    Published Online : 23 AUG 2013, DOI: 10.1002/9781118656471.ch9

  20. A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

    Mathematical Finance

    Volume 21, Issue 2, April 2011, Pages: 233–256, Song-Ping Zhu and Guang-Hua Lian

    Article first published online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00436.x