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Filtering by: Advisor Sturm, Stephan Contributor Blais, Marcel Y. Contributor Song, Qingshuo

1. Price Impact in the VIX Futures Market and Mean-Field Games in two Order Books

Keyword:: S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures
Creator:: Santawisook, Patchara
Advisor:: Sturm, Stephan
Publisher:: Worcester Polytechnic Institute
Date Created:: 2022-12-07
Resource Type:: Dissertation
Degree:: PhD
Unit (Department):: Mathematical Sciences