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Filtering by: Advisor Sturm, Stephan Creator Santawisook, Patchara

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
Implied Volatility and Extracted Risk Neutral Density of VIX Options during the Crisis and Relatively Calm Periods

Keyword:

VIX, VIX futures, and Implied volatility

Creator:

Santawisook, Patchara

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2015-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences