Index Catalog // Hyrax

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Filtragem por: Contributor Sturm, Stephan O Criador Santawisook, Patchara

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

Palavra-chave:: S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures
O Criador:: Santawisook, Patchara
Advisor:: Sturm, Stephan
Editor:: Worcester Polytechnic Institute
Data Criada:: 2022-12-07
Resource Type:: Dissertation
Degree:: PhD
Unit (Department):: Mathematical Sciences

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

Palavra-chave:: VIX, VIX futures, and Implied volatility
O Criador:: Santawisook, Patchara
Advisor:: Sturm, Stephan
Editor:: Worcester Polytechnic Institute
Data Criada:: 2015-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences