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Filtragem por: O Criador Santawisook, Patchara Unit (Department) Mathematical Sciences

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
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