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

Parola chiave:

S&P500, VIX, ETFs, Price impact, ETNs, and VIX futures

Creatore:

Santawisook, Patchara

Advisor:

Sturm, Stephan

Editore:

Worcester Polytechnic Institute

data di creazione:

2022-12-07

Resource Type:

Dissertation

Degree:

PhD

Unit (Department):

Mathematical Sciences
Barclays Mobile Reporting Application

Creatore:

McMahon, Caitlin Ann, Santawisook, Patchara, and Mao, Jian

Advisor:

Hofri, Micha and Abraham, Jon P.

Editore:

Worcester Polytechnic Institute

data di creazione:

2013-01-03

Resource Type:

Major Qualifying Project
Virtual Learning Project

Parola chiave:

Academic achievement, Computer-assisted instruction, Education, Secondary, and Interdisciplinary approach in education

Creatore:

Santawisook, Patchara, Do, Amy, Nguyen, Khanh-Nhan P., and Nguyen, Tran

Advisor:

Djamasbi, Soussan

Editore:

Worcester Polytechnic Institute

data di creazione:

2011-10-20

Resource Type:

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

Parola chiave:

VIX, VIX futures, and Implied volatility

Creatore:

Santawisook, Patchara

Advisor:

Sturm, Stephan

Editore:

Worcester Polytechnic Institute

data di creazione:

2015-04-30

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences