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VIX
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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
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Creator
Santawisook, Patchara
2
Advisor
Sturm, Stephan
2
Contributor
Blais, Marcel Y.
1
Osterrieder, Jörg
1
Papanicolaou, Andrew
1
Song, Qingshuo
1
Sturm, Stephan
2
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Unit (Department)
Mathematical Sciences
2
Publisher
Worcester Polytechnic Institute
2
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Dissertation
1
Thesis
1
