Search Results - "Kaeck, Andreas"

Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions by Kaeck, Andreas, Alexander, Carol

“…► We examine the performance of non-affine option pricing models. ► We augment standard models by jumps and a second stochastic variance factor. ► We find…”
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Does model fit matter for hedging? Evidence from FTSE 100 options by Alexander, Carol, Kaeck, Andreas

“…This study implements a variety of different calibration methods applied to the Heston model and examines their effect on the performance of standard and…”
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Variance-of-Variance Risk Premium by Kaeck, Andreas

“…Abstract This article explores the premium for bearing the variance risk of the VIX index, called the variance-of-variance risk premium. I find that during the…”
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A parsimonious parametric model for generating margin requirements for futures by Alexander, Carol, Kaeck, Andreas, Sumawong, Anannit

“…•Parsimonious margin model captures term-structure of futures contracts.•Parameters may be calibrated to mimic characteristics of current margins, if…”
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Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets by Kaeck, Andreas

“…This paper studies alternative distributions for the size of price jumps in the S&P 500 index. We introduce a range of new jump-diffusion models and extend…”
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Continuous-time VIX dynamics: On the role of stochastic volatility of volatility by Kaeck, Andreas, Alexander, Carol

“…This paper examines the ability of several different continuous-time one- and two-factor jump-diffusion models to capture the dynamics of the VIX volatility…”
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Option Pricing of Earnings Announcement Risks by Dubinsky, Andrew, Johannes, Michael, Kaeck, Andreas, Seeger, Norman J.

“…This paper uses option prices to learn about the equity price uncertainty surrounding information released on earnings announcement dates. To do this, we…”
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Hedging Surprises, Jumps, and Model Misspecification: A Risk Management Perspective on Hedging S&P 500 Options by Kaeck, Andreas

“…This article provides comprehensive tests of alternative jump-diffusion models for the purpose of hedging S&P 500 options. We explicitly take into account the…”
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VIX derivatives, hedging and vol-of-vol risk by Kaeck, Andreas, Seeger, Norman J.

“…•Hedging performance of alternative VIX option pricing models is analyzed.•Testing based on hedging rather than pricing performance is more powerful.•Black…”
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Stochastic Volatility Jump-Diffusions for European Equity Index Dynamics by Kaeck, Andreas, Alexander, Carol

“…Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a…”
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Regime dependent determinants of credit default swap spreads by Alexander, Carol, Kaeck, Andreas

“…Credit default swap (CDS) spreads display pronounced regime specific behaviour. A Markov switching model of the determinants of changes in the iTraxx Europe…”
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The Role of Binance in Bitcoin Volatility Transmission by Alexander, Carol, Heck, Daniel F., Kaeck, Andreas

“…We analyse high-frequency realized volatility dynamics and spillovers between centralized crypto exchanges that offer spot and derivative contracts for bitcoin…”
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Equity index variance: Evidence from flexible parametric jump–diffusion models by Kaeck, Andreas, Rodrigues, Paulo, Seeger, Norman J.

“…This paper analyzes a wide range of flexible drift and diffusion specifications of stochastic-volatility jump–diffusion models for daily S&P 500 index returns…”
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Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns by Kaeck, Andreas, Rodrigues, Paulo, Seeger, Norman J.

“…We apply a range of out-of-sample specification tests to more than forty competing stochastic volatility models to address how model complexity affects…”
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Price impact versus bid–ask spreads in the index option market by Kaeck, Andreas, van Kervel, Vincent, Seeger, Norman J.

“…We investigate the puzzle of why bid–ask spreads of options are so large by focussing on the price impact component of the spread. We propose a structural…”
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Model risk adjusted hedge ratios by Alexander, Carol, Kaeck, Andreas, Nogueira, Leonardo M.

“…Most option pricing models assume all parameters except volatility are fixed; yet they almost invariably change on re‐calibration. This article explains how to…”
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The Role of Binance in Bitcoin Volatility Transmission by Alexander, Carol, Heck, Daniel, Kaeck, Andreas

“…We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main…”
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