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Report NEP-FMK-2011-03-26
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Iead Rezek, 2011, "Constrained Mixture Models for Asset Returns Modelling," Papers, arXiv.org, number 1103.2670, Mar.
- Rama Cont & Yu Hang Kan, 2011, "Dynamic hedging of portfolio credit derivatives," Post-Print, HAL, number hal-00578008, Feb, DOI: 10.1137/090750937.
- Chia-Lin Chang & Juan-à ngel Jiménez-MartÃn & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 761, Mar.