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Statistical properties of derivatives: a journey in term structures

Author

Listed:
  • Delphine Lautier

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Franck Raynaud

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Delphine Lautier & Franck Raynaud, 2011. "Statistical properties of derivatives: a journey in term structures," Post-Print halshs-00640915, HAL.
    • Handle: RePEc:hal:journl:halshs-00640915
    as

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    Citations

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    Cited by:

    1. repec:dau:papers:123456789/13630 is not listed on IDEAS
    2. García-Carranco, Sergio M. & Bory-Reyes, Juan & Balankin, Alexander S., 2016. "The crude oil price bubbling and universal scaling dynamics of price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 60-68.
    3. Edouard Jaeck & Delphine Lautier, 2014. "Samuelson hypothesis and electricity derivative markets," Post-Print hal-01655800, HAL.
    4. repec:dau:papers:123456789/14413 is not listed on IDEAS
    5. Jaeck, Edouard & Lautier, Delphine, 2016. "Volatility in electricity derivative markets: The Samuelson effect revisited," Energy Economics, Elsevier, vol. 59(C), pages 300-313.
    6. Delphine H. Lautier & Franck Raynaud & Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, , vol. 40(3), pages 125-154, May.
    7. Pierre-Arnaud Drouhin & Arnaud Simon & Yasmine Essafi, 2016. "Forward Curve Risk Factors Analysis in the UK Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 494-526, November.

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