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NameTypeDateSizeFileOrder No.
Products 2012 
BrochureJan 20122370 kBE2E-153-0112
Volatile times

Markus-Alexander Flesch, Eurex
 
Article & SurveyJun 2011107 kBonly available online
Eurex Option Seminar: Introduction to Theoretical Pricing Models 
PresentationMay 2011453 kBonly available online
Volatility Products at Eurex 
PresentationJan 20111722 kBonly available online
Eurex VSTOXX® Futures & Options - Portfolio Diversification & Alpha Generating Opportunities for Hedge Funds 
PresentationJul 20101830 kBonly available online
Eurex VSTOXX® Futures & Options - Portfolio Diversification & Trading Opportunities 
PresentationJun 20101688 kBonly available online
Volatility Index Derivatives - Eurex Volatility Index Derivatives - Pinpoint Pan-European Risk 
FlyerMar 2010144 kBE5E-278-0310
The World of Equity Derivatives. The Essential Toolbox for Investors. 
BrochureSep 200816012 kBE2E-122-0908
Volatility - The Perfect Asset Class for the Equity Fund Manager? 
Article & SurveyNov 2007648 kBonly available online
Construction Of the Implied Volatility Smile

Eurex Product Design
Construction Of the Implied Volatility Smile
Even extremely liquid markets, as the market for European style options on equity indexes, sometimes fail to provide sufficient data for pricing its options, as an example particular options might not be liquid enough. We are investigating an extension of a well-known and widely spread "market-based" Vanna-Volga method, which not only allows to retrieve reasonable estimates for option premiums, but also to determine consistent implied volatilities easily. The theoretical results are then analyzed using the daily settlement prices of the Dow Jones EURO STOXX 50 call options traded at Eurex. Introducing a stochastic volatility model, we were also able to deliver an explanation for the formulas, which were previously heuristically justified merely by formal expansion of the option premium by Itô.
Academic StudyMay 2007746 kBonly available online
Annual Derivatives in Fund Management Survey - 2005 
Article & SurveyMay 2005536 kBonly available online
Volatility and its Measurements: The Design of a Volatility Index and the Execution of its Historical Time Series at the Deutsche Börse AG

Eurex Product Design
Volatility and its Measurements: The Design of a Volatility Index and the Execution of its Historical Time Series at the Deutsche Börse AG
In April 2005 Stoxx Limited, the Swiss Exchange and Deutsche Börse launched a new family of volatility indexes. To prepare for the launch of new derivative products based on these indexes Eurex strongly supported the development and performed the construction of the historical time series. In this thesis we outline various volatility concepts usable as an underlying and explain which one is most suitable for index construction and forms the basis of the new index family. We outline in detail the actual index construction algorithm and document how the historical time series were evaluated. Finally we perform a first analysis of the historical time series. This analysis can be used as a basis to both develop and understand new volatility derivatives at Eurex.
Academic StudyApr 2005392 kBonly available online
Hedge Funds Trading Strategies 
Article & SurveyJan 200325 kBonly available online

 








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