The price-volatility feedback rate: An implementable mathematical indicator of market stability

Mathematical Finance

Volumn 13, Issue 1, 2003, Pages 17-35

  Barucci, Emilio ^a   Malliavin, Paul ^b   Mancino, Maria Elvira ^c   Renò, Roberto ^d   Thalmaier, Anton ^e  

^a UNIVERSITY OF PISA   (Italy)

^b Institut de France   (France)

^c UNIVERSITY OF FLORENCE   (Italy)

^d UNIVERSITY OF SIENA   (Italy)

^e UNIVERSITY OF BONN   (Germany)

Author keywords

Fourier series; Greeks; Liquidity; Market stability; Moving frame; Stochastic calculus of variations; Volatility matrix

Indexed keywords

EID: 0141902107     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.t01-1-00003     Document Type: Conference Paper

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