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Asymptotics of Forward Implied Volatility [PDF]
SSRN Electronic Journal, 2015 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models.
Antoine Jacquier, Patrick Roome
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Forward implied volatility expansion in time-dependent local volatility models****** [PDF]
ESAIM: Proceedings and Surveys, 2014 We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
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Quantum field theory of forward rates with stochastic volatility [PDF]
Physical Review E, 2002 In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility.
Belal E. Baaquie
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The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?
Borsa Istanbul Review, 2015 The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear,
Imlak Shaikh, Puja Padhi
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An Examination of Forward Volatility [PDF]
Proceedings of the 2004 Winter Simulation Conference, 2004., 2005 This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities. As a general proposition we are interested in discovering possible features and rules-of-thumb for the applicability of p.c. techniques. In particular, what accuracy does one
Ray Popovic, David Goldsman
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Path-Conditional Forward Volatility [PDF]
SSRN Electronic Journal, 2006 In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on the level of the underlying variable as in the local ...
Alexander Carey
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The relationship between corporate forward-looking disclosure and stock return volatility [PDF]
Problems and Perspectives in Management, 2018 The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to
Gehan A. Mousa, Elsayed A. H. Elamir
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Finite–dimensional Markovian realizations for stochastic volatility forward–rate models [PDF]
, 2004 We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process.
Tomas Björk +2 more
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Forward rate models with linear volatilities [PDF]
Finance and Stochastics, 2011 21 pages.
Michał Barski, Jerzy Zabczyk
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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options [PDF]
Journal of Agricultural and Resource Economics, 2006 Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
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