Results 11 to 20 of about 190,252 (236)
Managing Forward Volatility and Skew Risk
SSRN Electronic Journal, 2021 The forward start dual volatility swap is introduced. It can be regarded as the analog for volatility of what the entropy contract is for variance. Under the risk neutral measure it is shown that the difference between the forward start volatility swap and its dual is approximately the difference between two specific forward start implied volatilities.
Frido Rolloos
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Forward curves, scarcity and price volatility in oil and natural gas markets [PDF]
, 2009 The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N.
Hélyette Geman, Steve Ohana
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A Comparison of Implied and Realized Volatility in the Nordic Power Forward Market [PDF]
Energy Economics, 2015 Abstract In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied volatility has a positive bias against the realized
Ole Henrik Birkelund +4 more
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A Nonparametric Analysis of the Forward Rate Volatilities [PDF]
SSRN Electronic Journal, 1999 Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of interest rates which nests most other models as special cases. In their framework, the dynamics of the term structure and the prices of derivative instruments depend only upon the initial term structure and the forward rate volatility functions.
Neil D. Pearson, Anjun Zhou
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Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility [PDF]
The Journal of Derivatives, 2020 31 pages, 9 figures, 2 ...
Peter Carr, Andrey Itkin, Sasha Stoikov
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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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Forward Volatility Dynamics in Stochastic Volatility Models Driven by a Gamma Process
SSRN Electronic Journal, 2018 Pricing models within the Black-Scholes framework assume that the volatility of the underlying security remains constant over the life of the derivative, which cannot explain long-observed characteristics of the implied volatility surface such as volatility smile and skew.
Lyudmil Zyapkov
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Forward trading and collusion of firms in volatile markets [PDF]
, 2014 Assuming deterministic demand Liski and Montero (2006) show that forward trading is able to facilitate collusion. We present a more concise model incorporating the main reason for forward trading: Uncertainty. In general, fl uctuations make collusion harder to sustain (Rotemberg and Saloner, 1986).
Markus Aichele
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Analysing Quantiles in Models of Forward Term Rates
Risks, 2023 The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments.
Thomas A. McWalter +2 more
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