Results 11 to 20 of about 9,634 (299)
Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward Markets [PDF]
SSRN Electronic Journal, 2008 Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify ...
Yannick Le Pen, Benoît Sévi
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Forward Starting Option Pricing under Double Fractional Stochastic Volatilities and Jumps [PDF]
Fractal and FractionalThis paper aims to provide an effective method for pricing forward starting options under the double fractional stochastic volatilities mixed-exponential jump-diffusion model.
Sumei Zhang, Haiyang Xiao, Hongquan Yong
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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 at the Money Forward Implied Volatility and Forward Underlying Move Estimations
SSRN Electronic Journal, 2016 Ahead of the 23rd June UK referendum on "Brexit", this note provides a technique for estimating the Forward (at referendum date) At The Money Forward (ATMF) implied volatility for equity or FX Indexes. We provide a closed form formula for the forward underlying expected moves (for short terms maturities) post the referendum date.
Didier Youmbi
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Forecasting Spot Price Volatility Using the Short-Term Forward Curve
Energy Economics, 2010 This paper uses high-frequency real-time spot prices and day-ahead forward prices from the eastern hub of the Pennsylvania-New Jersey-Maryland (PJM) electricity market to calculate, describe, and forecast realized spot price volatility. Using Heterogeneous Autoregressive models of realized volatility (HAR-RV) we find that, as in financial markets ...
Erik Haugom, Carl J. Ullrich
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A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles
SSRN Electronic Journal, 2003 Volatility smiles of European swaptions of various expiries and maturities typically have different slopes. This important feature of interest rate markets has not been incorporated in any of the practical interest rate models available to date. In this paper, we build a model that treats the swaption skew matrix as a market input and is calibrated to ...
Vladimir Piterbarg
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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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The Effect of Electricity Forward Contracts Trading in the Energy Exchange on the Volatility of Spot Prices in Iran Electricity Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2015 Iran Energy Exchange started to work on 03/09/2013. Electricity trading is carried out within the framework of forward contracts in this exchange.
Mehran Kianvand, Asadollah Farzinvash
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Forward Start Options Under Stochastic Volatility and Stochastic Interest Rates
International Journal of Theoretical and Applied Finance, 2009 Forward start options are examined in Heston's (Review of Financial Studies6 (1993) 327–343) stochastic volatility model with the CIR (Econometrica53 (1985) 385–408) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to be correlated with the dynamics of stock return.
Rehez Ahlip, Marek Rutkowski
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