Results 11 to 20 of about 185,677 (330)
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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Volatility of Forward Price in Dry Shipping Market
Procedia - Social and Behavioral Sciences, 2013 AbstractThe purpose of this paper is to investigate the volatility of forward contract price during different phases and holding periods in dry bulk shipping market, which could be helpful for the hedging and portfolio on the shipping market. This paper applies the Stochastic Volatility model to analyze the volatility, and the parameters of the model ...
Xiaoxing Gong, Jing Lu
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Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility
Revista de Contabilidad: Spanish Accounting Review, 2019 The purpose of this paper is to investigate whether forward-looking disclosures and corporate reputation lead to a reduction in stock return volatility. This study measures financial forward-looking information, by conducting a content analysis of annual
Francisco Bravo Urquiza
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Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis [PDF]
Risks, 2021 Under the impact of both increasing credit pressure and low economic returns characterizing developed countries, investment levels have decreased over recent years.
Luca Di Persio +2 more
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Dynamics of the Forward Curve and Volatility of Energy Futures Prices [PDF]
SSRN Electronic Journal, 2009 The shapes of forward curves of energy commodities are believed to contain information on the volatility of futures prices for these commodities. The slope of the forward curve not only reflects temporal supply and demand conditions, but also the relationship between current and expected market conditions.
Amir H. Alizadeh, Wayne K. Talley
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Bonds with volatilities proportional to forward rates [PDF]
, 2009 The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields are formulated.
Michał Baran, Jerzy Zabczyk
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Forward Start Volatility Swaps in Rough Volatility Models
Asia-Pacific Financial MarketsAbstract This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with
Elisa Alòs +2 more
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Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model [PDF]
The Journal of Fixed Income, 2000 This article presents a number of new ideas concerned with implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities the market uses to price European swap options from the volatilities used to price interest rate caps.
John C. Hull, Alan White
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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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Credit-implied forward volatility and volatility expectations
Finance Research Letters, 2015 AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
Hans Byström
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