A comparison of implied and realized volatility in the Nordic power forward market [PDF]
Energy Economics, 2015 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.
Ole Henrik Birkelund +4 more
semanticscholar +7 more sources
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
semanticscholar +5 more sources
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.
Björk, Tomas +2 more
core +2 more sources
The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market [PDF]
, 2007 Using a flexible method, we develop the term structure of volatility implied by corn futures options with differing maturities, and evaluate its ability to predict subsequent realized price volatility. The implied forward volatilities anticipate realized
Thorsten M. Egelkraut +2 more
openalex +2 more sources
Forward start volatility swaps in rough volatility models [PDF]
arXiv, 2022 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 $H\in(0,\frac12)$ does not depend on the ...
Alòs, Elisa +2 more
arxiv +3 more sources
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
doaj +2 more sources
Forward Volatility Contract Pricing in the Brazilian Market
Revista Brasileira de Finanças, 2004 In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime ...
Sandro Magalhães Manteiga +2 more
doaj +2 more sources
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
doaj +2 more sources
A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices [PDF]
arXiv, 2017 We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure, decorrelation of moves in different points on the forward curve, and implied volatility skew and smile.
Mark Higgins
arxiv +3 more sources
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature [PDF]
arXiv, 2017 Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic volatility models with continuous paths.
Elisa Alòs +2 more
arxiv +3 more sources