Results 201 to 210 of about 190,252 (236)
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Volatility Transmission in the Real Estate Spot and Forward Markets
The Journal of Real Estate Finance and Economics, 2005How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as well as between spot and futures markets.
Yiu, CY, Chau, KW, Wong, SK
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A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles [PDF]
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 ...
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Implied Volatility and Forward Price Term Structures [PDF]
SSRN Electronic Journal, 2009 This paper discusses the relation between forward price models (FPM) and the so called implied volatility term structure (VTS). We start by considering the case of pure deterministic forward price volatilities and suppose both forward contracts and at-the-money (ATM) options, on a same underlying, are liquidly traded in the market.
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Evidence of forward discount determinants and volatility behavior
Journal of Economic Studies, 1998This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount volatility. Results also suggest that foreign central bank reserves
Maria Sophia Aguirre, Reza Saidi
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2015
For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
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For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
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PPlya-Based Approximation for the ATM-Forward Implied Volatility
SSRN Electronic Journal, 2017We introduce a closed form approximation for the implied volatility of ATM-forward options. The relative error of this approximation is uniformly bounded for all option maturities and implied volatilities. The approximation is extremely precise, having relative error less than [Formula: see text] for all options with integrated volatility less than ...
Radoš Radoičić +2 more
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Are volatility indices in international stock markets forward looking? [PDF]
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas, 2009 We analyze the information content in volatility indices of international stock markets regarding current and future market conditions. We find strong negative relationships between changes in volatility indices and current market returns, as well as Granger causality running in both directions. Unfortunately, these correlations cannot be exploited, at
María Teresa Solís González +1 more
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Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations
SSRN Electronic Journal, 2016Ahead 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.
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Pricing forward-start variance swaps with stochastic volatility
Applied Mathematics and Computation, 2015Abstract In this paper, a general approach is presented to price forward-start variance swaps with discrete sampling times, based on the Heston (1993)’s two-factor stochastic volatility model. Using this approach we work out two analytical closed-form formulae for the price of forward-start variance swap with the realized variance being defined by ...
Zhu, Song-Ping, Lian, Guang-Hua
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A Forward Shooting Grid Method for Option Pricing with Stochastic Volatility
The Journal of Derivatives, 2012One of the most common sources of path dependency in derivatives arises when the volatility is stochastic. This is apparent in the basic binomial model, where time-varying volatility causes the lattice to splinter rather than recombine, leading to n2 different nodes at the nth time step instead of n + 1 nodes in a tree that recombines.
COSTABILE, Massimo +2 more
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