Results 231 to 240 of about 9,678 (267)

Evidence of forward discount determinants and volatility behavior

Journal of Economic Studies, 1998
This 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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Implied Volatility and Forward Price Term Structures

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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Pricing forward-start variance swaps with stochastic volatility

Applied Mathematics and Computation, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhu, Song-Ping, Lian, Guang-Hua
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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.
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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.
Ahlip, Rehez (R7177), Rutkowski, Marek
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Irregularities in forward-looking volatility

The Quarterly Review of Economics and Finance, 2022
Mahmoud Qadan, Doron Nisani, Ron Eichel
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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 ...
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RECOVERING LOCAL VOLATILITY FUNCTIONS OF FORWARD LIBOR RATES [PDF]

, 2000
It is commonly observed in the market that implied volatilities of standard European options vary with strike levels and expiration dates. The former is usually referred to as volatility skew and the later is volatility term structure. The idea of implied pricing is to recover the dynamics of the underlying asset from market prices of liquid options ...
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Neural Network–Based Financial Volatility Forecasting: A Systematic Review

ACM Computing Surveys, 2023
Wenbo Ge
exaly