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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 ...
Jorge C. Kapotas +2 more
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Spot and Forward Volatility in Foreign Exchange [PDF]
Journal of Financial Economics, 2010 This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates.
Pasquale Della Corte +2 more
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An examination of forward volatility [PDF]
Proceedings of the 2004 Winter Simulation Conference, 2004., 2004 R. Popovic, D. Goldsman
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Approximation of BSDE with Hidden Forward Equation and Unknown Volatility [PDF]
Econometrics and Statistics, 2020 In the present paper the problem of approximating the solution of BSDE is considered in the case where the solution of forward equation is observed in the presence of small Gaussian noise. We suppose that the volatility of the forward equation depends on an unknown parameter. This approximation is made in several steps.
Oleg Chernoyarov, Yury A. Kutoyants
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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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Forecasting the Worst: Is Implied Volatility Forward-Looking Enough?
Paola De Vincentiis, Carlo Confalonieri
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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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Quantitative Convergence for Displacement Monotone Mean Field Games with Controlled Volatility [PDF]
Mathematics of Operations Research, 2023 We study the convergence problem for mean field games with common noise and controlled volatility. We adopt the strategy recently put forth by Laurière and the second author, using the maximum principle to recast the convergence problem as a question of “
Joe Jackson, Ludovic Tangpi
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