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Fuzzy Option Pricing Using a Novel Data-Driven Feed Forward Neural Network Volatility Model
IEEE International Conference on Fuzzy Systems, 2019Recently there has been a growing interest in combining randomness and fuzziness to solve option pricing problems in finance using volatility models such as GARCH (generalized autoregressive conditional heteroskedasticity) and Heston-Nandi GARCH.
A. Thavaneswaran +4 more
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Common Forward Rate Volatility
SIAM Journal on Financial Mathematics, 2010Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and a diffusion.
Victor Goodman, Kyounghee Kim
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Competitive trading in forward and spot markets under yield uncertainty
Production and operations management, 2022Many agricultural commodities are traded in both forward and spot markets. This paper studies the interplay of random yield and forward market in a hybrid market with spot and forward transactions.
Lusheng Shao, Derui Wang, Xiaole Wu
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Quantifying the sources of volatility in the IFRS 9 impairments
South African Journal of Accounting Research, 2021The International Financial Reporting Standards (IFRS) 9 accounting standard gives rise to impairments that are sensitive to the economic cycle. Rules around stage migration and the incorporation of forward-looking information lead to volatility in the ...
Y. Stander
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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 ...
openaire +2 more sources
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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