Results 321 to 330 of about 2,210,161 (360)

Irregularities in forward-looking volatility

The Quarterly Review of Economics and Finance, 2022
Mahmoud Qadan, Doron Nisani, Ron Eichel
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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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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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Spread and volatility in spot and forward exchange rates

Journal of International Money and Finance, 1994
Abstract This paper is concerned with modeling the conditional heteroscedasticity of the prediction error of foreign exchange rates. As spot and forward rates are cointegrated we use a system of error correction models for mean prediction. To predict the variance we use a vibariate generalized autoregressive conditional heteroscedasticity (GARCH ...
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Pricing Electricity Forwards Under Stochastic Volatility

SSRN Electronic Journal, 2001
Based on the peculiarities of electricity as underlying commodity of forward contracts we develop a time-continuous pricing model for short-term electricity forwards. The suggested stochastic volatility model utilizes the non-tradeable spot price of electricity and its variance rate as state variables.
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Fourier-cosine method for pricing forward starting options with stochastic volatility and jumps

, 2017
Sumei Zhang, Junhao Geng
semanticscholar   +1 more source

Predicting S&P 500 volatility for intermediate time horizons using implied forward volatility

, 2008
T. M. Egelkraut, P. Garcia
semanticscholar   +1 more source

Using VIX futures to hedge forward implied volatility risk

, 2016
Yueh‐Neng Lin, Anchor Y. Lin
semanticscholar   +1 more source

Pricing forward-start variance swaps with stochastic volatility

Applied Mathematics and Computation, 2015
Song‐Ping Zhu, G. Lian
semanticscholar   +1 more source

The effect of oil and gas price and price volatility on rig activity in tight formations and OPEC strategy

Nature Energy, 2019
Robert K Kaufmann
exaly