Results 31 to 40 of about 185,677 (330)
Forward/forward volatilities and the term structure of implied volatility
Applied Economics Letters, 1997 Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.
Mike Buckle, Owain ap Gwilym
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A possible interpretation of financial markets affected by dark volatility
Communications in Analysis and Mechanics, 2023 The aim of this paper is to use a special type of Einstein warped product manifolds recently introduced, the so-called PNDP-manifolds, for the differential geometric study, by focusing on some aspects related to dark field in financial market such as the
Richard Pinčák +5 more
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A Nonparametric Analysis of the Forward Rate Volatilities [PDF]
SSRN Electronic Journal, 1999 Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of interest rates which nests most other models as special cases. In their framework, the dynamics of the term structure and the prices of derivative instruments depend only upon the initial term structure and the forward rate volatility functions.
Neil D. Pearson +2 more
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Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Jian Liu +3 more
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Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward Markets [PDF]
SSRN Electronic Journal, 2008 Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify ...
Benoît Sévi +2 more
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Energies, 2022 In this empirical study, multifactor stochastic volatility models for the financial Nordic/Baltic power markets are developed, implemented, and analyzed.
Per Bjarte Solibakke
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On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
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EnergiesAccurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices ...
Hyeon-Seok Kim +2 more
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Energies, 2019 The joint uncertainties of wholesale price and end-user demand quantity often poses huge pricing challenges to energy retailers. However, the literature lacks analysis of such uncertainties’ impacts on retailer pricing behaviors and possible ...
Haitao Xiang +3 more
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Approximation of BSDE with hidden forward equation and unknown volatility
Econometrics and Statistics, 2023 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 V. Chernoyarov, Yury A. Kutoyants
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