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Forward rate models with linear volatilities [PDF]
Finance and Stochastics, 2011 21 pages.
Michał Barski, Jerzy Zabczyk
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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.
Benoît SEVI, Yannick LE PEN
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Journal of Computational and Applied Mathematics, 2017 Sumei Zhang, Yudong Sun
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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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Dynamics of the Forward Curve and Volatility of Energy Futures Prices [PDF]
SSRN Electronic Journal, 2009 The shapes of forward curves of energy commodities are believed to contain information on the volatility of futures prices for these commodities. The slope of the forward curve not only reflects temporal supply and demand conditions, but also the relationship between current and expected market conditions.
Amir H. Alizadeh, Wayne K. Talley
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Bonds with volatilities proportional to forward rates [PDF]
, 2009 The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and non-existence of the solution in the class of bounded fields are formulated.
Michał Baran, Jerzy Zabczyk
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Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model [PDF]
The Journal of Fixed Income, 2000 This article presents a number of new ideas concerned with implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities the market uses to price European swap options from the volatilities used to price interest rate caps.
John C. Hull, Alan White
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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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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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