Results 81 to 90 of about 190,252 (236)
Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets [PDF]
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates.
Colavecchio , Roberta, Funke, Michael
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Media Statistika, 2014 High fluctuations in stock returns is one problem that is considered by the investors. Therefore we need a model that is able to predict accurately the volatility of stock returns.
Hasbi Yasin, Suparti Suparti
doaj +1 more source
Over-the-Counter Forward Contracts and Spot Price Volatility
SSRN Electronic Journal, 2003 Abstract The purpose of this paper is to investigate the impact of the introduction of Forward Freight Agreement (FFA) trading on spot market price volatility in two panamax Atlantic (1 and 1A) and two panamax Pacific (2 and 2A) trading routes of the dry-bulk shipping industry.
Kavussanos, Manolis G. +2 more
openaire +3 more sources
Modelling and Estimating the Forward Price Curve in the Energy Market [PDF]
The stochastic or random nature of commodity prices plays a central role in models for valuing financial contingent claims on commodities. In this paper, by enhancing a multifactor framework which is consistent not only with the market observable forward
Boda Kang, Carl Chiarella, Les Clewlow
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Forward start volatility swaps in rough volatility models [PDF]
, 2022 Elisa Alòs +2 more
openalex +1 more source
On the pricing of forward starting options under stochastic volatility [PDF]
, 2003 We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility.
openaire +2 more sources
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, Alan +2 more
core +1 more source
Using electricity options to hedge against financial risks of power producers
Journal of Modern Power Systems and Clean Energy, 2013 As a consequence of competition in electricity markets, a wide variety of financial derivatives have emerged to allow market agents to hedge against risks.
Salvador Pineda, Antonio J. Conejo
doaj +1 more source
Natural volatility and option pricing [PDF]
In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of an unspecified, fully stochastic volatility. The input volatility functions are allowed to fluctuate randomly and to depend on time to expiration in a ...
Carey, Alexander
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A Markovian Defaultable Term Structure Model with State Dependent Volatilities [PDF]
The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, jarrow and Morton (1992) framework where jumps in the defaultable term structure f d(t, T) cause jumps and defaults to the defaultable ...
Carl Chiarella +2 more
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