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Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps. [PDF]
PLoS ONEThis paper presents the pricing formulas for variance swaps within the Heston model that incorporates jumps and a stochastic long-term mean for the underlying asset. By leveraging the Feynman-Kac theorem, we derive a partial integro-differential equation
Jing Fu
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Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities [PDF]
Risks, 2023 In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities.
Anatoliy Swishchuk, Sebastian Franco
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A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps [PDF]
Frontiers in Applied Mathematics and Statistics, 2021 Estimates of risk-neutral densities of future asset returns have been commonly used for pricing new financial derivatives, detecting profitable opportunities, and measuring central bank policy impacts.
Liyuan Jiang +4 more
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AIMS MathematicsThe CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
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On pricing variance swaps in discretely-sampled with high volatility model
Results in Nonlinear Analysis, 2021 In this paper, we investigate valuation of discretely-sampled variance swaps in a financial asset price model with increase in volatility. More precisely, we consider a stochastic differential equation model with an additional parameter which augments ...
Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan
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Optimal low-depth quantum signal-processing phase estimation [PDF]
Nature CommunicationsQuantum effects like entanglement and coherent amplification can be used to drastically enhance the accuracy of quantum parameter estimation beyond classical limits.
Yulong Dong +2 more
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Multi-objective periodic maintenance scheduling and optimization via krill herd algorithm [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2021 This study addresses a multi-objective programming model for optimizing periodic maintenance scheduling of department assets with a specified set of machines and instruments under a given planning time period. An aim is to minimize the overall variance
Pasura Aungkulanon +2 more
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Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
Discrete Dynamics in Nature and Society, 2021 This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing
Shican Liu +3 more
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Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
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Effect of Variance Swap in Hedging Volatility Risk
Risks, 2020 This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
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