Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets [PDF]
arXiv, 2017 This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L\'{e}vy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equivalent martingale measure ...
arxiv
Kredi Risk Priminin Döviz Kuruna Etkisi(Impact of Credit Risk Premium on Exchange Rate )
Yönetim ve EkonomiThe credit default swap, which measures the risk of financial instruments issued by a country, is one of the key variables influencing the exchange rate.
Bilge PEKÇAĞLAYAN
doaj
Global variance term premia and intermediary risk appetite
, 2016 Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve.
Van Tassel, Peter, Vogt, Erik
core
Moment Methods for Exotic Volatility Derivatives [PDF]
arXiv, 2007 The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment methods and discuss applications ...
arxiv
The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight? [PDF]
This note investigates the transmission of volatility from longer maturities to the overnight segment of the Euro area money market. I use non-parametric estimates of the daily variance of swap rates to test for block exogeneity with respect to the ...
Zagaglia, Paolo
core
Normalization for Implied Volatility [PDF]
arXiv, 2010 We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
arxiv
Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market [PDF]
, 2010 We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast variance using the ...
Fausti, Scott +2 more
core +1 more source
Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation [PDF]
arXiv, 2017 In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy, we use a Fourier approach in a general multidimensional semimartingale factor ...
arxiv
A Consistent Pricing Model for Index Options and Volatility Derivatives [PDF]
We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently.
Cont, Rama, Kokholm, Thomas
core
Quantifying the Variance Risk Premium in VIX Options [PDF]
, 2011 This thesis uses synthetically created variance swaps on VIX futures to quantify the variance risk premium in VIX options. The results of this methodology suggest that the average premium is -3.26%, meaning that the realized variance on VIX futures is ...
Hogan, Reed M
core +1 more source