Model-Free Discretisation-Invariant Swap Contracts [PDF]
arXiv, 2016 Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-offs based on martingale and log ...
arxiv
A Further Look at the 2004 Reform of the Operational Framework of the ECB [PDF]
This note reconsiders the impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are ...
Marzo, Massimiliano, Zagaglia, Paolo
core
Probabilistic Analysis of the Dual-Pivot Quicksort "Count" [PDF]
arXiv, 2017 Recently, Aum\"uller and Dietzfelbinger proposed a version of a dual-pivot quicksort, called "Count", which is optimal among dual-pivot versions with respect to the average number of key comparisons required. In this note we provide further probabilistic analysis of "Count".
arxiv
Variance Swaps and Intertemporal Asset Pricing [PDF]
This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to deviations
Alfonso Novales Cinca +2 more
core
Insecticide Use and Crop Selection: A South Dakota Case Study [PDF]
South Dakota has recently experienced a significant increase in the proportion of acres treated with insecticide. Unfortunately, data on insecticide usage by crop at the county level is not available. The following case study seeks to uncover the reasons
Catangui, Mike +5 more
core +1 more source
Credit Default Swap Spreads and Variance Risk Premia [PDF]
, 2010 Hao Zhou, Wang Hao, Yi Zhou
openalex +2 more sources
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
arXiv, 2008 This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented.
arxiv
Corridor implied volatility and the variance risk premium in the Italian market [PDF]
Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers.
Silvia Muzzioli
core +1 more source
Multiscale stochastic volatility for variance swaps with constant elasticity of variance [PDF]
, 2022 Ji-Su Yu, Jeong‐Hoon Kim
openalex +1 more source
Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case [PDF]
, 2023 Anqi Zou, Jiajie Wang, Chi-Ye Wu
openalex +1 more source