A model-free no-arbitrage price bound for variance options [PDF]
In the framework of Galichon, Henry-Labordère and Touzi, we consider the model-free no-arbitrage bound of variance option given the marginal distributions of the underlying asset.
J. Frederic Bonnans, Xiaolu Tan
core
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model [PDF]
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread.
Carl Chiarella +2 more
core
"New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation" [PDF]
In the present paper, we propose a new computational technique with the Asymptotic Expansion (AE) approach to achieve variance reduction of the Monte-Carlo integration appearing especially in finance.
Akihiko Takahashi, Yoshihiko Uchida
core
The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused the single-name variance swap market to dry up completely.
Ian Martin
core
The Determinants of Credit Default Swap Premia [PDF]
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression.
Jan Ericsson +2 more
core
Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps [PDF]
, 2011 Wendong Zheng, Yue Kuen Kwok
openalex +1 more source
Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap) [PDF]
, 2012 Ghada Zgolli
openalex +1 more source
A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY [PDF]
, 2014 Liwei Zhang
openalex +1 more source
The combination of Hebbian and predictive plasticity learns invariant object representations in deep sensory networks. [PDF]
Nat Neurosci, 2023 Halvagal MS, Zenke F.
europepmc +1 more source