Results 11 to 20 of about 985,955 (228)
Model independent hedging strategies for variance swaps [PDF]
arXiv, 2011 A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and ...
David Hobson, Martin Klimmek
arxiv +9 more sources
Arithmetic variance swaps [PDF]
Quantitative Finance, 2016 Biases in standard variance swap rates can induce substantial deviations below market rates. Defining realised variance as the sum of squared price (not log-price) changes yields an `arithmetic' variance swap with no such biases.
Alexander, Carol, Leontsinis, Stamatis
core +4 more sources
"Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments" [PDF]
, 2011 This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to ...
Akihiko Takahashi +2 more
core +8 more sources
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
doaj +2 more sources
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
doaj +2 more sources
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model [PDF]
arXiv, 2020 This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for Barndorff-Nielsen and Shephard model used in financial markets.
Subhojit Biswas +2 more
arxiv +3 more sources
Quadratic Variance Swap Models
SSRN Electronic Journal, 2013 AbstractWe introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly facilitating empirical analysis.
Filipovic Damir +2 more
openaire +5 more sources
Variance Swap Replication: Discrete or Continuous? [PDF]
Journal of Risk and Financial Management, 2015 The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.
Fabien Le Floc’h
openaire +8 more sources
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
doaj +2 more sources
On the variance and skewness of the swap rate in a stochastic volatility interest rate model [PDF]
South African Statistical Journal, 2021 This paper provides new insight in the distribution of the (forward par) swap rate in a stochastic volatility model for the dynamics of the forward rate curve.
Palapies, Lars
core +3 more sources