Results 31 to 40 of about 985,955 (228)
Forecasting the Term Structure of Variance Swaps [PDF]
SSRN Electronic Journal, 2006 Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price
Wolfgang Karl Härdle, Kai Detlefsen
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, 2011 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. This paper defines and analyzes a simple variance swap, a relative of the variance swap that in several respects has more desirable properties.
Ian Martin
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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 payoffs, risk premia and extreme market conditions
, 2019 Jeroen V.K. Rombouts +2 more
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A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
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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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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Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
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A note on contracts on quadratic variation. [PDF]
PLoS ONE, 2017 Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap.
Carl Lindberg
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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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Pricing of Pseudo-Swaps Based on Pseudo-Statistics
Risks, 2023 The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
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