Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]
arXiv, 2022 In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv
The Italian version of the Reflective Functioning Questionnaire: Validity data for adults and its association with severity of borderline personality disorder. [PDF]
PLoS ONE, 2018 INTRODUCTION:Impairments in the ability to understand others and the self in terms of internal mental states (reflective functioning [RF] or mentalizing) are thought to play a key role in the development of borderline personality disorder (BPD).
Niccolò Morandotti +10 more
doaj +1 more source
Spectral Expansions for Credit Risk Modelling with Occupation Times
Risks, 2022 We study two credit risk models with occupation time and liquidation barriers: the structural model and the hybrid model with hazard rate. The defaults within the models are characterized in accordance with Chapter 7 (a liquidation process) and Chapter ...
Giuseppe Campolieti +2 more
doaj +1 more source
Variance risk in commodity markets [PDF]
, 2017 We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets.
Prokopczuk, Marcel +2 more
core +4 more sources
Influence of Plant Fraction, Soil, and Plant Species on Microbiota: a Multikingdom Comparison
mBio, 2020 Plant roots influence the soil microbiota via physical interaction, secretion, and plant immunity. However, it is unclear whether the root fraction or soil is more important in determining the structure of the prokaryotic or eukaryotic community and ...
Andrzej Tkacz +4 more
doaj +1 more source
Experimental Verification of Fluctuation Relations with a Quantum Computer
PRX Quantum, 2021 Inspired by the idea that quantum computers can be useful in advancing basic science, we use a quantum processor to experimentally validate a number of theoretical results in non-equilibrium quantum thermodynamics, that were not (or were very little ...
Andrea Solfanelli +2 more
doaj +1 more source
On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Journal of Probability and Statistics, 2014 This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi +2 more
doaj +1 more source
, 2023 A variance swap is a forward contract on annualized variance, the square of the realized volatility. The holder of a variance swap at expiration receives a notional amount of dollar for every point by which the stock’s realized variance has exceeded the variance delivery price.
openaire +2 more sources
Rational and mechanics of a peak risk variance swap for a property insurance portfolio
, 2018 In this technical report we explore the motivation, structuring and detailed mechanics of a variance swap contract adapted for a property insurance portfolio. We structure, price and test sensitivities of the swap contract using real event historical and
Ivelin M. Zvezdov
semanticscholar +1 more source
The relation between physical and risk-neutral cumulants [PDF]
, 2006 Variance swaps are natural instruments for investors taking directional bets on volatility and are often used for portfolio protection. But the crucial observation suggests that derivative professionals may desire to hedge beyond volatility risk and ...
Zhao, H, Zhang, EJ, Chang, EC
core +5 more sources