Results 61 to 70 of about 985,955 (228)
Financial InnovationThe effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other ...
Xin-Jiang He, Sha Lin
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Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models [PDF]
arXiv, 2020 In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition.
arxiv
Bond variance risk premiums [PDF]
, 2017 This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in
Choi, Hoyong +2 more
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Variance Swap Replication: Discrete or Continuous?
, 2018 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.
Fabien Le Floc’h
semanticscholar +1 more source
Forward Volatility Contract Pricing in the Brazilian Market
Revista Brasileira de Finanças, 2004 In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime ...
Sandro Magalhães Manteiga +2 more
doaj
Time-varying Co-movements and Contagion Effects in Asian Sovereign CDS Markets
East Asian Economic Review, 2015 We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian ...
Daehyoung Cho , Kyongwook Choi
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The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments [PDF]
, 2017 This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors,
Egloff, Daniel +2 more
core
A further look at the 2004 reform of the operational framework of the ECB [PDF]
, 2009 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
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Hedging under rough volatility [PDF]
arXiv, 2021 In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be perfectly hedged with a dynamic portfolio containing the underlying and one other asset such as a variance swap.
arxiv
Evaluating Algorithm Efficiency for Optimizing Experimental Designs with Correlated Data
Algorithms, 2018 The search for efficient methods and procedures to optimize experimental designs is a vital process in field trials that is often challenged by computational bottlenecks.
Lazarus K. Mramba, Salvador A. Gezan
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