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ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS [PDF]
Mathematical Finance, 2013 We develop a theory of robust pricing and hedging of a weighted variance swap given market prices for a finite number of co‐maturing put options. We assume the put option prices do not admit arbitrage and deduce no‐arbitrage bounds on the weighted variance swap along with super‐ and sub‐replicating strategies that enforce them.
Davis, MHA, Obloj, J, Raval, V
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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 ...
Kai Detlefsen, Wolfgang Härdle
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Inter-Dealer OTC E-markets [PDF]
Informatică economică, 2012 The global OTC markets have been very active in the past decade as many institutions have chosen to rely on growth in the OTC issuance to facilitate deal-making outside of the exchange regulated avenues.
Iosif ZIMAN
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Uncertainty in Pricing and Risk Measurement of Survivor Contracts
RisksAs life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets.
Kenrick Raymond So +4 more
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Multiscale stochastic volatility for variance swaps with constant elasticity of variance [PDF]
, 2022 Ji-Su Yu, Jeong‐Hoon Kim
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Variance Swap Pricing under Hybrid Jump Model
East Asian Journal on Applied Mathematics, 2020 This paper investigates the pricing of discrete-sampled variance swaps driven by a generalised stochastic model taking into account stochastic volatility, stochastic interest rate and jump-diffusion process. The model includes various existing models as special cases, such as the CIR model, the Heston CIR model, and the multi-factor CIR model.
Liu, S. +3 more
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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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Modeling Risk Sharing and Impact on Systemic Risk
MathematicsThis paper develops a simplified agent-based model to investigate the dynamics of risk transfer and its implications for systemic risk within financial networks, focusing specifically on credit default swaps (CDSs) as instruments of risk allocation among
Walter Farkas, Patrick Lucescu
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Pricing Variance Swap and Swaption
, 2021 https://ia803408.us.archive.org/0/items/eq-variance-9/EqVariance-archive ...
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