Results 161 to 170 of about 960,135 (193)

The blood metabolome of cognitive function and brain health in middle-aged adults – influences of genes, gut microbiome, and exposome

Ahmad S, Wu T, Arnold M, Hankemeier T, Ghanbari M, Roshchupkin G, Uitterlinden AG, Neitzel J, Kraaij R, Van Duijn CM, Ikram MA, Kaddurah-Daouk R, Kastenmüller G, the Alzheimer’s Disease Metabolomics Consortium.   +13 more
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An analytic solution and an approximate solution for log‐return variance swaps under double‐mean‐reverting volatility

Mathematical methods in the applied sciences, 2023
Variance swaps is a kind of financial instrument that plays an important role in volatility risk management. In this paper, we study the pricing problem of log‐return variance swaps under the double mean reversion DMR (Heston‐CIR) model.
Chen Mao, Guanqi Liu
semanticscholar   +1 more source

PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE

Probability in the engineering and informational sciences (Print), 2021
In this paper, we discuss the problem of pricing discretely sampled variance swaps under a hybrid stochastic model. Our modeling framework is a combination with a double Heston stochastic volatility model and a Cox–Ingersoll–Ross stochastic interest rate
Huojun Wu, Zhaoli Jia, Shuquan Yang, Ce Liu   +3 more
semanticscholar   +1 more source

PRICING VARIANCE SWAPS FOR THE DISCRETE BN-S MODEL

Journal of Stochastic Analysis
We introduce a discrete Barndorff-Nielsen and Shephard (BNS) stochastic volatility model, where the non-Gaussian Ornstein-Uhlenbeck process governs the instantaneous variance of an underlying asset.
Semere Gabresilasie
semanticscholar   +1 more source

THE VALUATION OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY, STOCHASTIC INTEREST RATE AND FULL CORRELATION STRUCTURE

, 2020
This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the ...
Jiling Cao, Teh Raihana Nazirah Roslan, Wenjun Zhang   +2 more
semanticscholar   +1 more source

Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks

Journal of futures markets
We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when
Sha Lin, Xin‐Jiang He
semanticscholar   +1 more source

Volatility and variance swaps and options in the fractional SABR model

European Journal of Finance, 2020
Appropriate capturing the nature of financial market volatility is a significant factor for the pricing of volatility derivatives. A recent study by Gatheral, Jaisson and Rosenbaum [2018.
See-Woo Kim, Jeong‐Hoon Kim
semanticscholar   +1 more source

Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model

, 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.
Subhojit Biswas, Diganta Mukherjee, I. Sengupta   +2 more
semanticscholar   +1 more source

Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

, 2020
In this paper, we consider volatility swap and variance swap when the underlying asset is described by a process with multiple stochastic volatility models. The model considered in this paper is the multi-factor Heston stochastic volatility model.
Aziz Issaka
semanticscholar   +1 more source

Pricing variance swaps under the Hawkes jump‐diffusion process

Journal of futures markets, 2019
This paper presents an analytical approach for pricing variance swaps with discrete sampling times when the underlying asset follows a Hawkes jump‐diffusion process characterized with both stochastic volatility and clustered jumps.
Weiyi Liu, Song‐Ping Zhu
semanticscholar   +1 more source